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 2025-01-07. Update your information in the RePEc Author Service.

Short-id: pwa66

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Working Papers

2024

1. Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions
   IHS Working Paper Series, Institute for Advanced Studies
2. Integrated Modiï¬ ed Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions
   IHS Working Paper Series, Institute for Advanced Studies
3. Markenpolitik in übersättigten Märkten: Zur soziotechnischen Logik der Markenentwicklung
   IU Discussion Papers - Marketing & Communication, IU International University of Applied Sciences
4. Vom Management zum Unternehmertum: Wertschöpfung in komplexen Gesellschaften als zentrale Herausforderung für den regionalen Mittelstand
   IU Discussion Papers - Social Sciences, IU International University of Applied Sciences

2023

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

2022

6. 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 View citations (1)

2021

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

2020

8. Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets
   IHS Working Paper Series, Institute for Advanced Studies
   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) View citations (3) (2021)
9. 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
   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) View citations (1) (2021)

2017

10. The Asymptotic Validity of "Standard" Fully Modified OLS Estimation and Inference in Cointegrating Polynomial Regressions
    Economics Series, Institute for Advanced Studies View citations (4)

2014

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

2012

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

2011

13. A Fixed-b Perspective on the Phillips-Perron Unit Root Tests
    Economics Series, Institute for Advanced Studies
    See also Journal Article A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2013) View citations (20) (2013)
14. Cointegrating Polynomial Regressions
    Economics Series, Institute for Advanced Studies View citations (4)
15. Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
    Economics Series, Institute for Advanced Studies View citations (2)
    See also Journal Article Integrated modified OLS estimation and fixed-b inference for cointegrating regressions, Journal of Econometrics, Elsevier (2014) View citations (25) (2014)
16. Nonparametric Rank Tests for Non-stationary Panels
    Economics Series, Institute for Advanced Studies
    See also Journal Article Nonparametric rank tests for non-stationary panels, Journal of Econometrics, Elsevier (2015) View citations (6) (2015)

2010

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

2009

18. Catching Growth Determinants with the Adaptive Lasso
    wiiw Working Papers, The Vienna Institute for International Economic Studies, wiiw View citations (5)
    Also in Economics Series, Institute for Advanced Studies (2008) View citations (3)
    See also Journal Article Catching Growth Determinants with the Adaptive Lasso, German Economic Review, Verein für Socialpolitik (2012) View citations (18) (2012)
19. Finite Sample Correction Factors for Panel Cointegration Tests
    Economics Series, Institute for Advanced Studies 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) View citations (1) (2009)
20. Growth Regressions, Principal Components and Frequentist Model Averaging
    Economics Series, Institute for Advanced Studies View citations (8)

2008

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

2007

22. The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study
    Economics Series, Institute for Advanced Studies 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) View citations (80) (2010)

2006

23. Exploring the Environmental Kuznets Hypothesis. Theoretical and Econometric Problems
    Economics Series, Institute for Advanced Studies View citations (2)
    See also Journal Article Exploring the environmental Kuznets hypothesis: Theoretical and econometric problems, Ecological Economics, Elsevier (2007) View citations (80) (2007)
24. The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?
    Economics Series, Institute for Advanced Studies View citations (6)
    Also in Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft (2004) View citations (23)
    See also Journal Article The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?, Resource and Energy Economics, Elsevier (2008) View citations (184) (2008)

2005

25. Autoregressive Approximations of Multiple Frequency I(1) Processes
    Economics Working Papers, European University Institute View citations (3)
    Also in Economics Series, Institute for Advanced Studies (2005) View citations (7)
26. Exploring the Carbon Kuznets Hypothesis
    Others, University Library of Munich, Germany View citations (2)
27. On Aghion's and Blanchard's "On the Speed of Transition in Central Europe"
    Economics Series, Institute for Advanced Studies
28. On PPP, Unit Roots and Panels
    Economics Series, Institute for Advanced Studies View citations (9)
    See also Journal Article On PPP, unit roots and panels, Empirical Economics, Springer (2008) View citations (14) (2008)
29. The Balassa-Samuelson Effect in 'East & West'. Differences and Similarities
    Economics Series, Institute for Advanced Studies View citations (2)
30. The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft View citations (14)
    Also in Economics Working Papers, European University Institute (2005) View citations (22)
    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) View citations (176) (2006)

2004

31. CEEC Growth Projections: Certainly Necessary and Necessarily Uncertain
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft 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) View citations (24) (2005)
32. 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 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) View citations (5) (2009)
33. What's Really the Story with this Balassa-Samuelson Effect in the CEECs?
    Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft View citations (26)

2003

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

2002

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

2000

41. Estimating Cointegrated Systems Using Subspace Algorithms
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (7)
    See also Journal Article Estimating cointegrated systems using subspace algorithms, Journal of Econometrics, Elsevier (2002) View citations (20) (2002)

1999

42. Bierens' and Johansen's Method - Complements or Substitutes?
    Economics Series, Institute for Advanced Studies View citations (1)
43. Capital and Goods Market Integration and the Inequality of Nations
    Economics Series, Institute for Advanced Studies
44. VAR Cointegration in VARMA Models
    Economics Series, Institute for Advanced Studies View citations (7)

Journal Articles

2025

1. Panel cointegrating polynomial regression analysis and an illustration with the environmental kuznets curve
   Econometrics and Statistics, 2025, 33, (C), 135-165

2024

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

2023

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

2021

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

2020

9. A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing
   Econometrics, 2020, 8, (4), 1-54
10. Economic forecasting: editors’ introduction
    Empirical Economics, 2020, 58, (1), 1-5 View citations (2)
11. 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 View citations (11)

2019

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

2018

14. A cointegrating polynomial regression analysis of the material kuznets curve hypothesis
    Resources Policy, 2018, 57, (C), 236-245 View citations (12)

2017

15. Cointegration in singular ARMA models
    Economics Letters, 2017, 155, (C), 39-42 View citations (5)
16. Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
    Journal of Time Series Analysis, 2017, 38, (6), 960-980 View citations (9)
17. 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

2016

18. COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE
    Econometric Theory, 2016, 32, (5), 1289-1315 View citations (23)

2015

19. 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 View citations (3)
20. Nonparametric rank tests for non-stationary panels
    Journal of Econometrics, 2015, 185, (2), 378-391 View citations (6)
    See also Working Paper Nonparametric Rank Tests for Non-stationary Panels, Economics Series (2011) (2011)
21. The Environmental Kuznets Curve, Cointegration and Nonlinearity
    Journal of Applied Econometrics, 2015, 30, (6), 948-967 View citations (51)

2014

22. Integrated modified OLS estimation and fixed-b inference for cointegrating regressions
    Journal of Econometrics, 2014, 178, (2), 741-760 View citations (25)
    See also Working Paper Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions, Economics Series (2011) View citations (2) (2011)

2013

23. A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS
    Econometric Theory, 2013, 29, (3), 609-628 View citations (20)
    See also Working Paper A Fixed-b Perspective on the Phillips-Perron Unit Root Tests, Economics Series (2011) (2011)
24. 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 View citations (8)

2012

25. A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES
    Econometric Theory, 2012, 28, (6), 1313-1349 View citations (15)
26. Catching Growth Determinants with the Adaptive Lasso
    German Economic Review, 2012, 13, (1), 71-85 View citations (18)
    Also in German Economic Review, 2012, 13, (1), 71-85 (2012) View citations (18)
    See also Working Paper Catching Growth Determinants with the Adaptive Lasso, wiiw Working Papers (2009) View citations (5) (2009)
27. The Phillips unit root tests for polynomials of integrated processes
    Economics Letters, 2012, 114, (3), 299-303 View citations (8)

2010

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

2009

30. Finite Sample Correction Factors for Panel Cointegration Tests*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (6), 851-881 View citations (1)
    See also Working Paper Finite Sample Correction Factors for Panel Cointegration Tests, Economics Series (2009) View citations (2) (2009)
31. Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management
    Journal of Empirical Finance, 2009, 16, (2), 330-336 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) View citations (2) (2004)
32. Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure
    Computational Statistics & Data Analysis, 2009, 53, (6), 1954-1973 View citations (2)

2008

33. On PPP, unit roots and panels
    Empirical Economics, 2008, 35, (2), 229-249 View citations (14)
    See also Working Paper On PPP, Unit Roots and Panels, Economics Series (2005) View citations (9) (2005)
34. The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?
    Resource and Energy Economics, 2008, 30, (3), 388-408 View citations (184)
    See also Working Paper The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?, Economics Series (2006) View citations (6) (2006)

2007

35. Exploring the environmental Kuznets hypothesis: Theoretical and econometric problems
    Ecological Economics, 2007, 62, (3-4), 648-660 View citations (80)
    See also Working Paper Exploring the Environmental Kuznets Hypothesis. Theoretical and Econometric Problems, Economics Series (2006) View citations (2) (2006)

2006

36. The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
    Econometric Reviews, 2006, 25, (1), 85-116 View citations (176)
    See also Working Paper The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study, Diskussionsschriften (2005) View citations (14) (2005)

2005

37. CEEC growth projections: Certainly necessary and necessarily uncertain
    The Economics of Transition, 2005, 13, (2), 341-372 View citations (24)
    See also Working Paper CEEC Growth Projections: Certainly Necessary and Necessarily Uncertain, Diskussionsschriften (2004) View citations (5) (2004)
38. The Environmental Kuznets Curve: Exploring a Fresh Specification
    The B.E. Journal of Economic Analysis & Policy, 2005, 4, (1), 1-28 View citations (42)

2004

39. 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 View citations (2)
    See also Working Paper A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis, Diskussionsschriften (2002) View citations (1) (2002)

2002

40. Disaggregated capital stock estimation for Austria - methods, concepts and results
    Applied Economics, 2002, 34, (1), 23-37 View citations (6)
41. Estimating cointegrated systems using subspace algorithms
    Journal of Econometrics, 2002, 111, (1), 47-84 View citations (20)
    See also Working Paper Estimating Cointegrated Systems Using Subspace Algorithms, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (7) (2000)

1910

42. VII. Die Reichsversicherungsordnung
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1910, 94, (1), 721-751

Chapters

2009

1. Panel Methods to Test for Unit Roots and Cointegration
   Palgrave Macmillan View citations (21)