This is Robert's research
page. It contains an exhaustive list of my publications.
The list of working papers, however, is not
complete. Comments on my work via e-mail are always welcome, particularly on
unpublished material. Please
have a look at my long CV that includes birth dates and conference
contributions.
(Latest update 19/9/2023)
Areas of Interest
Time-series econometrics
(in particular, seasonality, cointegration, forecasting, model selection)
Applied econometrics
Articles in refereed journals
Effects of
Ownership Concentration on the Performance of Austrian Listed Companies
(with Nouman Afgan and M.Z. Mumtaz)
Review of Economics and Institutions 14,1/2 (2023)
Modelling Non-Linear in Bowmans Paradox: The case of Pakistan
(with Farrukh Mahmood)
Empirical Economics 64, 23572372 (2023)
The Role of Natural Gas in Mitigating Greenhouse Gas Emissions: The
Environmental Kuznets Curve Hypothesis for Major Gas-Producing Countries
(with Hussein Moghaddam)
Sustainability 15, 4266
(2023)
Banks Efficiency Analyses in Dual Banking System
(with Muhammad Iqbal)
Kashmir Economic Review 31(1), 28-40 (2022)
Prediction of Consumption and Income in National
Accounts: Simulation-Based Forecast Model Selection
(with
Adusei Jumah)
Engineering Proceedings 5(1), 55 (2021)
(with Mauro
Costantini)
International Journal of Forecasting 37, 445-460 (2021).
(with Franz
Haider and Franz Wirl)
Empirica 48, 283-327 (2021).
Corporate
Governance and Returns on Investments of Pakistani Listed Companies
(with Nouman
Afgan and Klaus Gugler)
Advances in Economics and Business 5(4), 190-199 (2017).
Forecast combinations in a DSGE-VAR lab
(with Mauro
Costantini and Ulrich Gunter)
Journal of
Forecasting 36, 305-324 (2017).
Drivers and Obstacles to Biofuel: A Dynamic Panel Data Approach to
Selected European Union Countries
(with Hussein Moghaddam and Franz Wirl)
International Journal of Energy and
Statistics 4, 4 (2016).
Optimizing time-series forecasts for inflation and interest rates using
simulation and model averaging
(with Adusei Jumah)
Applied Economics 48, 43664378 (2016).
Asymmetric time aggregation and its potential benefits for forecasting
annual data
(with Philip H. Franses)
Empirical Economics 49, 363387 (2015).
Competing
specifications of the gravity equation: a three-way model, bilateral
interaction effects, or a dynamic gravity model with time-varying country
effects?
(with Elif Nuroglu)
Empirical
Economics, 46, 733742 (2014).
The Dynamic Interrelations between Unequal Neighbors: An Austro-German
Case Study
(with Klaus Prettner)
Empirical Economics 43,
741761 (2012)
Exchange Rate Volatility and its Impact on Industrial Production, Before
and After the Introduction of Common Currency in Europe
(with Muhammad Jamil & Erich
W. Streissler)
International Journal of Economics and Financial
Issues 2, 85109 (2012)
Testing for seasonal unit roots in monthly panels of time series
(with Philip H. Franses)
Oxford Bulletin of Economics and Statistics 73, 469488 (2011)
Combining
forecasts based on multiple encompassing tests in a macroeconomic core system
(with Mauro Costantini)
Journal of Forecasting 30, 579596 (2011)
Unit Root in Unemployment - New Evidence from Nonparametric Tests
(with Jόrgen Holl)
Applied Economics Letters 18, 509512 (2011)
(with Adusei Jumah)
Journal of Forecasting 27, 391406 (2008)
Austrian Journal of Statistics 37, 271284 (2008)
Decisions
on seasonal unit roots
(with Michael Reutter)
Journal of Statistical Computation and Simulation
72, 403418 (2002)
Forecasting High-frequency Financial Data with the ARFIMA-ARCH model
(with Michael A. Hauser)
Journal of Forecasting 20, 501518 (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,
307328 (2001)
On the Role of Seasonal Intercepts in Seasonal Cointegration
(with Philip H. Franses)
Oxford Bulletin of Economics and Statistics 61, 409434 (1999)
The Impact of Seasonal Constants on Forecasting Seasonally Cointegrated Time
Series
(with Philip H. Franses)
Journal of Forecasting 17, 109124 (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), 95113 (1998)
Augmented ARCH models for financial time series: stability conditions and
empirical evidence
Applied Financial Economics 7, 575586 (1997)
Fourth-Order Moments of Augmented ARCH Processes
Communications in Statistics, Theory and Methods 26,
14251442 (1997)
Testing for Cyclical Non-Stationarity in Autoregressive Models
Journal of Time Series Analysis 12, 137156 (1997)
Forecasting Seasonally Cointegrated Systems: Supply Response of the
Austrian Breeding Sow Herd
(with Adusei Jumah)
European Review of Agricultural Economics 23(4), 487507 (1996)
Estimating Discrete Parameters: An Application to Cointegration and Unit
Roots
Oesterreichische Zeitschrift fόr Statistik 25, 732. (1996)
Modelling Exchange Rates: Long-Run Dependence versus Conditional
Heteroscedasticity
(with Michael A. Hauser and Erhard Reschenhofer)
Applied Financial Economics 4(3), 233239 (1994)
Stability Conditions for a Bivariate ARCH System Which is Cointegrated in
Mean
Communications in Statistics, Theory and Methods
22(10), 29412953 (1993).
Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series
Empirical Economics 18(4), 761776 (1993)
Apparently Stable Increments in Finance Data: Could ARCH Effects be the
Cause?
Journal of Statistical Computation and Simulation 45,
121127 (1993).
Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and
Large European Countries
Review of Economics and Statistics LXXV, 325330 (1993).
Seasonal Models and Seasonal Adjustment
Oesterreichische Zeitschrift fuer Statistik und
Informatik 21, 177188 (1992)
Analysis of Austrian stocks: Testing for
stability and randomness
(with Erhard Reschenhofer and Kurt Rodler)
Empirical Economics 16, 465477
(1991)
Cointegration in a Macroeconomic System
(with Klaus Neusser)
Journal of Applied Econometrics, Vol.5, 351365 (1990)
Seasonal Adjustment and Measuring Persistence in Output
(with Albert Jaeger)
Journal of Applied Econometrics, Vol. 5, 4758 (1990)
On Exports and Productivity: A Causal Analysis
(with Dalia Marin)
Review of Economics and Statistics Vol. LXXI, No.4,
699703 (1989)
The Performance of Robust Filtering: Some Monte Carlo Evidence
Computational Statistics Quarterly 5,1,5376 (1989)
Causality and Non-Stationary Data: A Simulation Study
(with Wolfgang Polasek)
Computational Statistics Quarterly 4(1988),1,322
The Export-Productivity Relationship: A Time Series Representation for
Austria
(with Dalia Marin)
Empirica 1'87,5575
Forecasting with Vector Autoregressive Models
(with Klaus Neusser)
Empirica 2'86,187202
A Forecasting Comparison of Some VAR Techniques
(with Klaus Neusser)
International Journal of Forecasting 2(1986), 447456
Other publications
Kuznets and Environmental
Kuznets curves in developing countries
(with Elif
Nuroglu)
in: M. Yόlek (ed.) Industrial Policy and
Sustainable Growth. (2017)
The Effects of Ownership Concentration on Performance of Pakistani
Listed Companies
(with Nouman Afgan
and Klaus Gugler)
CBU International Conference Proceedings,
ISE Research Institute Vol. 4, 214222 (2016).
A combined nonparametric test for seasonal unit roots
in: COMPSTAT
2014 Proceedings, 369378.
Seasonality
in: International
Encyclopedia of Statistical Science, M. Lovric (ed.), Springer (2010)
(with Adusei Jumah)
Advances in Investment Analysis and Portfolio
Management Vol. 2, 173198 (2006)
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. 105128,
Physica-Verlag, Heidelberg (1994).
Trend Interpolation and the Persistence of Fluctuations in U.S. GNP
(with Albert Jaeger)
in: Th. Url and A. Wφrgφtter (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. Hφrmann, and J. Lenneis)
COMPSTAT Conference Series (1994).
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
(with Mauro
Costantini)
(short presentation
slides at the RSS Meeting in Aberdeen, September 2022)
(with Mauro
Costantini)
(longer presentation
slides for the International Symposium on Forecasting, July 2022)
Household
Consumption and Aggregate Income: A Simulation-Based Model Selection Approach
(with Adusei Jumah)
(presentation slides at the RSS
Meeting in Manchester, September 2021)
Visualization of distance
measures implied by forecast evaluation criteria
(presentation slides for the RSS
Meeting in Manchester, September 2016)
Forecasting
seasonal data and nonparametric unit-root tests
(poster presented at
the RSS Meeting in Sheffield, September 2014)
A combined
nonparametric test for seasonal unit roots
(IHS Working Paper 303)
A combined
nonparametric test for seasonal unit roots
(slide show presented
at the MitarbeiterInnenseminar of the University of Linz, Neufelden, December
2013)
Jittered phase
diagrams for seasonal patterns in time series
(slide show presented
at the Nordic Econometric Meeting in Bergen, June 2013;
poster version presented at
the RSS Meeting in Telford, September 2012, is available here)
Forecast combination
based on multiple encompassing tests in a macroeconomic DSGE-VAR system
(with Mauro Costantini and Ulrich Gunter)
(IHS Working Paper 292)
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)