Details about Zacharias Psaradakis

Homepage:	https://www.bbk.ac.uk/our-staff/profile/8007598/zacharias-psaradakis
Workplace:	Department of Economics, Mathematics and Statistics, Birkbeck College, (more information at EDIRC)

Access statistics for papers by Zacharias Psaradakis.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pps8

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Working Papers

2023

1. A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities
   Department of Economics Working Papers, Universidad Torcuato Di Tella
   Also in Working Papers, Red Nacional de Investigadores en Economía (RedNIE) (2023)

2022

2. On Testing for Bubbles During Hyperinflations
   Department of Economics Working Papers, Universidad Torcuato Di Tella
   See also Journal Article On testing for bubbles during hyperinflations, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2024) (2024)

2021

3. Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities
   Papers, arXiv.org View citations (2)
   Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2021)
   See also Journal Article Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities, Econometrica, Econometric Society (2022) View citations (6) (2022)
4. Rational Bubbles: Too Many to be True?
   Department of Economics Working Papers, Universidad Torcuato Di Tella
   See also Journal Article Rational bubbles: Too many to be true?, Journal of Economic Dynamics and Control, Elsevier (2023) View citations (3) (2023)

2020

5. On Using Triples to Assess Symmetry Under Weak Dependence
   Working and Discussion Papers, Research Department, National Bank of Slovakia
   See also Journal Article Using Triples to Assess Symmetry Under Weak Dependence, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) (2022)

2019

6. The Chair of the U.S. Federal Reserve and the Macroeconomic Causality Regimes
   CESifo Working Paper Series, CESifo
   Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2019)

2018

7. Bootstrap Assisted Tests of Symmetry for Dependent Data
   Working and Discussion Papers, Research Department, National Bank of Slovakia
   Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2018)

2017

8. Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
   Department of Economics Working Papers, Universidad Torcuato Di Tella
   Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2017)
   See also Journal Article Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities, Econometrics and Statistics, Elsevier (2024) (2024)
9. Normality Tests for Dependent Data
   Working and Discussion Papers, Research Department, National Bank of Slovakia View citations (3)
   Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2017)

2016

10. Maximum Likelihood Estimation in Possibly Misspeci ed Dynamic Models with Time-Inhomogeneous Markov Regimes
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (4)
11. Portmanteau Tests for Linearity of Stationary Time Series
    Working and Discussion Papers, Research Department, National Bank of Slovakia
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2015)
    See also Journal Article Portmanteau tests for linearity of stationary time series, Econometric Reviews, Taylor & Francis Journals (2019) View citations (1) (2019)

2015

12. A Distance Test of Normality for a Wide Class of Stationary Processes
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
    See also Journal Article A distance test of normality for a wide class of stationary processes, Econometrics and Statistics, Elsevier (2017) View citations (2) (2017)

2010

13. Multivariate Contemporaneous-Threshold Autoregressive Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2009)
    Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (7)
    See also Journal Article Multivariate contemporaneous-threshold autoregressive models, Journal of Econometrics, Elsevier (2011) View citations (14) (2011)
14. Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (7)
15. State-Dependent Threshold STAR Models
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (1)

2009

16. Contemporaneous-Threshold Smooth Transition GARCH Models
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    See also Journal Article Contemporaneous-Threshold Smooth Transition GARCH Models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2011) View citations (1) (2011)

2007

17. Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence
    Working Papers, Queen Mary University of London, School of Economics and Finance

2006

18. Sieve Bootstrap for Strongly Dependent Stationary Processes
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (6)

2003

19. Markov Switching Causality and the Money-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    See also Journal Article Markov switching causality and the money-output relationship, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (72) (2005)
20. Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003)
    See also Journal Article Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (28) (2005)

2002

21. On Detrending and Cyclical Asymmetry
    Department of Economics Working Papers, Universidad Torcuato Di Tella
    See also Journal Article On detrending and cyclical asymmetry, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003) View citations (30) (2003)
22. On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (6)
    See also Journal Article ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS, Journal of Time Series Analysis, Wiley Blackwell (2003) View citations (89) (2003)
23. On the autocorrelation properties of Long Memory Garch Processes
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (4)
    See also Journal Article On the Autocorrelation Properties of Long‐Memory GARCH Processes, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (33) (2004)
24. Residual-based tests for cointegration and multiple regime shifts
    NIPE Working Papers, NIPE - Universidade do Minho View citations (3)

2001

25. A simple method for testing cointegration subject to regime changes
    NIPE Working Papers, NIPE - Universidade do Minho

1998

26. An Empirical Reassessment of Target-zone Nonlinearities
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    See also Journal Article An empirical reassessment of target-zone nonlinearities, Journal of International Money and Finance, Elsevier (2001) View citations (4) (2001)

1996

27. Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation
    Archive Discussion Papers, Birkbeck, Department of Economics, Mathematics & Statistics View citations (4)
    See also Journal Article Testing for unit roots in time series with nearly deterministic seasonal variation, Econometric Reviews, Taylor & Francis Journals (1997) View citations (4) (1997)

1995

28. Regression-Based Tests for Persistence in Conditional Variances
    Discussion Papers, University of Exeter, Department of Economics View citations (2)

1993

29. On the power of tests for superexogeneity and structural invariance
    Documentos de Trabajo (working papers), Department of Economics - dECON
    See also Journal Article On the power of tests for superexogeneity and structural invariance, Journal of Econometrics, Elsevier (1996) View citations (14) (1996)

Undated

30. Cross-Sectional Aggregation and Persistence in Conditional Variance
    Discussion Papers, Department of Economics, University of York View citations (4)

Journal Articles

2024

1. Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
   Econometrics and Statistics, 2024, 29, (C), 49-63
   See also Working Paper Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities, Department of Economics Working Papers (2017) (2017)
2. On testing for bubbles during hyperinflations
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (1), 25-37
   See also Working Paper On Testing for Bubbles During Hyperinflations, Department of Economics Working Papers (2022) (2022)

2023

3. Rational bubbles: Too many to be true?
   Journal of Economic Dynamics and Control, 2023, 151, (C) View citations (3)
   See also Working Paper Rational Bubbles: Too Many to be True?, Department of Economics Working Papers (2021) (2021)

2022

4. Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities
   Econometrica, 2022, 90, (4), 1681-1710 View citations (6)
   See also Working Paper Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities, Papers (2021) View citations (2) (2021)
5. Using Triples to Assess Symmetry Under Weak Dependence
   Journal of Business & Economic Statistics, 2022, 40, (4), 1538-1551
   See also Working Paper On Using Triples to Assess Symmetry Under Weak Dependence, Working and Discussion Papers (2020) (2020)

2019

6. Portmanteau tests for linearity of stationary time series
   Econometric Reviews, 2019, 38, (2), 248-262 View citations (1)
   See also Working Paper Portmanteau Tests for Linearity of Stationary Time Series, Working and Discussion Papers (2016) (2016)

2017

7. A distance test of normality for a wide class of stationary processes
   Econometrics and Statistics, 2017, 2, (C), 50-60 View citations (2)
   See also Working Paper A Distance Test of Normality for a Wide Class of Stationary Processes, Birkbeck Working Papers in Economics and Finance (2015) (2015)

2016

8. Semiparametric Sieve-Type Generalized Least Squares Inference
   Econometric Reviews, 2016, 35, (6), 951-985 View citations (1)
9. Using the Bootstrap to Test for Symmetry Under Unknown Dependence
   Journal of Business & Economic Statistics, 2016, 34, (3), 406-415 View citations (4)

2015

10. A Quantile-based Test for Symmetry of Weakly Dependent Processes
    Journal of Time Series Analysis, 2015, 36, (4), 587-598 View citations (4)

2014

11. On testing for nonlinearity in multivariate time series
    Economics Letters, 2014, 125, (1), 1-4

2013

12. State-Dependent Threshold Smooth Transition Autoregressive Models
    Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 835-854 View citations (8)

2011

13. Contemporaneous-Threshold Smooth Transition GARCH Models
    Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 25 View citations (1)
    See also Working Paper Contemporaneous-Threshold Smooth Transition GARCH Models, Department of Economics Working Papers (2009) (2009)
14. Multivariate contemporaneous-threshold autoregressive models
    Journal of Econometrics, 2011, 160, (2), 311-325 View citations (14)
    See also Working Paper Multivariate Contemporaneous-Threshold Autoregressive Models, UFAE and IAE Working Papers (2010) (2010)

2010

15. On inference based on the one-sample sign statistic for long-range dependent data
    Computational Statistics, 2010, 25, (2), 329-340

2009

16. Selecting nonlinear time series models using information criteria
    Journal of Time Series Analysis, 2009, 30, (4), 369-394 View citations (18)

2008

17. Assessing Time‐Reversibility Under Minimal Assumptions
    Journal of Time Series Analysis, 2008, 29, (5), 881-905 View citations (6)

2006

18. Blockwise bootstrap testing for stationarity
    Statistics & Probability Letters, 2006, 76, (6), 562-570 View citations (2)
19. Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (2), 31 View citations (9)
20. Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
    Journal of Time Series Analysis, 2006, 27, (5), 753-766 View citations (50)

2005

21. Forecast performance of nonlinear error-correction models with multiple regimes
    Journal of Forecasting, 2005, 24, (2), 119-138 View citations (4)
22. Markov switching causality and the money-output relationship
    Journal of Applied Econometrics, 2005, 20, (5), 665-683 View citations (72)
    See also Working Paper Markov Switching Causality and the Money-Output Relationship, CEPR Discussion Papers (2003) View citations (5) (2003)
23. Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
    Journal of Applied Econometrics, 2005, 20, (3), 423-437 View citations (28)
    Also in Journal of Applied Econometrics, 2005, 20, (3), 423-437 (2005) View citations (3)
    See also Working Paper Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables, Public Policy Discussion Papers (2003) (2003)

2004

24. On Markov error-correction models, with an application to stock prices and dividends
    Journal of Applied Econometrics, 2004, 19, (1), 69-88 View citations (105)
25. On the Autocorrelation Properties of Long‐Memory GARCH Processes
    Journal of Time Series Analysis, 2004, 25, (2), 265-282 View citations (33)
    See also Working Paper On the autocorrelation properties of Long Memory Garch Processes, Department of Economics Working Papers (2002) View citations (4) (2002)

2003

26. A sieve bootstrap test for stationarity
    Statistics & Probability Letters, 2003, 62, (3), 263-274 View citations (6)
27. ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS
    Journal of Time Series Analysis, 2003, 24, (2), 237-252 View citations (89)
    See also Working Paper On the Determination of the Number of Regimes in Markov-Switching Autoregressive Models, Computing in Economics and Finance 2002 (2002) View citations (6) (2002)
28. On detrending and cyclical asymmetry
    Journal of Applied Econometrics, 2003, 18, (3), 271-289 View citations (30)
    See also Working Paper On Detrending and Cyclical Asymmetry, Department of Economics Working Papers (2002) (2002)
29. Target zone credibility and economic fundamentals
    Economic Modelling, 2003, 20, (4), 791-807 View citations (14)

2002

30. A simple method of testing for cointegration subject to multiple regime changes
    Economics Letters, 2002, 76, (2), 213-221 View citations (20)
31. On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
    Statistics & Probability Letters, 2002, 57, (1), 101-109 View citations (3)
32. Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (3), 16 View citations (20)

2001

33. A simple procedure for detecting periodically collapsing rational bubbles
    Economics Letters, 2001, 72, (3), 317-323 View citations (16)
34. An empirical reassessment of target-zone nonlinearities
    Journal of International Money and Finance, 2001, 20, (4), 533-548 View citations (4)
    See also Working Paper An Empirical Reassessment of Target-zone Nonlinearities, Cambridge Working Papers in Economics (1998) View citations (2) (1998)
35. Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
    Journal of Time Series Analysis, 2001, 22, (5), 577-594 View citations (21)
36. Markov level shifts and the unit-root hypothesis
    Econometrics Journal, 2001, 4, (2), 4 View citations (10)
37. On bootstrap inference in cointegrating regressions
    Economics Letters, 2001, 72, (1), 1-10 View citations (10)

2000

38. Assessing the Credibility of a Target Zone: Evidence from EMS Countries
    International Journal of Finance & Economics, 2000, 5, (2), 107-20 View citations (6)
39. Bootstrap tests for unit roots in seasonal autoregressive models
    Statistics & Probability Letters, 2000, 50, (4), 389-395 View citations (2)
40. p-Value Adjustments for Multiple Tests for Nonlinearity
    Studies in Nonlinear Dynamics & Econometrics, 2000, 4, (3), 8 View citations (11)

1999

41. Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test
    Journal of Applied Econometrics, 1999, 14, (2), 143-54 View citations (157)
42. On regression-based tests for persistence in logarithmic volatility models
    Econometric Reviews, 1999, 18, (4), 441-448 View citations (10)

1998

43. Bootstrap-based evaluation of markov-switching time series models
    Econometric Reviews, 1998, 17, (3), 275-288 View citations (11)
44. Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching
    Journal of Econometrics, 1998, 86, (2), 369-386 View citations (42)
45. Testing the Expectations Hypothesis of the Term Structure Using Instrumental Variables
    International Journal of Finance & Economics, 1998, 3, (4), 321-25 View citations (9)

1997

46. A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure
    Oxford Bulletin of Economics and Statistics, 1997, 59, (1), 29-42 View citations (18)
47. Cointegration and Changes in Regime: The Japanese Consumption Function
    Journal of Applied Econometrics, 1997, 12, (2), 151-68 View citations (53)
48. Switching error-correction models of house prices in the United Kingdom
    Economic Modelling, 1997, 14, (4), 517-527 View citations (52)
49. Testing for unit roots in time series with nearly deterministic seasonal variation
    Econometric Reviews, 1997, 16, (4), 421-439 View citations (4)
    See also Working Paper Testing for Unit Roots in Time Series with Nearly Deterministic Seasonal Variation, Archive Discussion Papers (1996) View citations (4) (1996)

1996

50. On the power of tests for superexogeneity and structural invariance
    Journal of Econometrics, 1996, 72, (1-2), 151-175 View citations (14)
    See also Working Paper On the power of tests for superexogeneity and structural invariance, Documentos de Trabajo (working papers) (1993) (1993)

1995

51. An Analysis of Seasonality in the U.K. Equity Market
    Economic Journal, 1995, 105, (429), 398-409 View citations (22)

1994

52. A comparison of tests of linear hypotheses in cointegrated vector autoregressive models
    Economics Letters, 1994, 45, (2), 137-144 View citations (12)

1993

53. PcGive and PcFiml Version 7 [Review Article]
    Journal of Economic Surveys, 1993, 7, (4), 399-407
54. The Demand for Money in Greece: An Exercise in Econometric Modelling with Cointegrated Variables
    Oxford Bulletin of Economics and Statistics, 1993, 55, (2), 215-36 View citations (9)