Christian Kascha
Researcher
Christian Kascha is an advisor in the research department of Norges Bank. He obtained his Ph.D. at the European University Institute (EUI), Florence, and holds a MSc in economics from the Humboldt University, Berlin. Christian has joined the research department in August 2007.
Research interests
Christian's research interests are within the fields of time series econometrics, macroeconometric modelling and structural identification. He is particularly interested in forecasting, factor models, VARMA and State Space modelling of time series and the evaluation of DSGE models.
Publications
Kascha, C. and Ravazzolo, F. (2009). Combining Inflation Density Forecasts. Journal of Forecasting, forthcoming.
Kascha, C. and Mertens, K. (2009). Business Cycle Analysis and VARMA Models. Journal of Economic Dynamics and Control, Vol. 33 (2), pp. 267-282
Working Papers and Programs
"Bootstrapping the Likelihood Cointegration Test in Error Correction Models with Unknown Lag Order", Norges Bank working paper 2009/12. Jointly with Carsten Trenkler (University of Mannheim).
"Combining Inflation Density Forecasts", Norges Bank working paper 2008/22. Jointly with Francesco Ravazzolo (Norges Bank). Programs.
"Business Cycle Analysis and VARMA Models", Norges Bank working paper 2008/5. Jointly with Karel Mertens (Cornell University). EUI working paper version: pdf. Programs.
"A Comparison of Estimation Methods for VARMA Models", EUI working paper 2007/12.
Views and conclusions expressed in working papers are the responsibility of the authors alone.