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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

  • "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.

Teaching

Contact details

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

Current news

  • ESRC Postdoctoral Fellowships

    The UCL, Bloomsbury and East London DTP invites applications for three postdoctoral fellowships (PDFs) to be based within departments at the partner institutions within the Doctoral Training Partnership (DTP): University College London, Birkbeck, the London School of Hygiene & Tropical Medicine, the School of Oriental and African Studies, and the University of East London.

  • Competition for ESRC Studentships for October 2018 entry is now open

    ESRC PhD Scholarships for 2018 entry are available via UCL, Bloomsbury and East London Doctoral Training Partnership (DTP) for suitable candidates.

  • Sundstrom Scholarships for 2017/18 Entry

    Two Home/EU scholarships for MSc programmes are available in the Department of Economics, Mathematics and Statistics.