Robinson Kruse

Robinson Kruse works as a Principal Econometrician at Hendyplan. Before taking up this position, he was employed as an assistant professor at Rijksuniversiteit Groningen and Leibniz University Hannover. He has been a postdoctoral fellow at CREATES from August 2008 - July 2011. His research interests in the field of time series econometrics include long memory processes, structural breaks, forecasting, non-linearities and unit roots.


Publications 2007-

  • Kruse, Robinson, Antonio Noriega, and Daniel Ventosa-Santaularia. Changes in persistence, spurious regressions and the Fisher hypothesis, Studies in Nonlinear Dynamics & Econometrics (forthcoming).
  • 2015, Kruse, Robinson, A modified test against spurious long memory, Economics Letters 135, 34-38.
  • 2015, Frömmel, Michael and Robinson Kruse, Interest rate convergence in the EMS prior to European Monetary Union, Journal of Policy Modeling 37, 990-1004.
  • 2014, Kruse, Robinson and Rickard Sandberg, Linearity testing for trending data with an application of the wild bootstrap, with Rickard Sandberg; in Niels Haldrup; Mika Meitz; Pentti Saikkonen, Essays in Nonlinear Time Series Econometrics, Oxford University Press, 57-89.
  • 2014, Kaufmann, Hendrik, Robinson Kruse and Philipp Sibbertsen, Simple procedures for specifying transition functions in persistent nonlinear time series models; in Recent Advances in Estimating Nonlinear Models: With Applications in Economics and Finance, New York: Springer, 169-191.
  • 2013, Bertram, Philip, Robinson Kruse and Philipp Sibbertsen, Fractional integration versus level shifts: the case of realized asset correlations, Statistical Papers 54, 977-991.
  • 2013, Haldrup, N., R. Kruse, T. Teräsvirta and R.T. Varneskov, Unit roots, non-linearities and structural breaks, in N. Hashimzade and M. Thornton, eds. Handbook of Research Methods and Applications in Empirical Macroeconomics, 61-94. Edward Elgar.
  • 2013, Demetrescu, Matei and Robinson Kruse. The Power of Unit Root Tests Against Nonlinear Local Alternatives. Journal of Time Series Analysis 34, 40-61.
  • 2013, Breitung, Jörg and Robinson Kruse, When bubbles burst: Econometric tests based on structural breaks, Statistical Papers 54, 911-93.
  • 2012. Frommel, Michael and Robinson Kruse. Testing for a rational bubble under long memory. Quantitative Finance 12, 1723-1732.
  • 2012. Frommel, Michael, Robinson Kruse, Lukas Menkhoff and Philipp Sibbertsen. What do we know about real exchange rate nonlinearity? Empirical Economics 43, 457-474.
  • 2012. Kaufmann, Hendrik, Robinson Kruse and Philipp Sibbertsen. On tests for linearity against STAR models with deterministic trends. Economics Letters 117, 268-271.
  • 2012. Kruse, Robinson and Philipp Sibbertsen. Long memory and changing persistence. Economics Letters 114, 268-272.
  • 2011. Kruse, Robinson. On European monetary integration and the persistence properties of real exchange rates. Finance Research Letters 8, 45-50.
  • 2011. Kruse, Robinson. A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers 52, 71-85.
  • 2009. Kruse, Robinson and Philipp Sibbertsen. Testing for a break in persistence under long-range dependencies. Journal of Time Series Analysis 30, 263-285.