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Professor

Mehdi Hosseinkouchack

Research focus

  • Panel data
  • Quantile panel data models
  • Time series analysis and forecasting
  • Financial data
  • Quantile regressions
  • Numerical analysis
  • Statistics

Curriculum Vitae

Mehdi Hosseinkouchack studied engineering and economics and is currently a professor of econometrics at EBS University, EBS Business School. He received a PhD in economics from Goethe University Frankfurt in 2011. His main fields of interest are time series analysis, panel data models, quantile regressions, financial econometrics, data science and statistical learning. His research output has appeared in renowned field journals including, among others, Econometric Theory, Journal of Time Series Analysis, Econometric Reviews and Oxford Bulletin of Economics and Statistics.

Publications


  • HASSLER, U., HOSSEINKOUCHACK, M. (2023). Powerful Self-normalizing Tests for Stationarity against the Alternative of a Unit Root. Advances in Econometrics.
  • HASSLER, U., HOSSEINKOUCHACK, M. (2022). Understanding nonsense correlation between (independent) random walks in finite samples. Statistical Papers (formerly: Statistische Hefte), 63 (1), 181-195. doi:10.1007/s00362-021-01237-0.
  • HASSLER, U., HOSSEINKOUCHACK, M. (2022). Joint hypothesis testing from heterogeneous samples under cross-dependence. Econometrics and Statistics.
  • HASSLER, U., HOSSEINKOUCHACK, M. (2022). Basel Problem: Historical perspective and further proofs from stochastic processes. Euleriana, 2.
  • HOSSEINKOUCHACK, M., DEMETRESCU, M. (2021). Finite-sample size control of IVX-based tests in predictive regressions. Econometric Theory, 37 (4), 769-793. doi:10.1017/S0266466620000298.
  • HASSLER, U., HOSSEINKOUCHACK, M. (2020). Harmonically Weighted Processes. Journal of Time Series Analysis, 41 (1), 41-66. doi:10.1111/jtsa.12475.
  • HASSLER, U., HOSSEINKOUCHACK, M. (2020). Estimating the mean under strong persistence. Applied Economics Letters, 188, 108950. doi:10.1016/j.econlet.2020.108950.
  • HASSLER, U., HOSSEINKOUCHACK, M. (2019). Ratio tests under limiting normality. Econometric Reviews, 38 (7), 793-813. doi:10.1080/07474938.2018.1427296.
  • HASSLER, U., HOSSEINKOUCHACK, M. (2019). Testing the Newcomb-Benford Law: experimental evidence. Applied Economics Letters, 26 (21), 1762-1769. doi:10.1080/13504851.2019.1597248.
  • HOSSEINKOUCHACK, M., WESTERLUND, J., SOLBERGER, M. (2016). The local power of the CADF and CIPS panel unit root tests. Econometric Reviews, 35, 845-870.
  • HOSSEINKOUCHACK, M., WESTERLUND, J. (2016). Modified CADF and CIPS panel unit root statistics with standard Chi-squared and Normal limiting distributions. Oxford Bulletin of Economics and Statistics (formerly: Bulletin of the Institute of Economics and Statistics (Oxford University)) (78), 347-364.
  • HOSSEINKOUCHACK, M., HASSLER, U. (2016). Powerful unit root tests free of nuisance parameters. Journal of Time Series Analysis, 37 (4), 533-554.
  • HASSLER, U., HOSSEINKOUCHACK, M. (2016). Panel Cointegration Testing in the Presence of Linear Time Trends. Econometrics (MDPI), 4 (4), 45. doi:10.3390/econometrics4040045.
  • HOSSEINKOUCHACK, M. (2014). Local asymptotic power of Breitung’s test. Oxford Bulletin of Economics and Statistics (formerly: Bulletin of the Institute of Economics and Statistics (Oxford University)), 76, 456-462.
  • HOSSEINKOUCHACK, M., HASSLER, U. (2014). Effect of the order of fractional integration on impulse response. Economics Letters, 125, 311-314.
  • HOSSEINKOUCHACK, M., WOLTERS, M. (2013). Do large recessions lower output permanently? Economics Letters, 121, 516–519.
  • HOSSEINKOUCHACK, M. (2011). Further improvements in the calculation of Censored Quantile Regressions. Journal of Computational and Applied Mathematics, 235, 1429-1445.
  • HOSSEINKOUCHACK, M., ABBASI, B., RABELO, L. (2008). Estimating parameters of the three-parameter Weibull distribution using a neural network. European Journal of Industrial Engineering, 2, 428-445.
  • HOSSEINKOUCHACK, M., ABBASI, B., ESHRAGH JAHROMI, A. H., ARKAT, J. (2006). Estimating the parameters of Weibull distribution using simulated annealing algorithm. Applied Mathematics and Computation, 183, 85-93.


  • HOSSEINKOUCHACK, M., CANALES KRILJENKO, J., MEYER-CIRKEL, A. (2014). Global financial transmission into Sub-Saharan Africa – a global vector autoregression analysis. International Monetary Fund Working Papers, 14 (241).


  • HOSSEINKOUCHACK, M., HASSLER, U. (2015). Distribution of the Durbin-Watson statistic in near integrated processes. In Jan Beran, Yuanhua Feng, Hartmut Hebbel (Eds.), Empirical Economic and Financial Research (pp. 421-436). Springer.

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