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Details about Zacharias Psaradakis

E-mail:
Homepage:http://www.bbk.ac.uk/ems/faculty/psaradakis
Workplace:Department of Economics, Mathematics and Statistics, Birkbeck College, (more information at EDIRC)

Access statistics for papers by Zacharias Psaradakis.

Last updated 2019-07-22. Update your information in the RePEc Author Service.

Short-id: pps8


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Working Papers

2018

  1. Bootstrap Assisted Tests of Symmetry for Dependent Data
    Working and Discussion Papers, Research Department, National Bank of Slovakia Downloads
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2018) Downloads
  2. Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes
    Papers, arXiv.org Downloads
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2016) Downloads View citations (2)

2017

  1. Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2017) Downloads
  2. Normality Tests for Dependent Data
    Working and Discussion Papers, Research Department, National Bank of Slovakia Downloads
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2017) Downloads

2016

  1. Portmanteau Tests for Linearity of Stationary Time Series
    Working and Discussion Papers, Research Department, National Bank of Slovakia Downloads
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2015) Downloads

    See also Journal Article in Econometric Reviews (2019)

2015

  1. A Distance Test of Normality for a Wide Class of Stationary Processes
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads
    See also Journal Article in Econometrics and Statistics (2017)

2010

  1. Multivariate Contemporaneous-Threshold Autoregressive Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2009) Downloads
    Working Papers, Federal Reserve Bank of St. Louis (2007) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2011)
  2. Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads View citations (4)
  3. State-Dependent Threshold STAR Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads View citations (1)

2009

  1. Contemporaneous-Threshold Smooth Transition GARCH Models
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2011)

2007

  1. Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2007) Downloads

2006

  1. Sieve Bootstrap for Strongly Dependent Stationary Processes
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2006) Downloads View citations (1)

2003

  1. Markov Switching Causality and the Money-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2005)
  2. Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University Downloads
    Also in Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003) Downloads

    See also Journal Article in Journal of Applied Econometrics (2005)

2002

  1. On Detrending and Cyclical Asymmetry
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads
    See also Journal Article in Journal of Applied Econometrics (2003)
  2. On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (5)
    See also Journal Article in Journal of Time Series Analysis (2003)
  3. On the autocorrelation properties of Long Memory Garch Processes
    Department of Economics Working Papers, Universidad Torcuato Di Tella Downloads View citations (2)
    See also Journal Article in Journal of Time Series Analysis (2004)
  4. Residual-based tests for cointegration and multiple regime shifts
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (3)

2001

  1. A simple method for testing cointegration subject to regime changes
    NIPE Working Papers, NIPE - Universidade do Minho Downloads

1998

  1. An Empirical Reassessment of Target-zone Nonlinearities
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    See also Journal Article in Journal of International Money and Finance (2001)

1996

  1. Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation
    Archive Discussion Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (3)
    See also Journal Article in Econometric Reviews (1997)

1995

  1. Regression-Based Tests for Persistence in Conditional Variances
    Discussion Papers, University of Exeter, Department of Economics View citations (2)

1993

  1. On the power of tests for superexogeneity and structural invariance
    Documentos de Trabajo (working papers), Department of Economics - dECON
    See also Journal Article in Journal of Econometrics (1996)

Undated

  1. Cross-Sectional Aggregation and Persistence in Conditional Variance
    Discussion Papers, Department of Economics, University of York Downloads View citations (4)

Journal Articles

2019

  1. Portmanteau tests for linearity of stationary time series
    Econometric Reviews, 2019, 38, (2), 248-262 Downloads
    See also Working Paper (2016)

2017

  1. A distance test of normality for a wide class of stationary processes
    Econometrics and Statistics, 2017, 2, (C), 50-60 Downloads View citations (2)
    See also Working Paper (2015)

2016

  1. Semiparametric Sieve-Type Generalized Least Squares Inference
    Econometric Reviews, 2016, 35, (6), 951-985 Downloads
  2. Using the Bootstrap to Test for Symmetry Under Unknown Dependence
    Journal of Business & Economic Statistics, 2016, 34, (3), 406-415 Downloads View citations (3)

2015

  1. A Quantile-based Test for Symmetry of Weakly Dependent Processes
    Journal of Time Series Analysis, 2015, 36, (4), 587-598 Downloads View citations (2)

2014

  1. On testing for nonlinearity in multivariate time series
    Economics Letters, 2014, 125, (1), 1-4 Downloads

2013

  1. State-Dependent Threshold Smooth Transition Autoregressive Models
    Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 835-854 Downloads View citations (1)

2011

  1. Contemporaneous-Threshold Smooth Transition GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 1-25 Downloads View citations (1)
    See also Working Paper (2009)
  2. Multivariate contemporaneous-threshold autoregressive models
    Journal of Econometrics, 2011, 160, (2), 311-325 Downloads View citations (8)
    See also Working Paper (2010)

2010

  1. On inference based on the one-sample sign statistic for long-range dependent data
    Computational Statistics, 2010, 25, (2), 329-340 Downloads

2009

  1. Selecting nonlinear time series models using information criteria
    Journal of Time Series Analysis, 2009, 30, (4), 369-394 Downloads View citations (14)

2008

  1. Assessing Time‐Reversibility Under Minimal Assumptions
    Journal of Time Series Analysis, 2008, 29, (5), 881-905 Downloads View citations (4)

2006

  1. Blockwise bootstrap testing for stationarity
    Statistics & Probability Letters, 2006, 76, (6), 562-570 Downloads View citations (1)
  2. Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (2), 1-31 Downloads View citations (6)
  3. Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
    Journal of Time Series Analysis, 2006, 27, (5), 753-766 Downloads View citations (37)

2005

  1. Forecast performance of nonlinear error-correction models with multiple regimes
    Journal of Forecasting, 2005, 24, (2), 119-138 Downloads View citations (2)
  2. Markov switching causality and the money-output relationship
    Journal of Applied Econometrics, 2005, 20, (5), 665-683 Downloads View citations (57)
    See also Working Paper (2003)
  3. Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
    Journal of Applied Econometrics, 2005, 20, (3), 423-437 Downloads View citations (24)
    See also Working Paper (2003)

2004

  1. On Markov error-correction models, with an application to stock prices and dividends
    Journal of Applied Econometrics, 2004, 19, (1), 69-88 Downloads View citations (75)
  2. On the Autocorrelation Properties of Long-Memory GARCH Processes
    Journal of Time Series Analysis, 2004, 25, (2), 265-282 Downloads View citations (23)
    See also Working Paper (2002)

2003

  1. A sieve bootstrap test for stationarity
    Statistics & Probability Letters, 2003, 62, (3), 263-274 Downloads View citations (4)
  2. ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
    Journal of Time Series Analysis, 2003, 24, (2), 237-252 Downloads View citations (67)
    See also Working Paper (2002)
  3. On detrending and cyclical asymmetry
    Journal of Applied Econometrics, 2003, 18, (3), 271-289 Downloads View citations (28)
    See also Working Paper (2002)
  4. Target zone credibility and economic fundamentals
    Economic Modelling, 2003, 20, (4), 791-807 Downloads View citations (13)

2002

  1. A simple method of testing for cointegration subject to multiple regime changes
    Economics Letters, 2002, 76, (2), 213-221 Downloads View citations (18)
  2. On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
    Statistics & Probability Letters, 2002, 57, (1), 101-109 Downloads View citations (3)
  3. Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (3), 1-16 Downloads View citations (17)

2001

  1. A simple procedure for detecting periodically collapsing rational bubbles
    Economics Letters, 2001, 72, (3), 317-323 Downloads View citations (15)
  2. An empirical reassessment of target-zone nonlinearities
    Journal of International Money and Finance, 2001, 20, (4), 533-548 Downloads View citations (2)
    See also Working Paper (1998)
  3. Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
    Journal of Time Series Analysis, 2001, 22, (5), 577-594 Downloads
  4. Markov level shifts and the unit-root hypothesis
    Econometrics Journal, 2001, 4, (2), 4 View citations (5)
  5. On bootstrap inference in cointegrating regressions
    Economics Letters, 2001, 72, (1), 1-10 Downloads View citations (9)

2000

  1. Assessing the Credibility of a Target Zone: Evidence from EMS Countries
    International Journal of Finance & Economics, 2000, 5, (2), 107-20 Downloads View citations (6)
  2. Bootstrap tests for unit roots in seasonal autoregressive models
    Statistics & Probability Letters, 2000, 50, (4), 389-395 Downloads View citations (2)
  3. p-Value Adjustments for Multiple Tests for Nonlinearity
    Studies in Nonlinear Dynamics & Econometrics, 2000, 4, (3), 1-8 Downloads View citations (5)

1999

  1. Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test
    Journal of Applied Econometrics, 1999, 14, (2), 143-54 Downloads View citations (125)
  2. On regression-based tests for persistence in logarithmic volatility models
    Econometric Reviews, 1999, 18, (4), 441-448 Downloads View citations (9)

1998

  1. Bootstrap-based evaluation of markov-switching time series models
    Econometric Reviews, 1998, 17, (3), 275-288 Downloads View citations (9)
  2. Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching
    Journal of Econometrics, 1998, 86, (2), 369-386 Downloads View citations (35)
  3. Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables
    International Journal of Finance & Economics, 1998, 3, (4), 321-25 Downloads View citations (9)

1997

  1. A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure
    Oxford Bulletin of Economics and Statistics, 1997, 59, (1), 29-42 View citations (17)
  2. Cointegration and Changes in Regime: The Japanese Consumption Function
    Journal of Applied Econometrics, 1997, 12, (2), 151-68 Downloads View citations (46)
  3. Switching error-correction models of house prices in the United Kingdom
    Economic Modelling, 1997, 14, (4), 517-527 Downloads View citations (48)
  4. Testing for unit roots in time series with nearly deterministic seasonal variation
    Econometric Reviews, 1997, 16, (4), 421-439 Downloads View citations (4)
    See also Working Paper (1996)

1996

  1. On the power of tests for superexogeneity and structural invariance
    Journal of Econometrics, 1996, 72, (1-2), 151-175 Downloads View citations (17)
    See also Working Paper (1993)

1995

  1. An Analysis of Seasonality in the U.K. Equity Market
    Economic Journal, 1995, 105, (429), 398-409 Downloads View citations (14)

1994

  1. A comparison of tests of linear hypotheses in cointegrated vector autoregressive models
    Economics Letters, 1994, 45, (2), 137-144 Downloads View citations (6)

1993

  1. PcGive and PcFiml Version 7 [Review Article]
    Journal of Economic Surveys, 1993, 7, (4), 399-407
  2. The Demand for Money in Greece: An Exercise in Econometric Modelling with Cointegrated Variables
    Oxford Bulletin of Economics and Statistics, 1993, 55, (2), 215-36 View citations (5)
 
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