My research is in the field of econometrics and statistics and focuses on time series econometrics. A large part of my research deals with the analysis of structural changes and unit roots in time series data. Another part of my research focuses on functional data analysis and the development of methods for time series of functions. In particular, I am interested in factor and regression models for functional time series and their application to applied econometric problems.
My CV can be found here.
For more information please visit my university webpage.
Current working papers
- Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction (with Narazii Salish). preprint, R-package
- Backward CUSUM for Testing and Monitoring Structural Change (with Jörg Breitung). preprint, R-package
- Otto, S. (2021). Unit Root Testing with Slowly Varying Trends. Journal of Time Series Analysis. 42 (1), 85-106. paper, preprint, R-package
- Stark, F. and Otto, S. Testing and Dating Structural Changes in Copula-based Dependence Measures. forthcoming in Journal of Applied Statistics. paper, preprint
- urtrend: R-package accompanying the paper „Unit Root Testing with Slowly Varying Trends“.
- backCUSUM: R-package accompanying the paper „Backward CUSUM for Testing and Monitoring Structural Change“.
- dffm: R-package accompanying the paper „Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction“.