Publications
Schiavoni, C., S. J. Koopman, F. Palm, S. Smeekes and J. van den Brakel (2025). Time-varying correlations in multivariate unobserved components time series models. Journal of the Royal Statistical Society - Series A, forthcoming.
Lieb, L., A. Jassem, R. J. Almeida, N. Basturk and S. Smeekes (2025). Min(d)ing the President: A text-analytic approach to tax news. American Economic Journal: Macroeconomics 17 (2), 285–314.
Adamek, R., S. Smeekes and I. Wilms (2024). Local projection inference in high dimensions. Econometrics Journal 27 (3), 323–342. 
Beutner, E., A. Heinemann and S. Smeekes (2024). A residual bootstrap for conditional Value-at-Risk. Journal of Econometrics 238 (2), 105554.
Adamek, R., S. Smeekes and I. Wilms (2023). Lasso inference for high-dimensional time series. Journal of Econometrics 235 (2), 1114–1143.
Beutner, E., Y. Lin and S. Smeekes (2023). GLS estimation and confidence sets for the date of a single break in models with trends. Econometric Reviews 42 (2), 195–219.
Hecq, A., L. Margaritella and S. Smeekes (2023). Granger causality testing in high-dimensional VARs: a post-double-selection procedure. Journal of Financial Econometrics 21 (3), 915–958.
Smeekes, S. and I. Wilms (2023). bootUR: An R Package for Bootstrap Unit Root Tests. Journal of Statistical Software 106 (12), 1–39.
Beutner, E., A. Heinemann and S. Smeekes (2021). A Justification of Conditional Confidence Intervals. Electronic Journal of Statistics 15 (1), 2517–2565.
Schiavoni, C., F. Palm, S. Smeekes and J. van den Brakel (2021). A dynamic factor model approach to incorporate Big Data in state space models for official statistics. Journal of the Royal Statistical Society - Series A 184 (1), 324–353.
Smeekes, S. and E. Wijler (2021). An automated approach towards sparse single-equation cointegration modelling. Journal of Econometrics 221 (1), 247–276.
Friedrich, M., H. Reuvers, S. Smeekes, J.-P. Urbain, W. Bader, B. Franco, B. Lejeune and E. Mahieu (2020). A statistical analysis of time trends in atmospheric ethane. Climatic Change 162 (1), 105–125.
Friedrich, M., S. Smeekes and J.-P. Urbain (2020). Autoregressive wild bootstrap inference for nonparametric trends. Journal of Econometrics 214 (1), 81–109.
Smeekes, S. and J. Westerlund (2019). Robust block bootstrap panel predictability tests. Econometric Reviews 38 (9), 1089–1107.
Smeekes, S. and E. Wijler (2018). Macroeconomic forecasting using penalized regression methods. International Journal of Forecasting 34 (3), 408–430.
Hurlin, C., S. Laurent, R. Quaedvlieg and S. Smeekes (2017). Risk measure inference. Journal of Business and Economic Statistics 35 (4), 499–512.
Götz, T. B., A. Hecq and S. Smeekes (2016). Testing for Granger causality in large mixed-frequency VARs. Journal of Econometrics 193 (2), 418–432.
Cavaliere, G., P. C. B. Phillips, S. Smeekes and A. M. R. Taylor (2015). Lag length selection for unit root tests in the presence of nonstationary volatility. Econometric Reviews 34 (4), 512–536.
Smeekes, S. (2015). Bootstrap sequential tests to determine the order of integration of individual units in a time series panel. Journal of Time Series Analysis 36 (3), 398–415.
Smeekes, S. and J.-P. Urbain (2014). On the applicability of the sieve bootstrap in time series panels. Oxford Bulletin of Economics and Statistics 76 (1), 139–151.
Smeekes, S. (2013). Detrending bootstrap unit root tests. Econometric Reviews 32 (8), 869–891.
Smeekes, S. and A. M. R. Taylor (2012). Bootstrap union tests for unit roots in the presence of nonstationary volatility. Econometric Theory 28 (2), 422–456.
Palm, F. C., S. Smeekes and J.-P. Urbain (2011). Cross-sectional dependence robust block bootstrap panel unit root tests. Journal of Econometrics 163 (1), 85–104.
Palm, F. C., S. Smeekes and J.-P. Urbain (2010). A sieve bootstrap test for cointegration in a conditional error correction model. Econometric Theory 26 (3), 647–681.
Palm, F. C., S. Smeekes and J.-P. Urbain (2008). Bootstrap unit root tests: comparison and extensions. Journal of Time Series Analysis 29 (2), 371–401.
Book Chapters
Smeekes, S. and E. Wijler (2020). Unit Roots and Cointegration. In Fuleky, P..(Ed.), Macroeconomic Forecasting in the Era of Big Data, Chapter 17, pp.~541–584. Advanced Studies in Theoretical and Applied Econometrics, vol. 52, Springer.
Working Papers
Haimerl, P., S. Smeekes and I. Wilms (2025). Estimation of Latent Group Structures in Time-Varying Panel Data Models. arXiv e-print 2503.23165.
Wegner, E., L. Lieb, S. Smeekes and I. Wilms (2024). Transmission channel analysis in dynamic models. arXiv e-print 2405.18987.
Adamek, R., S. Smeekes and I. Wilms (2023). Sparse high-dimensional vector autoregressive bootstrap. arXiv e-print 2302.01233.
Friedrich, M., L. Margaritella and S. Smeekes (2023). High-dimensional causality for climatic attribution. arXiv e-print 2302.03996.
Hecq, A., L. Margaritella and S. Smeekes (2023). Inference in non-stationary high-dimensional VARs. arXiv e-print 2302.01433.
Lieb, L. and S. Smeekes (2019). Inference for impulse responses under model uncertainty. arXiv e-print 1709.09583.
Beutner, E., A. Heinemann and S. Smeekes (2019). A general framework for prediction in time series models. arXiv e-print 1902.01622.
Smeekes, S. and J.-P. Urbain (2014). A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing. GSBE Research Memorandum RM/14/008, Maastricht University.