This is Robert's research
page. It contains an exhaustive list of my publications.
However, the list of working papers is not
complete. Many university people state that they welcome comments on their
work, particularly on unpublished material. I really mean it, and generally I
reply to comments and requests.
(Latest update 5/1/2012)
Areas of Interest
Time-series econometrics
(in particular, seasonality, cointegration,
ARCH models, model selection)
Applied econometrics
The Dynamic Interrelations between Unequal Neighbors: An Austro-German
Case Study
(with Klaus Prettner)
Empirical Economics, forthcoming
Testing for seasonal unit roots in monthly panels of time series
(with Philip H. Franses)
Oxford Bulletin of Economics and Statistics 73, 469-488 (2011)
Combining forecasts based on multiple encompassing tests in a
macroeconomic core system
(with Mauro Costantini)
Journal of Forecasting 30, 579-596 (2011)
Unit Root in Unemployment - New Evidence from Nonparametric Tests
(with Jürgen Holl)
Applied Economics Letters 18, 509-512 (2011)
Seasonality
in: International Encyclopedia of Statistical Science, M. Lovric (ed.), Springer (2010)
(with Adusei
Jumah)
Journal of Forecasting 27, 391-406 (2008)
Austrian Journal of Statistics 37, 271-284
(2008)
(with Adusei Jumah)
Advances in Investment Analysis and Portfolio
Management Vol. 2, 173-198 (2006)
Trivariate ARCH Estimation of Exchange Rate
Volatility Spillovers in Commodity Markets
(with Adusei Jumah)
in: Progress in Economics Research, F.
Columbus (ed.), Nova Science Publishers (in press)
Decisions on seasonal unit roots
(with Michael Reutter)
Journal of Statistical Computation and Simulation
72, 403-418 (2002)
Forecasting High-frequency Financial Data with the ARFIMA-ARCH model
(with Michael A. Hauser)
Journal of Forecasting 20, 501-518 (2001)
The Effects of Dollar/Sterling Exchange Rate Volatility on Futures
Markets for Coffee and Cocoa
(with Adusei Jumah)
European Review of Agricultural Economics 28,
307-328 (2001)
On the Role of Seasonal Intercepts in Seasonal Cointegration
(with Philip H. Franses)
Oxford Bulletin of Economics and Statistics 61,
409-434 (1999)
The Impact of Seasonal Constants on Forecasting Seasonally Cointegrated Time Series
(with Philip H. Franses)
Journal of Forecasting 17, 109-124 (1998)
Fractionally Integrated Models with ARCH Errors: With an Application
to the Swiss One-Month Euromarket Interest Rate
(with Michael A. Hauser)
Review of Quantitative Finance and Accounting
10(1), 95-113 (1998)
Augmented
ARCH models for financial time series: stability conditions and empirical
evidence
Applied Financial Economics 7, 575-586 (1997)
Fourth-Order Moments of Augmented ARCH Processes
Communications in Statistics, Theory and Methods 26,
1425-1442 (1997)
Testing for
Cyclical Non-Stationarity in Autoregressive Models
Journal of Time Series Analysis 12, 137-156 (1997)
Forecasting Seasonally Cointegrated Systems:
Supply Response of the Austrian Breeding Sow Herd
(with Adusei Jumah)
European Review of Agricultural Economics 23(4), 487-507
(1996)
Estimating
Discrete Parameters: An Application to Cointegration
and Unit Roots
Oesterreichische Zeitschrift für Statistik 25, 7-32. (1996)
Trend Interpolation and the Persistence of Fluctuations in U.S. GNP
(with Albert Jaeger)
in: Th. Url
and A. Wörgötter (eds.), Econometrics of Short and
Unreliable Time Series, Physica-Verlag,
Heidelberg (1995)
A Note on Generation, Estimation and Prediction of Stationary Processes
(with Michael A. Hauser, W. Hörmann,
and J. Lenneis)
COMPSTAT Conference Series (1994).
Modelling Exchange Rates: Long-Run Dependence versus Conditional Heteroscedasticity
(with Michael A. Hauser and Erhard Reschenhofer)
Applied Financial Economics 4(3), 233-39 (1994)
Structuring Volatile Swiss Interest Rates: Some Evidence on the Present
Value Model and a VAR-VARCH Approach
(with Wolfgang Polasek)
in: J. Kaehler and P. Kugler (ed.), Econometric Analysis of Financial Markets,
pp. 105-128, Physica-Verlag, Heidelberg (1994).
Stability Conditions for a Bivariate ARCH System
Which is Cointegrated in Mean
Communications in Statistics, Theory and Methods
22(10), 2941-2953 (1993).
Seasonal Cointegration, Common Seasonals,
and Forecasting Seasonal Series
Empirical Economics 18(4), 761-76 (1993)
Apparently Stable Increments in Finance Data: Could ARCH Effects be the
Cause?
Journal of Statistical Computation and
Simulation 45, 121-127 (1993).
Seasonal Cointegration in Macroeconomic Systems:
Case Studies for Small and Large European Countries
Review of Economics and Statistics LXXV, 325-330
(1993).
Seasonal Models and Seasonal Adjustment
Oesterreichische Zeitschrift fuer Statistik und Informatik 21,
177-188 (1992)
Testing for Normality and Randomness of Austrian Stock Market Data
(with Erhard Reschenhofer and
Kurt Rodler)
Empirical Economics 16, 465-477 (1991)
Cointegration in a Macroeconomic System
(with Klaus Neusser)
Journal of Applied Econometrics, Vol.5, 351-365
(1990)
Seasonal Adjustment and Measuring Persistence in Output
(with Albert Jaeger)
Journal of Applied Econometrics, Vol. 5, 47-58 (1990)
On Exports and Productivity: A Causal Analysis
(with Dalia Marin)
Review of Economics and Statistics Vol. LXXI, No.4,
699-703 (1989)
The Performance of Robust Filtering: Some Monte Carlo Evidence
Computational Statistics Quarterly 5,1,53-76 (1989)
Causality and Non-Stationary Data: A Simulation Study
(with Wolfgang Polasek)
Computational Statistics Quarterly 4(1988),1,3-22
The Export-Productivity Relationship: A Time Series Representation for
Austria
(with Dalia Marin)
Empirica 1'87,55-75
Forecasting with Vector Autoregressive Models
(with Klaus Neusser)
Empirica 2'86,187-202
A Forecasting Comparison of Some VAR Techniques
(with Klaus Neusser)
International Journal of Forecasting 2(1986), 447-456
The Influence of Wage Rate Variations on the Level of Employment with and
without an Exogenous Interest Rate
(with Georg Winckler)
in: Frisch, H., Gahlen, B. (eds.),
Causes of Contemporary Stagnation, Springer, Vienna, 1986
Forecast
combination based on multiple encompassing tests in a macroeconomic DSGE-VAR
system
(with Mauro
Costantini and Ulrich Gunter)
(slide show presented at the CFE-ERCIM Conference in London,
December 2011)
On the usefulness of the Diebold-Mariano test
in the selection of prediction models: Some Monte Carlo evidence
(with Mauro Costantini)
(slide
show presented at the CFE-ERCIM Conference in London, December 2010)
Asymmetric Time Aggregation and its
Potential Benefits for Forecasting Annual Data
(with Philip Hans Franses)
(slide
show presented at the RSS Meeting in Brighton, September 2010)
Optimizing forecasts for inflation
and interest rates by time-series model averaging (slide show
presented at the ISF 2008 Conference in Nice, June 2008)
A nonparametric test
for seasonal unit roots (slide show presented at the RSS Meeting
in Nottingham, September 2008; poster version for EC² Conference in Faro,
December 2007, is available here)
Small-sample performance of linear
estimators in autoregressions with common seasonals: An example for Bayesian Monte Carlo evaluation
of classical estimators (slide show presented at the RSS
Meeting in Belfast, September 2006; former version presented at the ESEM 2006,
Vienna)
Approaches for the joint evaluation of
hypothesis tests: classical testing, Bayes testing,
and joint confirmation (this version July 2005)
Toward
a theory of evaluating predictive accuracy (this version August 2004)
(with Adusei Jumah)
(presented at the Econometric Society European Meeting in
Madrid, August 2004)
Testing for relative
predictive accuracy : A critical viewpoint (New version October 2003)
(presented at the METU
Conference in Ankara, September 2003)
Can threshold cointegration models beat linear structures? (New version December
2003)
(with Adusei
Jumah)
Decision maps for bivariate time series with potential threshold cointegration (New version September 2003)
(presented at the RSS Meeting in Plymouth, September
2002)
Testing for stationarity in a cointegrated
system (New version July 2003)
(presented at the ESEM Meeting in Lausanne, August
2001)
Decisions on the causal
structure of vector autoregressions (December 2001)
(presented at the EC² Meeting in Louvain-la-Neuve, December 2001)
Optimizing
prediction loss in estimating the cointegrating rank
in vector autoregressions (March 2001)
(presented at the EC² Meeting in Stockholm, December
1998)