VITA

 

Timothy J. Vogelsang

 

May 2017

 

 

 

Address and Contact Information:

 

Michigan State University

Department of Economics

486 W. Circle Drive

110 Marshall-Adams Hall

E. Lansing, MI  48824-1038

 

Phone: (517) 355-5238

Fax: (517) 432-1068                                                                     

Email: tjv@msu.edu

Webpage: http://econ.msu.edu/faculty/vogelsang/

 

Education:

 

Princeton University, Ph.D. Economics, 1993

Massachusetts Institute of Technology, B.S. Mathematics, 1988

 

 

Dissertation Title:

 

"Essays on Testing for Nonstationarities and Structural Change in Time Series Models" (supervised by Pierre Perron)

 

 

Fields of Specialization:

 

Econometrics, Time Series Analysis

 

 

Professional Experience:

 

August 2015 – Present, Chair of Economics Department, Michigan State University

August 2006 – Present, Professor and Frederick S. Addy Distinguished Chair of Economics, Michigan State University

January 2013 – April 2013, Visiting Professor of Economics, University of Michigan

June 2009, Visiting Professor, Institute for Advanced Studies, Vienna, Austria

January 2004 – July 2006, Professor of Economics, Cornell University

July 1999 – December 2003, Associate Professor of Economics, Cornell University

July 1996 – June 2006, Member of the Field of Statistics, Cornell University

July 1993 - June 1999, Assistant Professor of Economics, Cornell University

 


University Committee Experience:

 

 

Fall 2014, Research Integrity Inquiry Panel (Chair)

Fall 2013 – Spring 2014, MSU University Council

Fall 2013 – Spring 2014, MSU Faculty Senate

Fall 2009 – Fall 2011, Member of the MSU College of Social Science Promotion/Tenure Committee,

Spring 2008, Member of Search Committee for Associate Research Dean, MSU College of Social Sciences

Spring 2008, Panel Member SPG Grants, MSU

February 2000 – June 2006, Advisory Board for College Scholar Program, College of Arts and Sciences, Cornell University

October 1994 - May 1995, Member of Cornell University Faculty Council of Representatives.

 

 

Economics Department Major Committee Experience:

 

August 2014 – May 2015, Extended Advisory Committee, MSU

August 2013 – May 2014, Chair Econometrics Recruiting Committee, MSU

August 2011 – June 2012, Chair Empirical Macro Recruiting Committee, Extended Advisory Committee, MSU

August 2010 – June 2011, Junior Recruiting Committee, MSU

August 2007 – July 2009, Advisory Committee Chair, MSU

March 2007 – May 2007, Extended Advisory Committee, MSU

August 2006June 2007, Graduate Instruction Committee, MSU

July 1998 – June 2000, July 2002 – June 2006: Graduate Placement Committee Chair, Cornell University

July 2001 – June 2006, Director of the Center for Analytic Economics (CAE), Cornell University

 

External Committee Experience

 

November 2014, External Review Committee for External Review of Indiana University Department of Economics

 

Grants:

 

 

National Science Foundation Research Grant (SES-0525707), $224,980, 2005-2008.

National Science Foundation Research Grant (SES-0095211), with N. Kiefer, $230,003, 2001-2003.

Cornell Institute for Social and Economic Research (CISER) Research Development Grant, $23,980, 2000.            

National Science Foundation Research Grant (SES-9818695), $20,000, 1999.

 

 

Teaching Awards and Fellowships:

 

Robert and Helen Appel Fellowship for Humanists and Social Scientists Teaching Award, School of Arts and Sciences, Cornell University, 1999.

Readers' Digest Teaching Prize for Intro Macroeconomics, First Place, Princeton University, 1992.

International Finance Fellowship, Princeton University, 1988-1992.

 

 

Courses Taught:

 

Graduate Time Series Econometrics

Graduate First Year Econometrics

Undergraduate Probability and Statistics

Undergraduate Econometrics

Undergraduate Advanced Econometrics

Undergraduate International Trade

Undergraduate International Monetary Theory

 

 

Publications in Refereed Journals:

 

1.      “Estimation and Inference of Linear Trend Slope Ratios with an Application to Global Temperature Data”, (with N. Nawaz), forthcoming in Journal of Time Series Analysis.

 

2.      "Fixed-b Inference for Testing Structural Change in a Time Series Regression", (with C.K. Cho), forthcoming in Econometrics.

 

3.      "Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series with Unknown Mean", (with J. Yang), Journal of Time Series Analysis, 37, 723-740, 2016.

 

4.      "Indirect Aerosol Effect Increases CMIP5 Models’ Projected Arctic Warming", (with P. Chylek, J.D. Klett, N. Hengartner, D. Higdon, G. Lesins, M.K. Dubey), Journal of Climate, 29, 1417-1428, 2016.

 

5.      "Fixed-b Asymptotics for Spatially Dependent Robust Nonparametric Covariance Matrix Estimators", (with C.A. Bester, T. Conley and C. Hansen), Econometric Theory, 32, 154-186, 2016.

 

6.      "Nonparametric Rank Tests for Non-stationary Panels", (with P. Pedroni, M. Wagner, J. Westerlund), Journal of Econometrics, 185, 378-391, 2015.

 

7.      "HAC-Robust Trend Comparisons Among Climate Series with Possible Intercept Shifts”, (with Ross McKitrick), Environmetrics. 25, 528-547, 2014.

 

8.      "HAC Corrections for Strongly Autocorrelated Time Series: Comment", Journal of Business and Economic Statistics, 32, 334-338, 2014.

 

9.      "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions", (with M. Wagner), Journal of Econometrics, 178, 741-760, 2014.

 

10.  "A Fixed-b Analysis of Phillips-Perron Unit Root Tests", (with M. Wagner), Econometric Theory, 29, 609-628, 2013.

 

11.  "Heteroskedasticity, Autocorrelation, and Spatial Correlation Robust Inference in Linear Panel Models with Fixed-Effects", Journal of Econometrics, 166(2), 303-319, 2012.

 

12.  "Fixed-b Analysis of LM Type Tests for a Shift in Mean", (with J. Yang), The Econometrics Journal, 14, 438-456, 2011.

 

13.  "Block Bootstrap HAC Robust Tests: Sophistication of the Naïve Bootstrap," (with S. Goncalves), Econometric Theory, 27, 745-791, 2011.

 

14.  "Testing for a Shift in Trend at an Unknown Date: A Fixed-b Analysis of Heteroskedasticity Autocorrelation Robust OLS Based Tests", (with O. Sayginsoy) Econometric Theory, 27, 992-1025, 2011.

 

15.  "The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series", (with C. Amsler and P. Schmidt), Journal of Time Series Econometrics: Vol. 1 : Iss. 1, Article 5, 2009.

 

16.  "Interdecadal Trend and ENSO-related Interannual Variability in Southern Hemisphere Blocking", (with L. Dong and S. Colucci), Journal of Climate, 21, 3068-3077, 2008.

 

17.  "Fixed-b Asymptotic Approximation of the Sampling Behavior of Nonparametric Spectral Density Estimators", (with N. Hashimzade), Journal of Time Series Analysis, 29, 142-162, 2008.

 

18.  "Projection Bias in Catalog Orders," (with M. Conlin and T. O'Donoghue), American Economic Review, 97(4), 1217-1249, September 2007.

 

19.  "Nonmonotonic Power for Tests of Mean Shift in a Time Series", (with C. Crainiceanu), Journal of Statistical Computation and Simulation, 77(6), 457-476, 2007.

 

20.  "Are Winters Getting Warmer?" (with P.H. Franses), Environmental Modeling and Software, 20, 1449-1455, 2005.

 

21.  "A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests," (with N. Kiefer), Econometric Theory, 21, 1130-1164, 2005.

 

22.  "Powerful Trend Function Tests That are Robust to Strong Serial Correlation with an Application to the Prebisch-Singer Hypothesis," (with H. Bunzel), Journal of Business and Economic Statistics, 23, 381-394, 2005.

 

23.  "Testing for Common Deterministic Trend Slopes," (with P.H. Franses), Journal of Econometrics, 126, 1-24, 2005.

 

24.  "Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal to Sample Size" (old title "A New Approach to the Asymptotics of Heteroskedasticity-Autocorrelation Robust Testing,") (with N. Kiefer), Econometric Theory, 18, 1350-1366, 2002.

 

25.  "Analysis of Vector Autoregressions in the Presence of Shifts in Mean," (with S. Ng) Econometric Reviews, 21, 353 - 381, 2002.

 

26.  "Forecasting Dynamic Time Series in the Presence of Deterministic Components," (with S. Ng), Econometrics Journal, 5, 196-224, 2002.

 

27.  "Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel Without Truncation," (with N. Kiefer), Econometrica, 70, 2093-2095, 2002.

 

28.  "The Application of Size Robust Trend Analysis to Global Warming Temperature Series," (with T. Fomby), Journal of Climate, 15, 117-123, 2002.

 

29.  "Are U.S. Regions Converging? Using New Econometric Methods to Examine Old Issues," (with M. Tomljanovich), Empirical Economics, 27, 49-62, 2002.

 

30.  "Simple Robust Testing of Hypotheses in Non-linear Models," (with H. Bunzel and N. Kiefer), Journal of the American Statistical Association, 96, 1088-1098, 2001.

 

31.  "Simple Robust Testing of Regression Hypotheses," (with N. Kiefer and H. Bunzel), Econometrica, 68, 695-714, 2000.

 

32.  "A Simple Test of the Law of Demand for the United States," (with E. Zambrano) Econometrica, 68, 1013-1022, 2000.

 

33.  "Sources of Nonmontonic Power When Testing for a Shift in the Mean of a Dynamic Time Series," Journal of Econometrics,  88,  283-299, 1999.

 

34.  "Change and Involution in Sugar Production in Cultivation System Java," (with S. Chandra) Journal of Economic History, 59, 885-911, 1999.

 

35.  "Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers," Journal of Time Series Analysis, 20, 237-252, 1999.

 

36.  "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, 66, 123-148, 1998.

 

37.  "Additional Tests for a Unit Root Allowing the Possibility of Breaks in the Trend Function," (with P. Perron), International Economic Review, 39, 1073-1100, 1998.

 

38.  "On Seasonal Cycles, Unit Roots and Mean Shifts," (with P.H. Franses), Review of Economics and Statistics, LXXX, 231-240, 1998.

 

39.  "Testing for a Mean Shift Without Having to Estimate Serial Correlation Parameters," Journal of Business and Economic Statistics, 16, 73-80, 1998.

 

40.  "Wald-Type Tests for Detecting Shifts in the Trend Function of a Dynamic Time Series," Econometric Theory, 13, 818-849, 1997.

 

41.  "A Note on the Asymptotic Distributions of Unit Root Tests in the Additive Outlier Model with Breaks," (with P. Perron) Revista de Econometria, 13(2): 181-202, 1993/4.

 

42.  "The Great Crash, the Oil Price Shock and the Unit Root Hypothesis: Erratum," (with P. Perron) Econometrica, 61, 248-249, 1993.

 

43.  "Testing for a Unit Root in a Time Series with a Shift in Mean: Corrections and Extensions," (with P. Perron) Journal of Business and Economic Statistics, 10, 467-470, 1992.

 

44.  "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," (with P. Perron) Journal of Business and Economic Statistics, 10, 301-320, 1992.

 

 

Publications in Collected Volumes:

 

1.      "Serial Correlation Robust LM Type Tests for a Shift in Trend", (with J.J. Yang), in Dek Terrell, Daniel Millimet (ed.) 30th Anniversary Edition (Advances in Econometrics, Volume 30), Emerald Group Publishing Limited, 97-131, 2012.

 

2.      "Spectral Analysis," The New Palgrave Dictionary of Economics, Second Edition, Eds. Steven N. Durlauf and Lawrence E. Blume, Palgrave Macmillan, 2008.

 

3.      "Testing in GMM Models Without Truncation," Chapter 10 of Advances in Econometrics Volume 17, Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, ed. by T. B. Fomby and R. C. Hill, Elsevier Science, 199-233, 2003.

 

4.      "Tests of Common Deterministic Trend Slopes Applied to Quarterly Global Temperature Data," (with T. Fomby) Chapter 2 of Advances in Econometrics Volume 17, Maximum Likelihood Estimation of Misspecified Models: Twenty Years Later, ed. by T. B. Fomby and R. C. Hill, Elsevier Science, 29-43, 2003.

 

5.      "Real Exchange Rates and Purchasing Power Parity," (with R. Dornbusch) in Trade Theory and Economic Reform: North, South and East, Essays in Honor of Bela Balassa, J. de Melo and A. Sapir (eds.), Cambridge, MA: Basil Blackwell, 1991.

 

 

Book Reviews:

 

1.      Review of Econometrics by B. H. Baltagi, Journal of the American Statistical Association, 94, 344-345, 1999.

 

2.      Review of Challenging Time Series: Limits to Knowledge, Inertia and Caprice, by T. D. Stanley, Journal of the American Statistical Association, 96, 345, 2001.

 

3.      Review of Unit Roots, Cointegration and Structural Change, by G.S. Maddala and I. Kim, Journal of the American Statistical Association, 96, 346-347, 2001.

 

4.      Review of Economic Forecasting by T. C. Mills, Journal of the American Statistical Association, 96, 354, 2001.

 

5.      Review of Nonlinear Econometric Modeling in Time Series Analysis: Proceedings of the Eleventh International Symposium in Economic Theory, by W.A. Barnett et al., Journal of the American Statistical Association, 96, 354, 2001.

 

 

Working Papers:

 

“An Integrated Modified OLS RESET Test for Cointegrating Regressions”, (with M. Wagner), Department of Economics, Michigan State University, 2015.

 

“Inference in Time Series Models using Smoothed Clustered Standard Errors”, (with S. Rho), Department of Economics, Michigan State University, 2014.

 

"Serial Correlation Robust Inference with Missing Data", (with S. Rho), Department of Economics, Michigan State University, 2013.

 

"Moments of HAC Robust Covariance Matrix Estimators Under Fixed-b Asymptotics", (with N. Kiefer and N. Hashimzade), working paper, Department of Economics, Michigan State University, 2008.

 

"Probability that the MLE of a Variance Component is Zero With Applications to Likelihood Ratio Tests," (with C. Crainiceanu and D. Ruppert), Cornell University Department of Economics, mimeo, 2002.

 

"Testing for a Shift in Trend When Serial Correlation is of Unknown Form," Center for Analytic Economics Working Paper #97-11, Department of Economics, Cornell University, 1999.

 

 

 

Conferences and Presentations:

 

"Estimation and Inference of Linear Trend Slope Ratios with an Application to Global Temperature Data ", presented at University of Guelph Econometric Applications in Climatology Conference (April 2015), Penn State (October 2016), Santa Fe Climate Conference (February 2017), Ohio State (April 2017).

"Heteroskedasticity Autocorrelation Robust Inference in Time Series Regressions with Missing Data”, presented at Joint Montreal Econometrics Seminar (Concordia University, November 2013), Columbia University (March 2015).

"Inference in Time Series Models Using Smoothed Clustered Standard Errors", invited presentation at 23rd (EC)2 Conference, Maastricht, The Netherlands (December 2012).

 

"Serial Correlation Robust LM Type Tests for a Shift in Trend", presented at Advances in Econometrics 30th Anniversary Conference, LSU (March 2012).

 

"Multivariate Trend Comparisons Between Autocorrelated Climate Series with General Trend Regressors", presented at University of Guelph (October 2011), Duke University (October 2011), Queens University (November 2011), Cornell University (April 2012), University of Guelph Econometric Applications in Climatology Conference (June 2013), LSU (October 2013), Tulane (February 2014), ISQM Seminar University of Michigan (September 2014).

 

"Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions", presented at the CIREQ Annual Time Series Conference, May 2010, Montreal, CORE, Université catholique de Louvain (March 2011), Erasmus University (March 2011), Emory University (March 2011), 2011 NSF/NBER Time Series Conference at MSU (September 2011), University of Michigan (March 2013), Boston University (April 2013).

 

"Heteroskedasticity, Autocorrelation, and Spatial Correlation Robust Inference in Linear Panel Models with Fixed-Effects", presented at Cornell U. (May 2008), MSU (November 2008), U. Montreal (April 2009), 2009 Summer Meetings of the Econometric Society, Boston (June 2009), Conference in Honor of Manfred Deistler, IHS, Vienna, Austria (June 2009), 2009 Joint Statistical Meetings, Washington, DC (August 2009), 2009 MEG Conference, Purdue U. (Sept. 2009), Purdue U. (Oct. 2009), U Michigan (Sept 2010).

 

"Testing for a Shift in Trend at an Unknown Date: A Fixed-b Analysis of Heteroskedasticity Autocorrelation Robust OLS Based Tests", presented at Cornell U. (March 2007), SMU (April 2007), U. Nottingham (September 2008).

 

"A New Perspective on Serial Correlation Robust Standard Errors," presented at Washington U. St. Louis (September 2005), Michigan State (January 2006), U. Michigan (September 2006).

 

"Block Bootstrap HAC Robust Tests: Sophistication of the Naïve Bootstrap," presented at Queen’s University (September, 2004), U. Toronto (September 2004), Boston University (October 2004), Johns Hopkins (October 2004), Chicago GSB (November 2004), 2005 Winter Meetings of the Econometric Society, Boston, UCLA (October 2005), UCSD (October 2005), Ohio State (May 2006), Wisconsin (November 2006), Midwest Econometrics Group 2006 Conference (October 2006), Texas A&M (April 2007), U. Nottingham (December 2007).

 

"Powerful Tests of Structural Change that are Robust to Strong Serial Correlation," CIREQ Time Series Conference, Montreal (December, 2005), SMU (April 2007), Granger Centre Time Series Conference, Nottingham (September 2008).

 

"A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests," presented at NYU Statistics (March, 2002), University of Texas, Austin (September 2002), 2003 Winter Meetings of the Econometric Society (Washington, D.C.), U.C. Berkeley (March 2003), Yale (October 2003), U. Montreal (October 2003), U. Pittsburgh (September 2004), University of Houston (March 2005).

 

"Spectral Density Bandwidth Choice: Source of Nonmonotonic Power for Tests of a Mean Shift in a Time Series," presented at the North American Winter Meetings of the Econometric Society, Atlanta (January 2002).

 

"Testing in GMM Models Without Truncation," presented at the North American Summer Meetings of the Econometric Society, University of Maryland (June 2001), LSU Advances in Econometrics Conference (November 2002).

 

"A New Approach to the Asymptotics of Heteroskedasticity-Autocorrelation Robust Testing," (with Nick Kiefer) presented at Research Triangle: N.C. State, Duke University and North Carolina University (April 2000), University of Illinois and University of Wisconsin Madison (September 2000), University of Iowa, Iowa State, Indiana University, Texas A&M, SMU and University of Virginia (October 2000), MIT/Harvard and Brown University (November 2000), Northwestern (May 2001), U. Texas-Austin (September 2001), U. of Michigan (October 2001), Ohio State and Penn State (November 2001).

 

"Forecasting Dynamic Time Series in the Presence of Deterministic Components," (with Serena Ng) presented at University of Montreal (March 1999), North American Winter Meetings of the Econometric Society, Boston (January 2000).

 

"The Application of Size Robust Trend Analysis to Global Warming Temperature Series," (with Tom Fomby), Columbia University (April 1999).

 

"Simple Robust Regression Hypothesis Testing," (with Nicholas Kiefer and Helle Bunzel) presented at Boston College/Boston University (April 1998) the 1998 Summer Meetings of the Econometric Society, Montreal (June 1998), Erasmus University (August 1998), Yale University (November 1998), Queen's University (November 1998), SMU (February 1999), Rochester University (April 1999), University of Maryland (May 1999).

 

"Sources of Nonmontonic Power When Testing for Structural Change in the Trend Function of a Dynamic Time Series," presented at Penn State University (March 1997), Rice University (April 1997), the 1997 Winter Meetings of the Econometric Society, New Orleans (January 1997).

 

"Analysis of Vector Autoregressions in the Presence of Shifts in Mean," presented at the 1996 Summer Meetings of the Econometric Society, Iowa City, Iowa.

 

"Trend Function Hypothesis Testing in the Presence of Serial Correlation," presented at SMU (April 1997), Universite de Montreal (September 1996), Econometric Society Winter Meeting, San Francisco (January 1996), University of Washington (January 1996), Princeton University (November 1995), University of Rochester (October 1995), SUNY Binghamton (October 1995).

 

"Testing for a Shift in Mean Without Having to Estimate Serial Correlation Parameters," presented at 7th World Congress of the Econometric Society, Tokyo (August 1995), Universite de Montreal (November 1994), Queen's University (September 1994), UC Santa Barbara (May 1994).

 

Graduate Student Advising (Phd Committee Chair or Co-chair)

 

Yi Li (BNY Mellon)

Nasreen Nawaz (Istanbul Technical University, 2015)

Cheol Keun Cho (Consultant to the World Bank, 2014)

Yu Sun (International School of Economics and Management (ISEM), Capital University of Economics and Business (CUEB); Beijing, China, 2014)

Jingjing Yang (University of Nevada at Reno, 2012)

Kin-Yip Ho (ANU, 2008)

Stephen Norman (BYU, 2005)

Ozgen Sayginsoy (SUNY Albany, 2004)

Helle Bunzel (Iowa State, 1999)

 

 

Professional Activities:

 

Associate Editor, Econometric Theory, January 2009 – Present.

 

Associate Editor, Journal of Time Series Econometrics, January 2009 – Present.

 

Associate Editor, Econometrics Journal, May 2007 – Present.

 

Associate Editor, Journal of Business and Economic Statistics, April 1998 – December 2006.

 

Associate Editor, Reviews, Journal of the American Statistical Association, April 1998 – December 2001.

 

Member: American Economic Association, The Econometric Society, American Statistical Association.

 

Referee: Econometrica, Journal of Business and Economic Statistics, Journal of the American Statistical Association, Journal of Econometrics, Econometric Theory, Review of Economics and Statistics, American Economic Review, Journal of Applied Econometrics, The Econometrics Journal, Journal of Time Series Econometrics, Empirical Economics, Revista de Econometria, International Journal of Industrial Organization, Review of Economic Studies, Journal of Macroeconomics, International Economic Review, Southern Economic Journal, Journal of International Economics, Journal of International Money and Finance, Review of International Economics,  Empirical Economics, Technometrics, Oxford Bulletin of Economics and Statistics, Journal of Comparative Economics, Journal of Economics and Finance, Resource and Energy Economics, Journal of Multivariate Analysis, International Journal of Climatology, Electoral Studies, Journal of Applied Meteorology, Communications in Statistics, Nature Climate Change, Journal of the Royal Statistical Society Series A and B,  National Science Foundation.