Details about Paulo M. M. Rodrigues

E-mail:
Homepage:	https://www.bportugal.pt/en/economista/paulo-mm-rodrigues
Phone:	+351 21 3130831
Postal address:	Banco de Portugal Economic Research Department Av. Almirante Reis, 71-6th floor 1150-012 Lisbon, Portugal
Workplace:	Banco de Portugal (Central Bank of Portugal), (more information at EDIRC) School of Business and Economics, Universidade Nova de Lisboa (Nova University of Lisbon), (more information at EDIRC)

Access statistics for papers by Paulo M. M. Rodrigues.

Last updated 2022-12-06. Update your information in the RePEc Author Service.

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Working Papers

2022

1. Cross-Sectional Error Dependence in Panel Quantile Regressions
   Working Papers, Banco de Portugal, Economics and Research Department
2. 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)
3. Forgetting Approaches to Improve Forecasting
   Working Papers, Banco de Portugal, Economics and Research Department
   See also Journal Article in Journal of Forecasting (2022)
4. Survival of the fittest: Tourism Exposure and Firm Survival
   Working Papers, Banco de Portugal, Economics and Research Department
5. Transformed Regression-based Long-Horizon Predictability Tests
   Essex Finance Centre Working Papers, University of Essex, Essex Business School

2021

6. 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)
7. 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

8. Measuring wage inequality under right censoring
   Working Papers, Banco de Portugal, Economics and Research Department
   Also in Papers, arXiv.org (2020)
9. 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

10. 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)
11. 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)
12. 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)
13. 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

14. 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)
15. 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

16. 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

17. A Mixed Frequency Approach to Forecast Private Consumption with ATM/POS Data
    Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
18. 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)
19. 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)
20. 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)
21. 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

22. A New Regression-Based Tail Index Estimator: An Application to Exchange Rates
    Working Papers, Banco de Portugal, Economics and Research Department View citations (2)
23. 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)
24. House prices: bubbles, exuberance or something else? Evidence from euro area countries
    Working Papers, Banco de Portugal, Economics and Research Department View citations (9)
25. 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

26. 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

27. 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)
28. 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

29. 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)
30. 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

31. A Class of Robust Tests in Augmented Predictive Regressions
    Working Papers, Banco de Portugal, Economics and Research Department View citations (3)
32. 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)
33. 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)
34. 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)
35. 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

36. 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)
37. 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)
38. 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)
39. 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

40. 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)
41. Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
    Working Papers, Banco de Portugal, Economics and Research Department
42. 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)
43. 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

44. Comparing Seasonal Forecasts of Industrial Production
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester

2006

45. 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

46. 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)
47. 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

48. 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)
49. 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

50. 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

51. Seasonal Nonstationarity and Near-Nonstationarity
    CIRANO Working Papers, CIRANO View citations (7)

Journal Articles

2022

1. Correction to: Tests for segmented cointegration: an application to US governments budgets
   Empirical Economics, 2022, 63, (2), 601-601
2. Forgetting approaches to improve forecasting
   Journal of Forecasting, 2022, 41, (7), 1356-1371
   See also Working Paper (2022)
3. Residual-augmented IVX predictive regression
   Journal of Econometrics, 2022, 227, (2), 429-460
   See also Working Paper (2016)
4. Special issue: 20th anniversary of the Portuguese Economic Journal. Editors’ introduction
   Portuguese Economic Journal, 2022, 21, (3), 267-269
5. Testing for episodic predictability in stock returns
   Journal of Econometrics, 2022, 227, (1), 85-113
   See also Working Paper (2019)
6. Tests for segmented cointegration: an application to US governments budgets
   Empirical Economics, 2022, 63, (2), 567-600

2021

7. 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)
8. 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)
9. 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)
10. 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

11. House price forecasting and uncertainty: Examining Portugal and Spain
    Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2020
12. Special issue on advanced methods to measure tourism impacts. Editors’ introduction
    Portuguese Economic Journal, 2020, 19, (3), 171-172

2019

13. A New Regression-Based Tail Index Estimator
    The Review of Economics and Statistics, 2019, 101, (4), 667-680 View citations (5)
14. Editors’ note
    Portuguese Economic Journal, 2019, 18, (1), 1-3
15. Market integration and the persistence of electricity prices
    Empirical Economics, 2019, 57, (5), 1495-1514
    See also Working Paper (2016)
16. 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

17. 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)
18. Persistence of travel and leisure sector equity indices
    Empirical Economics, 2018, 54, (4), 1801-1825 View citations (1)
19. SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
    Econometric Theory, 2018, 34, (2), 447-476 View citations (4)
    See also Working Paper (2015)

2017

20. 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)
21. 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)
22. Territory and Sustainable Tourism Development: a Space-Time Analysis on European Regions
    REGION, 2017, 4, 1-17 View citations (13)
23. 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

24. 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)
25. 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)
26. Tourism growth and regional resilience
    Tourism Economics, 2016, 22, (4), 699-714 View citations (4)

2015

27. A Reappraisal of Eurozone Countries Output Differentials
    Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2015
28. Modeling and forecasting interval time series with threshold models
    Advances in Data Analysis and Classification, 2015, 9, (1), 41-57 View citations (13)
29. 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)
30. Opportunities, Emerging Features, and Trends in Electronic Distribution in Tourism
    International Journal of Information Systems and Social Change (IJISSC), 2015, 6, (4), 17-32
31. Tourist Spending Dynamics in the Algarve: A Cross-Sectional Analysis
    Tourism Economics, 2015, 21, (3), 475-500 View citations (2)

2014

32. 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)
33. 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)
34. 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)
35. 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)
36. 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)
37. 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

38. Determinants of the EONIA Spread and the Financial Crisis
    Manchester School, 2013, 81, 82-110 View citations (11)
    See also Working Paper (2011)
39. Recursive adjustment, unit root tests and structural breaks
    Journal of Time Series Analysis, 2013, 34, (1), 62-82 View citations (5)
40. Research Note: The Importance of Online Tourism Demand
    Tourism Economics, 2013, 19, (6), 1443-1447 View citations (11)
41. 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)
42. The world tourism exports cycle
    Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, 2013 View citations (3)

2012

43. 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)
44. Assessing the Impact of Shocks on International Tourism Demand for Portugal
    Tourism Economics, 2012, 18, (3), 617-634 View citations (2)
45. Robust Econometric Methods for Modelling Economic and Financial Variables
    Economics Bulletin, 2012, 32, (2), A22
46. 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

47. 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)
48. 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)
49. Threshold effects in credit risk and stress scenarios
    International Journal of Finance & Economics, 2011, 16, (4), 393-407 View citations (1)

2010

50. Calendar effects in daily ATM withdrawals
    Economics Bulletin, 2010, 30, (4), 2587-2597 View citations (15)
    See also Working Paper (2010)
51. 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
52. Events that marked tourism in Portugal
    Applied Economics Letters, 2010, 17, (8), 761-766 View citations (2)
53. 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)
54. Persistence Change in Tourism Data
    Tourism Economics, 2010, 16, (2), 303-319
55. 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

56. Modelling and Forecasting the UK Tourism Growth Cycle in Algarve
    Tourism Economics, 2009, 15, (2), 323-338 View citations (4)
57. TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
    Econometric Theory, 2009, 25, (6), 1793-1828 View citations (20)

2008

58. A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity
    Statistical Papers, 2008, 49, (3), 581-593

2007

59. Asset Pricing: Theory and Empirical Evidence
    Economics Bulletin, 2007, 28, (37), A0
60. EC2 CONFERENCE ON ADVANCES IN ECONOMETRIC TIME SERIES ANALYSIS
    Economics Bulletin, 2007, 28, (34), A0
61. Efficient tests of the seasonal unit root hypothesis
    Journal of Econometrics, 2007, 141, (2), 548-573 View citations (21)
    See also Working Paper (2006)
62. Multivariate Volatility Models
    Economics Bulletin, 2007, 28, (32), A0
63. Testing for causality in variance under nonstationarity in variance
    Economics Letters, 2007, 97, (2), 133-137 View citations (17)

2006

64. Properties of recursive trend-adjusted unit root tests
    Economics Letters, 2006, 91, (3), 413-419 View citations (8)
    See also Working Paper (2004)

2005

65. 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)
66. Dating and Synchronizing Tourism Growth Cycles
    Tourism Economics, 2005, 11, (4), 501-515 View citations (11)
67. The performance of unit root tests under level-dependent heteroskedasticity
    Economics Letters, 2005, 89, (3), 262-268 View citations (6)

2004

68. 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)
69. Alternative estimators and unit root tests for seasonal autoregressive processes
    Journal of Econometrics, 2004, 120, (1), 35-73 View citations (10)
70. An Application of PAR Models for Tourism Forecasting
    Tourism Economics, 2004, 10, (3), 281-303 View citations (2)
71. F versus t tests for unit roots: a comment
    Economics Bulletin, 2004, 3, (12), 1-7 View citations (2)
72. 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)
73. 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)
74. Threshold Cointegration and the PPP Hypothesis
    Journal of Applied Statistics, 2004, 31, (1), 115-127 View citations (8)

2002

75. ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH
    Econometric Reviews, 2002, 21, (2), 221-241 View citations (14)
76. On LM type tests for seasonal unit roots in quarterly data
    Econometrics Journal, 2002, 5, (1), 176-195 View citations (9)
77. The behaviour of seasonal unit root tests under neglected local drifts
    Portuguese Economic Journal, 2002, 1, (1), 27-46 View citations (1)

2001

78. NEAR SEASONAL INTEGRATION
    Econometric Theory, 2001, 17, (1), 70-86 View citations (7)

2000

79. A note on the application of the DF test to seasonal data
    Statistics & Probability Letters, 2000, 47, (2), 171-175 View citations (3)

1999

80. Performance of seasonal unit root tests for monthly data
    Journal of Applied Statistics, 1999, 26, (8), 985-1004 View citations (20)

Chapters

2006

1. Forecasting Seasonal Time Series
   Elsevier View citations (26)