EconPapers    
Economics at your fingertips  
 

Details about Martin Wagner

Postal address:Martin Wagner Department of Economics and Finance Institute for Advanced Studies Stumpergasse 56 A-1060 Vienna, Austria
Workplace:Banka Slovenije (Bank of Slovenia), (more information at EDIRC)
Institut für Höhere Studien (IHS) (Institute for Advanced Studies), (more information at EDIRC)
Institut für Volkswirtschaftslehre (Institute of Economics), Fakultät für Wirtschafts- und Rechtswissenschaften (Faculty of Management, Economics and Law), Alpen-Adria-Universität Klagenfurt (Alpen-Adria University of Klagenfurt), (more information at EDIRC)

Access statistics for papers by Martin Wagner.

Last updated 2024-04-08. Update your information in the RePEc Author Service.

Short-id: pwa66


Jump to Journal Articles Chapters

Working Papers

2023

  1. Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions
    IHS Working Paper Series, Institute for Advanced Studies Downloads View citations (1)
    See also Journal Article Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions, Economics Letters, Elsevier (2023) Downloads (2023)

2022

  1. Sources and Channels of Nonlinearities and Instabilities of the Phillips Curve: Results for the Euro Area and Its Member States
    IHS Working Paper Series, Institute for Advanced Studies Downloads View citations (1)

2021

  1. Sectoral exchange rate pass-through in the euro area
    Working Paper Series, European Central Bank Downloads View citations (3)

2020

  1. Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets
    IHS Working Paper Series, Institute for Advanced Studies Downloads
    See also Journal Article Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets, Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics (2021) Downloads View citations (3) (2021)
  2. Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions
    IHS Working Paper Series, Institute for Advanced Studies Downloads
    See also Journal Article Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions, Econometrics, MDPI (2021) Downloads View citations (1) (2021)

2017

  1. The Asymptotic Validity of "Standard" Fully Modified OLS Estimation and Inference in Cointegrating Polynomial Regressions
    Economics Series, Institute for Advanced Studies Downloads View citations (3)

2014

  1. Monitoring Stationarity and Cointegration
    VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association Downloads View citations (2)

2012

  1. Heterogeneity of Regional Growth in the European Union
    Working Papers, Faculty of Economics and Statistics, Universität Innsbruck Downloads

2011

  1. A Fixed-b Perspective on the Phillips-Perron Unit Root Tests
    Economics Series, Institute for Advanced Studies Downloads
    See also Journal Article A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2013) Downloads View citations (18) (2013)
  2. Cointegrating Polynomial Regressions
    Economics Series, Institute for Advanced Studies Downloads View citations (4)
  3. Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
    Economics Series, Institute for Advanced Studies Downloads View citations (2)
    See also Journal Article Integrated modified OLS estimation and fixed-b inference for cointegrating regressions, Journal of Econometrics, Elsevier (2014) Downloads View citations (23) (2014)
  4. Nonparametric Rank Tests for Non-stationary Panels
    Economics Series, Institute for Advanced Studies Downloads
    See also Journal Article Nonparametric rank tests for non-stationary panels, Journal of Econometrics, Elsevier (2015) Downloads View citations (7) (2015)

2010

  1. Cointegration Analysis with State Space Models
    Economics Series, Institute for Advanced Studies Downloads View citations (2)
    See also Journal Article Cointegration analysis with state space models, AStA Advances in Statistical Analysis, Springer (2010) Downloads View citations (2) (2010)

2009

  1. Catching Growth Determinants with the Adaptive Lasso
    wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw Downloads View citations (5)
    Also in Economics Series, Institute for Advanced Studies (2008) Downloads View citations (3)

    See also Journal Article Catching Growth Determinants with the Adaptive Lasso, German Economic Review, De Gruyter (2012) Downloads View citations (17) (2012)
  2. Finite Sample Correction Factors for Panel Cointegration Tests
    Economics Series, Institute for Advanced Studies Downloads View citations (2)
    See also Journal Article Finite Sample Correction Factors for Panel Cointegration Tests*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2009) Downloads View citations (1) (2009)
  3. Growth Regressions, Principal Components and Frequentist Model Averaging
    Economics Series, Institute for Advanced Studies Downloads View citations (8)

2008

  1. Nonlinear Cointegration Analysis and the Environmental Kuznets Curve
    Economics Series, Institute for Advanced Studies Downloads View citations (17)

2007

  1. The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study
    Economics Series, Institute for Advanced Studies Downloads View citations (41)
    See also Journal Article The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study, Econometric Reviews, Taylor & Francis Journals (2010) Downloads View citations (80) (2010)

2006

  1. Exploring the Environmental Kuznets Hypothesis. Theoretical and Econometric Problems
    Economics Series, Institute for Advanced Studies Downloads View citations (2)
    See also Journal Article Exploring the environmental Kuznets hypothesis: Theoretical and econometric problems, Ecological Economics, Elsevier (2007) Downloads View citations (77) (2007)
  2. The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?
    Economics Series, Institute for Advanced Studies Downloads View citations (6)
    Also in Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft (2004) Downloads View citations (23)

    See also Journal Article The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?, Resource and Energy Economics, Elsevier (2008) Downloads View citations (178) (2008)

2005

  1. Autoregressive Approximations of Multiple Frequency I(1) Processes
    Economics Series, Institute for Advanced Studies Downloads View citations (7)
    Also in Economics Working Papers, European University Institute (2005) Downloads View citations (3)
  2. Exploring the Carbon Kuznets Hypothesis
    Others, University Library of Munich, Germany Downloads View citations (2)
  3. On Aghion's and Blanchard's "On the Speed of Transition in Central Europe"
    Economics Series, Institute for Advanced Studies Downloads
  4. On PPP, Unit Roots and Panels
    Economics Series, Institute for Advanced Studies Downloads View citations (9)
    See also Journal Article On PPP, unit roots and panels, Empirical Economics, Springer (2008) Downloads View citations (14) (2008)
  5. The Balassa-Samuelson Effect in 'East & West'. Differences and Similarities
    Economics Series, Institute for Advanced Studies Downloads View citations (2)
  6. The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft Downloads View citations (14)
    Also in Economics Working Papers, European University Institute (2005) Downloads View citations (21)

    See also Journal Article The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study, Econometric Reviews, Taylor & Francis Journals (2006) Downloads View citations (171) (2006)

2004

  1. CEEC Growth Projections: Certainly Necessary and Necessarily Uncertain
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft Downloads View citations (5)
    See also Journal Article CEEC growth projections: Certainly necessary and necessarily uncertain, The Economics of Transition, The European Bank for Reconstruction and Development (2005) Downloads View citations (24) (2005)
  2. Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management
    Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie Downloads View citations (2)
    See also Journal Article Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management, Journal of Empirical Finance, Elsevier (2009) Downloads View citations (5) (2009)
  3. What's Really the Story with this Balassa-Samuelson Effect in the CEECs?
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft Downloads View citations (26)

2003

  1. A Canonical Form for Unit Root Processes in the State Space Framework
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft Downloads View citations (9)
    Also in Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft (2002) View citations (5)
  2. On Polynomial Cointegration in the State Space Framework
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft Downloads View citations (3)
  3. The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft Downloads View citations (5)

2002

  1. A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft Downloads View citations (1)
    See also Journal Article A Comparison of Johansen's, Bierens’ and the Subspace Algorithm Method for Cointegration Analysis, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2004) Downloads View citations (2) (2004)
  2. Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft Downloads View citations (6)
  3. Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft Downloads
  4. The CEEC10's Real Convergence Prospects
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (17)
    Also in Transition Economics Series, Institute for Advanced Studies (2001) Downloads

2000

  1. Estimating Cointegrated Systems Using Subspace Algorithms
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (7)
    See also Journal Article Estimating cointegrated systems using subspace algorithms, Journal of Econometrics, Elsevier (2002) Downloads View citations (17) (2002)

1999

  1. Bierens' and Johansen's Method - Complements or Substitutes?
    Economics Series, Institute for Advanced Studies Downloads View citations (1)
  2. Capital and Goods Market Integration and the Inequality of Nations
    Economics Series, Institute for Advanced Studies Downloads
  3. VAR Cointegration in VARMA Models
    Economics Series, Institute for Advanced Studies Downloads View citations (6)

Journal Articles

2024

  1. Introduction to the Special Issue “High-Dimensional Time Series in Macroeconomics and Finance”
    Econometrics, 2024, 12, (1), 1-2 Downloads

2023

  1. Correction to: Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions
    Empirical Economics, 2023, 65, (3), 1511-1511 Downloads
  2. Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions
    Economics Letters, 2023, 228, (C) Downloads
    See also Working Paper Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions, IHS Working Paper Series (2023) Downloads View citations (1) (2023)
  3. Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference
    Econometric Reviews, 2023, 42, (4), 358-392 Downloads
  4. Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions
    Empirical Economics, 2023, 65, (1), 1-31 Downloads

2021

  1. Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets
    Central European Journal of Economic Modelling and Econometrics, 2021, 13, (2), 105-146 Downloads View citations (3)
    See also Working Paper Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets, IHS Working Paper Series (2020) Downloads (2020)
  2. Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions
    Econometrics, 2021, 9, (1), 1-35 Downloads View citations (1)
    See also Working Paper Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions, IHS Working Paper Series (2020) Downloads (2020)

2020

  1. A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing
    Econometrics, 2020, 8, (4), 1-54 Downloads
  2. Economic forecasting: editors’ introduction
    Empirical Economics, 2020, 58, (1), 1-5 Downloads View citations (2)
  3. Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
    Journal of Econometrics, 2020, 214, (1), 216-255 Downloads View citations (10)

2019

  1. Heterogeneity and Spatial Dependence of Regional Growth in the EU: A Recursive Partitioning Approach
    German Economic Review, 2019, 20, (1), 67-82 Downloads View citations (6)
    Also in German Economic Review, 2019, 20, (1), 67-82 (2019) Downloads View citations (2)
  2. The Phillips unit root tests for polynomials of integrated processes revisited
    Economics Letters, 2019, 176, (C), 109-113 Downloads View citations (3)

2018

  1. A cointegrating polynomial regression analysis of the material kuznets curve hypothesis
    Resources Policy, 2018, 57, (C), 236-245 Downloads View citations (11)

2017

  1. Cointegration in singular ARMA models
    Economics Letters, 2017, 155, (C), 39-42 Downloads View citations (4)
  2. Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
    Journal of Time Series Analysis, 2017, 38, (6), 960-980 Downloads View citations (9)
  3. Jose Casals, Alfredo Garcia-Hiernaux, Miguel Jerez, Sonia Sotoca and A. Alexandre Trindade (2016): State-space methods for time series analysis: theory, applications and software
    Statistical Papers, 2017, 58, (2), 555-556 Downloads

2016

  1. COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE
    Econometric Theory, 2016, 32, (5), 1289-1315 Downloads View citations (21)

2015

  1. Growth Regressions, Principal Components Augmented Regressions and Frequentist Model Averaging
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2015, 235, (6), 642-662 Downloads View citations (3)
  2. Nonparametric rank tests for non-stationary panels
    Journal of Econometrics, 2015, 185, (2), 378-391 Downloads View citations (7)
    See also Working Paper Nonparametric Rank Tests for Non-stationary Panels, Economics Series (2011) Downloads (2011)
  3. The Environmental Kuznets Curve, Cointegration and Nonlinearity
    Journal of Applied Econometrics, 2015, 30, (6), 948-967 Downloads View citations (47)

2014

  1. Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
    Journal of Econometrics, 2014, 178, (2), 741-760 Downloads View citations (23)
    See also Working Paper Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions, Economics Series (2011) Downloads View citations (2) (2011)

2013

  1. A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS
    Econometric Theory, 2013, 29, (3), 609-628 Downloads View citations (18)
    See also Working Paper A Fixed-b Perspective on the Phillips-Perron Unit Root Tests, Economics Series (2011) Downloads (2011)
  2. The Determinants of Long-Run Economic Growth: A Conceptually and Computationally Simple Approach
    Swiss Journal of Economics and Statistics (SJES), 2013, 149, (IV), 445-492 Downloads View citations (8)

2012

  1. A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES
    Econometric Theory, 2012, 28, (6), 1313-1349 Downloads View citations (15)
  2. Catching Growth Determinants with the Adaptive Lasso
    German Economic Review, 2012, 13, (1), 71-85 Downloads View citations (17)
    Also in German Economic Review, 2012, 13, (1), 71-85 (2012) Downloads View citations (17)

    See also Working Paper Catching Growth Determinants with the Adaptive Lasso, wiiw Working Papers (2009) Downloads View citations (5) (2009)
  3. The Phillips unit root tests for polynomials of integrated processes
    Economics Letters, 2012, 114, (3), 299-303 Downloads View citations (8)

2010

  1. Cointegration analysis with state space models
    AStA Advances in Statistical Analysis, 2010, 94, (3), 273-305 Downloads View citations (2)
    See also Working Paper Cointegration Analysis with State Space Models, Economics Series (2010) Downloads View citations (2) (2010)
  2. The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study
    Econometric Reviews, 2010, 29, (2), 182-223 Downloads View citations (80)
    See also Working Paper The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study, Economics Series (2007) Downloads View citations (41) (2007)

2009

  1. Finite Sample Correction Factors for Panel Cointegration Tests*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (6), 851-881 Downloads View citations (1)
    See also Working Paper Finite Sample Correction Factors for Panel Cointegration Tests, Economics Series (2009) Downloads View citations (2) (2009)
  2. Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management
    Journal of Empirical Finance, 2009, 16, (2), 330-336 Downloads View citations (5)
    See also Working Paper Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management, Cahiers de Recherches Economiques du Département d'économie (2004) Downloads View citations (2) (2004)
  3. Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure
    Computational Statistics & Data Analysis, 2009, 53, (6), 1954-1973 Downloads View citations (2)

2008

  1. On PPP, unit roots and panels
    Empirical Economics, 2008, 35, (2), 229-249 Downloads View citations (14)
    See also Working Paper On PPP, Unit Roots and Panels, Economics Series (2005) Downloads View citations (9) (2005)
  2. The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?
    Resource and Energy Economics, 2008, 30, (3), 388-408 Downloads View citations (178)
    See also Working Paper The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?, Economics Series (2006) Downloads View citations (6) (2006)

2007

  1. Exploring the environmental Kuznets hypothesis: Theoretical and econometric problems
    Ecological Economics, 2007, 62, (3-4), 648-660 Downloads View citations (77)
    See also Working Paper Exploring the Environmental Kuznets Hypothesis. Theoretical and Econometric Problems, Economics Series (2006) Downloads View citations (2) (2006)

2006

  1. The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
    Econometric Reviews, 2006, 25, (1), 85-116 Downloads View citations (171)
    See also Working Paper The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study, Diskussionsschriften (2005) Downloads View citations (14) (2005)

2005

  1. CEEC growth projections: Certainly necessary and necessarily uncertain
    The Economics of Transition, 2005, 13, (2), 341-372 Downloads View citations (24)
    See also Working Paper CEEC Growth Projections: Certainly Necessary and Necessarily Uncertain, Diskussionsschriften (2004) Downloads View citations (5) (2004)
  2. The Environmental Kuznets Curve: Exploring a Fresh Specification
    The B.E. Journal of Economic Analysis & Policy, 2005, 4, (1), 1-30 Downloads View citations (41)

2004

  1. A Comparison of Johansen's, Bierens’ and the Subspace Algorithm Method for Cointegration Analysis
    Oxford Bulletin of Economics and Statistics, 2004, 66, (3), 399-424 Downloads View citations (2)
    See also Working Paper A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis, Diskussionsschriften (2002) Downloads View citations (1) (2002)

2002

  1. Disaggregated capital stock estimation for Austria - methods, concepts and results
    Applied Economics, 2002, 34, (1), 23-37 Downloads View citations (4)
  2. Estimating cointegrated systems using subspace algorithms
    Journal of Econometrics, 2002, 111, (1), 47-84 Downloads View citations (17)
    See also Working Paper Estimating Cointegrated Systems Using Subspace Algorithms, Econometric Society World Congress 2000 Contributed Papers (2000) Downloads View citations (7) (2000)

Chapters

2009

  1. Panel Methods to Test for Unit Roots and Cointegration
    Palgrave Macmillan View citations (21)
 
Page updated 2024-06-18