Details about Paulo M. M. Rodrigues
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Short-id: pro11
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Working Papers
2022
- Cross-Sectional Error Dependence in Panel Quantile Regressions
Working Papers, Banco de Portugal, Economics and Research Department
- Extensions to IVX Methods of Inference for Return Predictability
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
Also in Working Papers, Banco de Portugal, Economics and Research Department (2021) View citations (1)
- Forgetting Approaches to Improve Forecasting
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in Journal of Forecasting (2022)
- Survival of the fittest: Tourism Exposure and Firm Survival
Working Papers, Banco de Portugal, Economics and Research Department
- Transformed Regression-based Long-Horizon Predictability Tests
Essex Finance Centre Working Papers, University of Essex, Essex Business School
2021
- Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume
Working Papers, Banco de Portugal, Economics and Research Department 
Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2021) 
See also Journal Article in Journal of Applied Econometrics (2021)
- The Persistence of Wages
IZA Discussion Papers, Institute of Labor Economics (IZA) 
Also in Working Papers, Banco de Portugal, Economics and Research Department (2021)
2020
- Measuring wage inequality under right censoring
Working Papers, Banco de Portugal, Economics and Research Department 
Also in Papers, arXiv.org (2020)
- The expected time to cross a threshold and its determinants: A simple and flexible framework
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in Journal of Economic Dynamics and Control (2021)
2019
- A reexamination of inflation persistence dynamics in OECD countries: A new approach
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in Oxford Bulletin of Economics and Statistics (2021)
- Temporal aggregation of seasonally near-integrated processes
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (3)
Also in DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada (2018) 
See also Journal Article in Journal of Time Series Analysis (2019)
- Testing for Episodic Predictability in Stock Returns
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
Also in Working Papers, Banco de Portugal, Economics and Research Department (2019) View citations (3)
See also Journal Article in Journal of Econometrics (2022)
- Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium
Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät 
Also in Working Papers, Banco de Portugal, Economics and Research Department (2019)
2018
- Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in Asia-Pacific Financial Markets (2021)
- Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility
Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
2017
- Unit Root Tests and Heavy-Tailed Innovations
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
See also Journal Article in Journal of Time Series Analysis (2017)
2016
- A Mixed Frequency Approach to Forecast Private Consumption with ATM/POS Data
Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
- Forecasting banking crises with dynamic panel probit models
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in International Journal of Forecasting (2018)
- Market integration and the persistence of electricity prices
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in Empirical Economics (2019)
- Monitoring tourism flows and destination management: Empirical evidence for Portugal
CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) View citations (4)
See also Journal Article in Tourism Management (2016)
- Residual-augmented IVX predictive regression
Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
See also Journal Article in Journal of Econometrics (2022)
2015
- A New Regression-Based Tail Index Estimator: An Application to Exchange Rates
Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
- Comparing different early warning systems: Results from a horse race competition among members of the Macro-prudential Research Network
MPRA Paper, University Library of Munich, Germany View citations (28)
- House prices: bubbles, exuberance or something else? Evidence from euro area countries
Working Papers, Banco de Portugal, Economics and Research Department View citations (9)
- Semi-Parametric Seasonal Unit Root Tests
Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (2)
Also in DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada (2015) View citations (2)
See also Journal Article in Econometric Theory (2018)
2014
- Persistence in the Banking Industry: Fractional integration and breaks in memory
Working Papers, Banco de Portugal, Economics and Research Department View citations (7)
See also Journal Article in Journal of Empirical Finance (2014)
2013
- Characterizing economic growth paths based on new structural change tests
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in Economic Inquiry (2014)
- On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles
CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal) View citations (1)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)
2012
- How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example
Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
See also Journal Article in Journal of Business Economics and Management (2014)
- Quantile regression for long memory testing: A case of realized volatility
Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
See also Journal Article in The Journal of Financial Econometrics (2016)
2011
- A Class of Robust Tests in Augmented Predictive Regressions
Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
- Determinants of the EONIA spread and the financial crisis
Working Papers, Banco de Portugal, Economics and Research Department View citations (8)
See also Journal Article in Manchester School (2013)
- Evaluating retail banking quality service and convenience with MCDA techniques: a case study at the bank branch level
Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
- Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns
Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
- The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
See also Journal Article in Econometric Theory (2013)
2010
- A Multiple Criteria Framework to Evaluate Bank Branch Potential Attractiveness
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in International Journal of Strategic Property Management (2012)
- Calendar Effects in Daily ATM Withdrawals
Working Papers, Banco de Portugal, Economics and Research Department View citations (13)
See also Journal Article in Economics Bulletin (2010)
- Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates
Working Papers, Banco de Portugal, Economics and Research Department View citations (6)
See also Journal Article in Computational Statistics & Data Analysis (2014)
- The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in Oxford Bulletin of Economics and Statistics (2011)
2009
- Adding Value to Bank Branch Performance Evaluation Using Cognitive Maps and MCDA: A Case Study
Working Papers, Banco de Portugal, Economics and Research Department View citations (8)
- Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
Working Papers, Banco de Portugal, Economics and Research Department
- On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend
Working Papers, Banco de Portugal, Economics and Research Department 
See also Journal Article in Journal of Time Series Analysis (2011)
- The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
Working Papers, Banco de Portugal, Economics and Research Department View citations (8)
2008
- Comparing Seasonal Forecasts of Industrial Production
Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester
2006
- Efficient Tests of the Seasonal Unit Root Hypothesis*
Discussion Papers, University of Nottingham, School of Economics View citations (1)
Also in Economics Working Papers, European University Institute (2004) View citations (3)
See also Journal Article in Journal of Econometrics (2007)
2004
- ON THE SMALL SAMPLE PROPERTIES OF DICKEY FULLER AND MAXIMUM LIKELIHOOD UNIT ROOT TESTS ON DISCRETE-SAMPLED SHORT-TERM INTEREST RATES
Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 
Also in Econometrics, University Library of Munich, Germany (2004)
- Properties of Recursive Trend-Adjusted Unit Root Tests
Economics Working Papers, European University Institute View citations (1)
See also Journal Article in Economics Letters (2006)
2003
- A sequential approach to testing seasonal unit roots in high frequency data
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)
See also Journal Article in Journal of Applied Statistics (2005)
- On Tests for Double Differencing: Some Extensions and the Role of Initial Values
Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces
2002
- Seasonal Unit Root Tests under Structural Breaks
Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) 
Also in Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) 
See also Journal Article in Journal of Time Series Analysis (2004)
1999
- Seasonal Nonstationarity and Near-Nonstationarity
CIRANO Working Papers, CIRANO View citations (7)
Journal Articles
2022
- Correction to: Tests for segmented cointegration: an application to US governments budgets
Empirical Economics, 2022, 63, (2), 601-601
- Forgetting approaches to improve forecasting
Journal of Forecasting, 2022, 41, (7), 1356-1371 
See also Working Paper (2022)
- Residual-augmented IVX predictive regression
Journal of Econometrics, 2022, 227, (2), 429-460 
See also Working Paper (2016)
- Special issue: 20th anniversary of the Portuguese Economic Journal. Editors’ introduction
Portuguese Economic Journal, 2022, 21, (3), 267-269
- Testing for episodic predictability in stock returns
Journal of Econometrics, 2022, 227, (1), 85-113 
See also Working Paper (2019)
- Tests for segmented cointegration: an application to US governments budgets
Empirical Economics, 2022, 63, (2), 567-600
2021
- A Re‐Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach
Oxford Bulletin of Economics and Statistics, 2021, 83, (4), 935-959 
See also Working Paper (2019)
- Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume
Journal of Applied Econometrics, 2021, 36, (5), 544-565 
See also Working Paper (2021)
- Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics
Asia-Pacific Financial Markets, 2021, 28, (3), 333-352 View citations (1)
See also Working Paper (2018)
- The expected time to cross a threshold and its determinants: a simple and flexible framework
Journal of Economic Dynamics and Control, 2021, 122, (C) 
See also Working Paper (2020)
2020
- House price forecasting and uncertainty: Examining Portugal and Spain
Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2020
- Special issue on advanced methods to measure tourism impacts. Editors’ introduction
Portuguese Economic Journal, 2020, 19, (3), 171-172
2019
- A New Regression-Based Tail Index Estimator
The Review of Economics and Statistics, 2019, 101, (4), 667-680 View citations (5)
- Editors’ note
Portuguese Economic Journal, 2019, 18, (1), 1-3
- Market integration and the persistence of electricity prices
Empirical Economics, 2019, 57, (5), 1495-1514 
See also Working Paper (2016)
- Temporal Aggregation of Seasonally Near‐Integrated Processes
Journal of Time Series Analysis, 2019, 40, (6), 872-886 View citations (3)
See also Working Paper (2019)
2018
- Forecasting banking crises with dynamic panel probit models
International Journal of Forecasting, 2018, 34, (2), 249-275 View citations (10)
See also Working Paper (2016)
- Persistence of travel and leisure sector equity indices
Empirical Economics, 2018, 54, (4), 1801-1825 View citations (1)
- SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
Econometric Theory, 2018, 34, (2), 447-476 View citations (4)
See also Working Paper (2015)
2017
- A mixed frequency approach to the forecasting of private consumption with ATM/POS data
International Journal of Forecasting, 2017, 33, (1), 61-75 View citations (30)
- House prices in Portugal - what happened since the crisis?
Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2017 View citations (1)
- Territory and Sustainable Tourism Development: a Space-Time Analysis on European Regions
REGION, 2017, 4, 1-17 View citations (13)
- Unit Root Tests and Heavy-Tailed Innovations
Journal of Time Series Analysis, 2017, 38, (5), 733-768 View citations (2)
See also Working Paper (2017)
2016
- Monitoring tourism flows and destination management: Empirical evidence for Portugal
Tourism Management, 2016, 56, (C), 1-7 View citations (4)
See also Working Paper (2016)
- Quantile Regression for Long Memory Testing: A Case of Realized Volatility
The Journal of Financial Econometrics, 2016, 14, (4), 693-724 View citations (11)
See also Working Paper (2012)
- Tourism growth and regional resilience
Tourism Economics, 2016, 22, (4), 699-714 View citations (4)
2015
- A Reappraisal of Eurozone Countries Output Differentials
Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2015
- Modeling and forecasting interval time series with threshold models
Advances in Data Analysis and Classification, 2015, 9, (1), 41-57 View citations (13)
- On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles
Oxford Bulletin of Economics and Statistics, 2015, 77, (4), 495-511 View citations (4)
See also Working Paper (2013)
- Opportunities, Emerging Features, and Trends in Electronic Distribution in Tourism
International Journal of Information Systems and Social Change (IJISSC), 2015, 6, (4), 17-32
- Tourist Spending Dynamics in the Algarve: A Cross-Sectional Analysis
Tourism Economics, 2015, 21, (3), 475-500 View citations (2)
2014
- CHARACTERIZING ECONOMIC GROWTH PATHS BASED ON NEW STRUCTURAL CHANGE TESTS
Economic Inquiry, 2014, 52, (2), 845-861 View citations (4)
See also Working Paper (2013)
- Early Warning Indicators of Banking Crises: Exploring new Data and Tools
Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2014 View citations (9)
- Evaluating retail banking service quality and convenience with MCDA techniques: a case study at the bank branch level
Journal of Business Economics and Management, 2014, 15, (1), 1-21 View citations (16)
- How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example
Journal of Business Economics and Management, 2014, 15, (4), 708-728 View citations (6)
See also Working Paper (2012)
- Persistence in the banking industry: Fractional integration and breaks in memory
Journal of Empirical Finance, 2014, 29, (C), 95-112 View citations (7)
See also Working Paper (2014)
- Testing for persistence change in fractionally integrated models: An application to world inflation rates
Computational Statistics & Data Analysis, 2014, 76, (C), 502-522 View citations (23)
See also Working Paper (2010)
2013
- Determinants of the EONIA Spread and the Financial Crisis
Manchester School, 2013, 81, 82-110 View citations (11)
See also Working Paper (2011)
- Recursive adjustment, unit root tests and structural breaks
Journal of Time Series Analysis, 2013, 34, (1), 62-82 View citations (5)
- Research Note: The Importance of Online Tourism Demand
Tourism Economics, 2013, 19, (6), 1443-1447 View citations (11)
- THE IMPACT OF PERSISTENT CYCLES ON ZERO FREQUENCY UNIT ROOT TESTS
Econometric Theory, 2013, 29, (6), 1289-1313 View citations (3)
See also Working Paper (2011)
- The world tourism exports cycle
Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2013 View citations (3)
2012
- A multiple criteria framework to evaluate bank branch potential attractiveness
International Journal of Strategic Property Management, 2012, 16, (3), 254-276 View citations (11)
See also Working Paper (2010)
- Assessing the Impact of Shocks on International Tourism Demand for Portugal
Tourism Economics, 2012, 18, (3), 617-634 View citations (2)
- Robust Econometric Methods for Modelling Economic and Financial Variables
Economics Bulletin, 2012, 32, (2), A22
- The Flexible Fourier Form and Local Generalised Least Squares De-trended Unit Root Tests-super-
Oxford Bulletin of Economics and Statistics, 2012, 74, (5), 736-759 View citations (55)
2011
- On LM‐type tests for seasonal unit roots in the presence of a break in trend
Journal of Time Series Analysis, 2011, 32, (2), 108-134 View citations (2)
See also Working Paper (2009)
- The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance
Oxford Bulletin of Economics and Statistics, 2011, 73, (4), 449-468 View citations (13)
See also Working Paper (2010)
- Threshold effects in credit risk and stress scenarios
International Journal of Finance & Economics, 2011, 16, (4), 393-407 View citations (1)
2010
- Calendar effects in daily ATM withdrawals
Economics Bulletin, 2010, 30, (4), 2587-2597 View citations (15)
See also Working Paper (2010)
- Determinants of the EONIA spread and the financial turmoil of 2007-2009
Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2010
- Events that marked tourism in Portugal
Applied Economics Letters, 2010, 17, (8), 761-766 View citations (2)
- Knowledge Production in European Regions: The Impact of Regional Strategies and Regionalization on Innovation
European Planning Studies, 2010, 18, (10), 1731-1748 View citations (5)
- Persistence Change in Tourism Data
Tourism Economics, 2010, 16, (2), 303-319
- Volatility and Seasonality of Tourism Demand in Portugal
Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2010 View citations (1)
2009
- Modelling and Forecasting the UK Tourism Growth Cycle in Algarve
Tourism Economics, 2009, 15, (2), 323-338 View citations (4)
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
Econometric Theory, 2009, 25, (6), 1793-1828 View citations (20)
2008
- A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
Statistical Papers, 2008, 49, (3), 581-593
2007
- Asset Pricing: Theory and Empirical Evidence
Economics Bulletin, 2007, 28, (37), A0
- EC2 CONFERENCE ON ADVANCES IN ECONOMETRIC TIME SERIES ANALYSIS
Economics Bulletin, 2007, 28, (34), A0
- Efficient tests of the seasonal unit root hypothesis
Journal of Econometrics, 2007, 141, (2), 548-573 View citations (21)
See also Working Paper (2006)
- Multivariate Volatility Models
Economics Bulletin, 2007, 28, (32), A0
- Testing for causality in variance under nonstationarity in variance
Economics Letters, 2007, 97, (2), 133-137 View citations (17)
2006
- Properties of recursive trend-adjusted unit root tests
Economics Letters, 2006, 91, (3), 413-419 View citations (8)
See also Working Paper (2004)
2005
- A sequential approach to testing seasonal unit roots in high frequency data
Journal of Applied Statistics, 2005, 32, (6), 555-569 View citations (2)
See also Working Paper (2003)
- Dating and Synchronizing Tourism Growth Cycles
Tourism Economics, 2005, 11, (4), 501-515 View citations (11)
- The performance of unit root tests under level-dependent heteroskedasticity
Economics Letters, 2005, 89, (3), 262-268 View citations (6)
2004
- ASYMPTOTIC DISTRIBUTIONS FOR REGRESSION-BASED SEASONAL UNIT ROOT TEST STATISTICS IN A NEAR-INTEGRATED MODEL
Econometric Theory, 2004, 20, (4), 645-670 View citations (10)
- Alternative estimators and unit root tests for seasonal autoregressive processes
Journal of Econometrics, 2004, 120, (1), 35-73 View citations (10)
- An Application of PAR Models for Tourism Forecasting
Tourism Economics, 2004, 10, (3), 281-303 View citations (2)
- F versus t tests for unit roots: a comment
Economics Bulletin, 2004, 3, (12), 1-7 View citations (2)
- ON TESTS FOR DOUBLE DIFFERENCING: METHODS OF DEMEANING AND DETRENDING AND THE ROLE OF INITIAL VALUES
Econometric Theory, 2004, 20, (1), 95-115 View citations (1)
- Seasonal Unit Root Tests Under Structural Breaks
Journal of Time Series Analysis, 2004, 25, (1), 33-53 View citations (9)
See also Working Paper (2002)
- Threshold Cointegration and the PPP Hypothesis
Journal of Applied Statistics, 2004, 31, (1), 115-127 View citations (8)
2002
- ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
Econometric Reviews, 2002, 21, (2), 221-241 View citations (14)
- On LM type tests for seasonal unit roots in quarterly data
Econometrics Journal, 2002, 5, (1), 176-195 View citations (9)
- The behaviour of seasonal unit root tests under neglected local drifts
Portuguese Economic Journal, 2002, 1, (1), 27-46 View citations (1)
2001
- NEAR SEASONAL INTEGRATION
Econometric Theory, 2001, 17, (1), 70-86 View citations (7)
2000
- A note on the application of the DF test to seasonal data
Statistics & Probability Letters, 2000, 47, (2), 171-175 View citations (3)
1999
- Performance of seasonal unit root tests for monthly data
Journal of Applied Statistics, 1999, 26, (8), 985-1004 View citations (20)
Chapters
2006
- Forecasting Seasonal Time Series
Elsevier View citations (26)
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