Details about Peter Sephton

Access statistics for papers by Peter Sephton.

Last updated 2024-12-04. Update your information in the RePEc Author Service.

Short-id: pse264

Working Papers

1982

1. Endogenous Expectations and Economic Policy
   Working Paper, Economics Department, Queen's University

Journal Articles

2024

1. Finite Sample Lag Adjusted Critical Values and Probability Values for the Fourier Wavelet Unit Root Test
   Computational Economics, 2024, 64, (2), 693-705

2023

2. A note on CO2 emissions using two new tests
   Empirica, 2023, 50, (4), 933-941
3. Threshold cointegration and asymmetries between dividends and earnings news
   Finance Research Letters, 2023, 58, (PB) View citations (1)

2022

4. Finite Sample Lag Adjusted Critical Values of the ADF-GLS Test
   Computational Economics, 2022, 59, (1), 177-183 View citations (3)
5. Revisiting the inflation-hedging properties of precious metals in Africa
   Resources Policy, 2022, 77, (C) View citations (3)

2020

6. Mean Reversion in CO2 Emissions: the Need for Structural Change
   Environmental & Resource Economics, 2020, 75, (4), 953-975 View citations (3)

2019

7. A (negative) replication of ‘The relationship between energy consumption, energy prices, and economic growth: Time series evidence from Asian developing countries’ (Energy Economics, 2000)
   Energy Economics, 2019, 82, (C), 78-84 View citations (2)
8. El Niño, La Niña, and a cup of Joe
   Energy Economics, 2019, 84, (C) View citations (8)

2018

9. Gold and crude oil prices after the great moderation
   Energy Economics, 2018, 71, (C), 273-281 View citations (23)

2017

10. Finite Sample Critical Values of the Generalized KPSS Stationarity Test
    Computational Economics, 2017, 50, (1), 161-172 View citations (10)

2016

11. Compelling Evidence of an Environmental Kuznets Curve in the United Kingdom
    Environmental & Resource Economics, 2016, 64, (2), 301-315 View citations (33)
12. Global relationships across crude oil benchmarks
    Journal of Commodity Markets, 2016, 2, (1), 1-5 View citations (18)

2015

13. Nonlinear attractors and asymmetries between non-life insurance premiums and financial markets
    Empirical Economics, 2015, 49, (3), 783-799 View citations (5)
14. Revising Fiscal Policy and Growth in Saudi Arabia
    Journal of Reviews on Global Economics, 2015, 4, 139-146 View citations (1)

2013

15. Further evidence of an Environmental Kuznets Curve in Spain
    Energy Economics, 2013, 36, (C), 177-181 View citations (43)
16. Threshold Cointegration: Model Selection with an Application
    Journal of Economics and Econometrics, 2013, 56, (2), 54-77 View citations (15)

2012

17. Breaking deterministics, test size and the efficient Wald test for fractional unit roots
    Applied Economics Letters, 2012, 19, (1), 83-85
18. Persistence in U.S. State Unemployment Rates: Errata and Extensions
    Southern Economic Journal, 2012, 78, (3), e1-e9 View citations (2)

2011

19. Spatial Arbitrage in Sarawak Pepper Prices
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 2011, 59, (3), 405-416 View citations (4)
20. Who cut the cheese?
    Applied Economics Letters, 2011, 18, (1), 7-10 View citations (1)

2010

21. On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration
    Applied Economics, 2010, 42, (13), 1671-1679
22. Unit roots and purchasing power parity: another kick at the can
    Applied Economics, 2010, 42, (27), 3439-3453 View citations (2)

2009

23. Book Review of The Drunkard’s Walk: How Randomness Rules Our Lives
    Foresight: The International Journal of Applied Forecasting, 2009, (14), 5-8
24. Critical values for the augmented efficient Wald test for fractional unit roots
    Empirical Economics, 2009, 37, (3), 615-626 View citations (9)
25. Fractional integration in agricultural futures price volatilities revisited
    Agricultural Economics, 2009, 40, (1), 103-111 View citations (7)
26. Persistence in U.S. State Unemployment Rates
    Southern Economic Journal, 2009, 76, (2), 458-466 View citations (7)
27. Predicting Recessions: A Regression (Probit) Model Approach
    Foresight: The International Journal of Applied Forecasting, 2009, (12), 26-32 View citations (1)
28. Prostate cancer: a New Brunswick tale
    Applied Economics Letters, 2009, 16, (7), 663-667

2008

29. Critical values of the augmented fractional Dickey–Fuller test
    Empirical Economics, 2008, 35, (3), 437-450 View citations (9)
30. Exchange rates and fractional integration revisited
    Applied Financial Economics Letters, 2008, 4, (6), 383-387
31. Market shares and rivalry in the U.S. cigarette industry
    Applied Economics Letters, 2008, 15, (6), 417-422 View citations (1)
32. On the finite sample size and power of the generalized KPSS test in the presence of level breaks
    Applied Economics Letters, 2008, 15, (11), 833-843 View citations (4)

2005

33. Forecasting inflation using the term structure and MARS
    Applied Economics Letters, 2005, 12, (4), 199-202 View citations (5)
34. Predicting the equity premium with dividend ratios: a matter of balance
    Applied Economics Letters, 2005, 12, (3), 145-147

2003

35. Spatial Market Arbitrage and Threshold Cointegration
    American Journal of Agricultural Economics, 2003, 85, (4), 1041-1046 View citations (28)

2002

36. Fractional cointegration: Monte Carlo estimates of critical values, with an application
    Applied Financial Economics, 2002, 12, (5), 331-335 View citations (17)

2001

37. Forecasting recessions: can we do better on MARS?
    Review, 2001, 83, (Mar), 39-49 View citations (19)

2000

38. Financial analysis package for GAUSS
    Journal of Applied Econometrics, 2000, 15, (4), 433-438

1998

39. Easyreg: version 1.12
    Journal of Applied Econometrics, 1998, 13, (2), 203-207 View citations (2)
40. GARCH and MARKOV Hedging at the Winnipeg Commodity Exchange
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 1998, 46, (2), 117-126 View citations (2)

1996

41. A note on fractional cointegration
    Applied Economics Letters, 1996, 3, (10), 683-685 View citations (3)
42. Extended critical values for a simple test of cointegration
    Applied Economics Letters, 1996, 3, (3), 155-157 View citations (3)

1995

43. Response surface estimates of the KPSS stationarity test
    Economics Letters, 1995, 47, (3-4), 255-261 View citations (88)

1994

44. Cointegration Tests on MARS
    Computational Economics, 1994, 7, (1), 23-35 View citations (16)

1993

45. Optimal Hedge Ratios at the Winnipeg Commodity Exchange
    Canadian Journal of Economics, 1993, 26, (1), 175-93 View citations (17)

1992

46. Modelling the Link between Commodity Prices and Exchange Rates: The Tale of Daily Data
    Canadian Journal of Economics, 1992, 25, (1), 156-71 View citations (3)

1991

47. Commodity Prices: Policy Target or Information Variable: A Comment
    Journal of Money, Credit and Banking, 1991, 23, (2), 260-66 View citations (12)
48. Tests of exchange market efficiency: fragile evidence from cointegration tests
    Journal of International Money and Finance, 1991, 10, (4), 561-570 View citations (100)

1990

49. A note on the efficiency of the London metal exchange
    Economics Letters, 1990, 33, (4), 341-345 View citations (18)

1989

50. Anticipated monetary policy in Canada: Some new evidence
    Economics Letters, 1989, 30, (1), 11-17 View citations (2)
51. Causality between export growth and industrial development: Empirical evidence from the NICs -- A comment
    Journal of Development Economics, 1989, 31, (2), 413-415 View citations (2)
52. On exchange intervention, sterilization, and bank reserve accounting
    Journal of International Money and Finance, 1989, 8, (3), 445-450
53. On the exchange-rate elasticity of the demand for international reserves: Some evidence from industrial countries — A Comment
    Review of World Economics (Weltwirtschaftliches Archiv), 1989, 125, (2), 392-393
54. Relative Prices and Money: Some Canadian Evidence
    Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 1989, 37, (2), 269-278 View citations (3)

1988

55. On interest rate innovations and anticipated monetary policy
    Economics Letters, 1988, 28, (2), 177-180 View citations (4)
56. World Non-Oil Primary Commodity Markets: Comment on Chu and Morrison
    IMF Staff Papers, 1988, 35, (1), 198-203 View citations (1)

1987

57. The Choice of Monetary Policy Instruments in Canada: An Extension
    Canadian Journal of Economics, 1987, 20, (1), 55-60

Chapters

1998

1. Acceptable and Unacceptable Dirty Pedagogy: The Case of ADAS
   Palgrave Macmillan View citations (1)