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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

  • "Normality Tests for Dependent Data: Large-Sample and Bootstrap Approaches" (with M. Vávra), Communications in Statistics - Simulation and Computation, to appear.
  • "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, 2 (2017), 50-60.
  • "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), 2018.
  • "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities" (with M. Sola), 2018.
  • "Bootstrap-Assisted Tests of Symmetry for Dependent Data" (with M. Vávra), 2018.

Teaching

Contact details

Phone: +44 (0) 20 7631 6415
Email: z.psaradakis@bbk.ac.uk
Room: 725
Office Hours: email for appointment

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