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 Comments on my work via e-mail are always welcome, particularly on unpublished material.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 5/7/2017)

Areas of Interest

Time-series econometrics
 (in particular, seasonality, cointegration, forecasting, model selection)
Applied econometrics



Articles in refereed journals


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, 4366–4378 (2016).

Asymmetric time aggregation and its potential benefits for forecasting annual data

    (with Philip H. Franses)

    Empirical Economics 49, 363–387 (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, 733–742 (2014).

The Dynamic Interrelations between Unequal Neighbors: An Austro-German Case Study

    (with Klaus Prettner)

    Empirical Economics 43, 741–761 (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, 85–109 (2012)

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 Jόrgen Holl)

    Applied Economics Letters 18, 509–512 (2011)

Seasonal Prediction of European Cereal Prices: Good Forecasts Using Bad Models?

    (with Adusei Jumah)
    Journal of Forecasting 27, 391
–406 (2008)

Cross validation of prediction models for seasonal time series by parametric bootstrapping

    Austrian Journal of Statistics 37, 271–284 (2008)

Immigrant remittance flows and aggregate demand forecasts in West African economies

    (with Adusei Jumah)
Journal of Policy Modeling 30, 377–380 (2008)

Modeling Macroeconomic Sub-Aggregates: An Application of Non-Linear Cointegration
    (with Adusei Jumah)
    Macroeconomic Dynamics 12, 151–171 (2008)

Analyzing a panel of seasonal time series: Does seasonality in industrial production converge across Europe?

    (with Philip H. Franses)
    Economic Modelling 24, 954–968 (2007)

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 fόr Statistik 25, 7–32. (1996)
Modelling Exchange Rates: Long-Run Dependence versus Conditional Heteroscedasticity
    (with Michael A. Hauser and Erhard Reschenhofer)
    Applied Financial Economics 4(3), 233
–239 (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
–776 (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)
Analysis of Austrian stocks: Testing for stability and randomness
    (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
The Export-Productivity Relationship: A Time Series Representation for Austria
    (with Dalia Marin)
    Empirica 1'87,55
Forecasting with Vector Autoregressive Models
    (with Klaus Neusser)
    Empirica 2'86,187
A Forecasting Comparison of Some VAR Techniques
    (with Klaus Neusser)
    International Journal of Forecasting 2(1986), 447


Other publications


Kuznets and Environmental Kuznets curves in developing countries

    (with Elif Nuroglu)

    in: M. Yόlek (ed.) Industrial Policy and Sustainable Growth. (2017)

A combined nonparametric test for seasonal unit roots

    in: COMPSTAT 2014 Proceedings, 369–378.


    in: International Encyclopedia of Statistical Science, M. Lovric (ed.), Springer (2010)

Exchange-Rate Volatility Spillovers in International Equity Markets

    (with Adusei Jumah)

    Advances in Investment Analysis and Portfolio Management Vol. 2, 173–198 (2006)

Modeling Fixed Investment and Its Components: An Application of Non-Linear Error Correction

    (with Adusei Jumah)

    in: Advances in macroeconometric modeling, C. Dreger and H.P. Galler (ed.), Nomos (2005)

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).

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 

Selected Working Papers and presentation files


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)

Forecasting interest rates and inflation from bivariate time-series models:
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)