I’m into econometrics & statistics, structural microeconometrics, causal
inference, and programming. Besides that, I greatly advocate for reproducibility, the
open-source philosophy, and sustainability.
Primarily, I studied economics at the University of Bonn, but I also attended
lectures/took exams in mathematics and computer science. For more details on my
education, see my curriculum vitae. Also, check out my
GitHub to have a look at my projects.
contact
If you want to work with me, extend one of my projects or simply have a chat, feel
free to contact me via email or any other social network.
tmensinger@uni-bonn.de
selected publications
J Econom
A wavelet method for panel models with jump discontinuities in the
parameters
Bada, O.,
Kneip, A.,
Liebl, D.,
Mensinger, T.,
Gualtieri, J.,
and Sickles, R.C.
While a substantial literature on structural break change point analysis
exists for univariate time series, research on large panel data models has
not been as extensive. In this paper, a novel method for estimating panel
models with multiple structural changes is proposed. The breaks are
allowed to occur at unknown points in time and may affect the multivariate
slope parameters individually. Our method adapts Haar wavelets to the
structure of the observed variables in order to detect the change points
of the parameters consistently. We also develop methods to address
endogenous regressors within our modeling framework. The asymptotic
property of our estimator is established. In our application, we examine
the impact of algorithmic trading on standard measures of market quality
such as liquidity and volatility over a time period that covers the
financial meltdown that began in 2007. We are able to detect jumps in
regression slope parameters automatically without using ad-hoc subsample
selection criteria.
@article{bada2021,title={A wavelet method for panel models with jump discontinuities in the
parameters},journal={Journal of Econometrics},year={2021},issn={0304-4076},doi={https://doi.org/10.1016/j.jeconom.2021.09.006},url={https://www.sciencedirect.com/science/article/pii/S0304407621002189},html={https://www.sciencedirect.com/science/article/abs/pii/S0304407621002189},author={Bada, O. and Kneip, A. and Liebl, D. and Mensinger, T. and Gualtieri, J. and Sickles, R.C.},keywords={Haar wavelets, Adaptive lasso, Panel data, Structural change, Penalized
IV, Algorithmic trading, Market efficiency},selected={true},bibtex_show={true},abbr={J Econom}}
