Zacharias Psaradakis
Professor of Econometrics
BSc, MA (Athens), PhD (Southampton)
Associate Editor, Econometrics and Statistics
Member of Editorial Board, Journal of Probability and Statistics
Research Interests
- Time-series econometrics
- Bootstrap methods
- Nonlinear models
- Applied econometrics
Selected Publications
- "Portmanteau Tests for Linearity of Stationary Time Series" (with M. Vávra), Econometric Reviews, to appear.
- "A Distance Test of Normality for a Wide Class of Stationary Processes" (with M. Vávra), Econometrics and Statistics, to appear.
- "Using the Bootstrap to Test for Symmetry Under Unknown Dependence", Journal of Business & Economic Statistics, 34 (2016), 406-415.
- "Semiparametric Sieve-Type Generalized Least Squares Inference" (with G. Kapetanios), Econometric Reviews, 35 (2016), 951-985.
- "A Quantile-Based Test for Symmetry of Weakly Dependent Processes" (with M. Vávra), Journal of Time Series Analysis, 36 (2015), 587-598.
- "On Testing for Nonlinearity in Multivariate Time Series" (with M. Vávra), Economics Letters, 125 (2014), 1-4.
- "State-Dependent Threshold Smooth Transition Autoregressive Models" (with M.J. Dueker, M. Sola and F. Spagnolo), Oxford Bulletin of Economics and Statistics, 75 (2013), 835-854.
- "Multivariate Contemporaneous-Threshold Autoregressive Models" (with M.J. Dueker, M. Sola and F. Spagnolo), Journal of Econometrics 160 (2011), 311-325.
- "Contemporaneous-Threshold Smooth Transition GARCH Models" (with M.J. Dueker, M. Sola and F. Spagnolo), Studies in Nonlinear Dynamics & Econometrics 15 (2011), Article 1.
- "On Inference Based on the One-Sample Sign Statistic for Long-Range Dependent Data", Computational Statistics 25 (2010), 329-340.
- "Selecting Nonlinear Time Series Models Using Information Criteria" (with M. Sola, F. Spagnolo and N. Spagnolo), Journal of Time Series Analysis 30 (2009), 369-394.
- "Assessing Time-Reversibility under Minimal Assumptions", Journal of Time Series Analysis 29 (2008), 881-905.
- "Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching" (with N. Spagnolo), Journal of Time Series Analysis 27 (2006), 753-766.
- "Blockwise Bootstrap Testing for Stationarity", Statistics and Probability Letters 76 (2006), 562-570.
- "Markov Switching Causality and the Money-Output Relationship" (with M. O. Ravn and M. Sola), Journal of Applied Econometrics 20 (2005), 665-683.
- "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov-Switching Model and Instrumental Variables" (with M. Sola and F. Spagnolo), Journal of Applied Econometrics 20 (2005), 423-437.
- "Forecast Performance of Nonlinear Error-Correction Models with Multiple Regimes" (with F. Spagnolo), Journal of Forecasting 24 (2005), 119-138.
- "On the Autocorrelation Properties of Long-Memory GARCH Processes" (with M. Karanasos and M. Sola), Journal of Time Series Analysis 25 (2004), 265-281.
- "On Markov Error-Correction Models, with an Application to Stock Prices and Dividends" (with M. Sola and F. Spagnolo), Journal of Applied Econometrics 19 (2004), 69-88.
- "On Detrending and Cyclical Asymmetry" (with M. Sola), Journal of Applied Econometrics 18 (2003), 271-289.
- "A Sieve Bootstrap Test for Stationarity", Statistics and Probability Letters 62 (2003), 263-274.
- "On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models" (with N. Spagnolo), Journal of Time Series Analysis 24 (2003), 237-252.
- "A Bootstrap Test for Symmetry of Dependent Data Based on a Kolmogorov-Smirnov Type Statistic", Communications in Statistics - Simulation and Computation 32 (2003), 113-126.
- "Power Properties of Nonlinearity Tests for Time Series with Markov Regimes" (with N. Spagnolo), Studies in Nonlinear Dynamics & Econometrics 6 (2002), Article 2 ( http://www.bepress.com/snde/vol6/iss3/art2).
- "A Simple Method of Testing for Cointegration Subject to Multiple Regime Changes" (with V.J. Gabriel and M. Sola), Economics Letters 76 (2002), 213-221.
- "On the Asymptotic Behaviour of Unit-Root Tests in the Presence of a Markov Trend", Statistics and Probability Letters 57 (2002), 101-109.
- "Markov Level Shifts and the Unit-Root Hypothesis", Econometrics Journal 4 (2001), 226-242.
- "Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors", Journal of Time Series Analysis 22 (2001), 577-594.
- "An Empirical Reassessment of Target-Zone Nonlinearities" (with A. Garratt and M. Sola), Journal of International Money and Finance 20 ( 2001), 533-548.
- "A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles" (with F. Spagnolo and M. Sola), Economics Letters 72 (2001), 317-323.
- "On Bootstrap Inference in Cointegrating Regressions", Economics Letters 72 (2001), 1-10.
- "Bootstrap Tests for Unit Roots in Seasonal Autoregressive Models", Statistics and Probability Letters 50 (2000), 389-395.
- "P-Value Adjustments for Multiple Tests for Nonlinearity", Studies in Nonlinear Dynamics & Econometrics 4 (2000), 95-100.
- "On Regression-Based Tests for Persistence in Logarithmic Volatility Models" (with E. Tzavalis), Econometric Reviews 18 (1999), 441-448.
- "A Note on Super Exogeneity in Linear Regression Models", Econometric Reviews 18 (1999), 331-336.
- "Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test" (with S.G. Hall and M. Sola), Journal of Applied Econometrics 14 (1999), 141-154.
- "Bootstrap-Based Evaluation of Markov-Switching Time Series Models", Econometric Reviews 17 (1998), 275-288.
- "Finite-Sample Properties of the Maximum Likelihood Estimator in Autoregressive Models with Markov Switching" (with M. Sola), Journal of Econometrics 86 (1998), 369-386.
- "Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation", Econometric Reviews 16 (1997), 421-439.
- "Cointegration and Changes in Regime: The Japanese Consumption Function" (with S.G. Hall and M. Sola), Journal of Applied Econometrics 12 (1997), 151-168.
- "On the Power of Tests for Superexogeneity and Structural Invariance" (with M. Sola), Journal of Econometrics 72 (1996), 151-175.
- "An Analysis of Seasonality in the U.K. Equity Market" (with A. Clare and S. Thomas), Economic Journal 105 (1995), 398-409.
Recent Working Papers
- "Maximum-Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes" (with D. Pouzo and M. Sola), 2016.