Some dynamic actions script.
www.bportugal.pt
Image with the headquarters building of the Banco de Portugal

Menu de contexto


Paulo Rodrigues

Fields of interest: Time series econometrics, Financial econometrics, Economic growth and Business cycles.

Presentation


Paulo M. M. Rodrigues is a senior researcher in the field of structural analysis for the Economic Research Department of Banco de Portugal.  He has published a number of articles in refereed journals including Journal of Econometrics, Econometric Theory, Econometrics Reviews and Journal of Time Series Analysis. He received his Licenciatura from the Universidade do Algarve and his Masters and Ph.D. from the University of Manchester, UK.

BdP Publications

TitleRelease YearPublication Type
Persistence in the Banking Industry: Fractional integration and breaks in memory2014Working Paper
Early Warning Indicators of Banking Crises: Exploring new Data and Tools2014Economic Bulletin Article
The world tourism exports cycle2013Economic Bulletin Article
Characterizing economic growth paths based on new structural change tests2013Working Paper
Quantile regression for long memory testing: A case of realized volatility2012Working Paper
How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example2012Working Paper
The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance2011Working Paper
Determinants of the EONIA spread and the financial crisis2011Working Paper
The Impact of Persistent Cycles on Zero Frequency Unit Root Tests2011Working Paper
A Class of Robust Tests in Augmented Predictive Regressions2011Working Paper
Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns2011Working Paper
Evaluating retail banking quality service and convenience with MCDA techniques: a case study at the bank branch level2011Working Paper
Volatility and Seasonality of Tourism Demand in Portugal2010Economic Bulletin Article
Calendar Effects in Daily ATM Withdrawals2010Working Paper
A Multiple Criteria Framework to Evaluate Bank Branch Potential Attractiveness2010Working Paper
Determinants of the EONIA spread and the financial turmoil of 2007-20092010Economic Bulletin Article
Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates2010Working Paper
Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration2009Working Paper
The Flexible Fourier Form and Local GLS De-trended Unit Root Tests2009Working Paper
On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend2009Working Paper
Adding Value to Bank Branch Performance Evaluation Using Cognitive Maps and MCDA: A Case Study2009Working Paper

Other Publications

TitleRelease YearPublication
Recursive adjustment, unit root tests and structural breaks2013Journal of Time Series Analysis, 34(1), 62-82
Determinants of the EONIA spread and the financial crisis 2013The Manchester School, forthcoming
Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration2013Journal of Statistical Computation and Simulation, forthcoming
Regional tourism development: culture, nature, life cycle and attractiveness2013Current Issues in Tourism, forthcoming
Testing for persistence change in fractionally integrated models: an application to world ination rates2013Computational Statistics and Data Analysis, forthcoming
Evaluating retail banking quality service and convenience with MCDA techniques: a case study at the bank branch level 2013Journal of Business Economics and Management, forthcoming
How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example2013Journal of Business Economics and Management, forthcoming
The Impact of Persistent Cycles on Zero Frequency Unit Root Tests2013Econometric Theory, forthcoming
A Multiple Criteria Framework to Evaluate Bank Branch Potential Attractiveness2012International Journal of Strategic Property Management, 16(3), 254-276
Assessing the impact of shocks on international tourism demand for Portugal2012Tourism Economics, 18(3), 617-634
The Flexible Fourier Form and Local GLS De-trended Unit Root Tests2012Oxford Bulletin of Economics and Statistics, 74(5), 736-759
Adding Value to Bank Branch Performance Evaluation Using Cognitive Maps and MCDA: A Case Study2011Journal of the Operations Research Society, 62, 1320-1333
On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend2011Journal of Time Series Analysis, 32(2), 108-134
Threshold effects in credit risk and stress scenarios2011International Journal of Finance & Economics, 16(4), 393-407
From traditional operational research to multiple criteria decision analysis: basic ideas on an evolving field2011Problems and Perspectives in Management, 9(3), 114-121
The Effect of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance2010Oxford Bulletin of Economics and Statistics, 73(4), 449-468
What Causes Short and Long-run Economic Growth in Portugal: Exports or Inward FDI?2010Journal of Economic Studies, Vol. 37, No 3-4, 267-287
Knowledge Production in European Regions: The Impact of Regional Strategies and Regionalization of Innovation2010European Planning Studies 18, 1729-1748
Events that Marked Tourism in Portugal2010Applied Economic Letters, Vol. 17, 761-766
Persistence Change in Tourism Data2010Tourism Economics, Vol. 16, No 2, 303-319
A Tourism Research Agenda for Portugal2010International Journal of Tourism Research, Vol.12, 90-101
Calendar effects in daily ATM withdrawals2010Economics Bulletin, Vol.30 nº4, October 2010
Testing for the General Fractional Integration Hypothesis in the Time Domain2009Econometric Theory, 25, 1793-1828
Modelling and Forecasting Tourism Growth Cycle2009Tourism Economics, 15(2), 323-338
Unit Root and Cointegration Testing: Guest Editors’ Introduction2008Econometric Theory, 24 (1), 1-6
A Note on Testing for Nonstationarity in Autoregressive Processes with Level Dependent Conditional Heteroskedasticity2008Statistical Papers 49, 581-593
A Test for Seasonal Fractional Integration2008Proceedings of the XVIII International Conference on Computational Statistics, Springer Verlag (eds)
Testing for causality in variance under nonstationarity in variance2007Economics Letters 97, 133-137
Efficient Seasonal Unit Root Tests2007Journal of Econometrics 141, 548 -573
Forecasting Seasonal Time Series2006Handbook of Economic Forecasting, Chapter 13, Ed. G. Elliott, C.W.J. Granger e A. Timmermann, Elsevier B.V
Properties of recursive trend-adjusted unit root tests2006Economics Letters 91, 413-419
The performance of unit root tests under level-dependent heteroskedasticity2005Economics Letters 89, 262-268
A sequential approach to testing seasonal unit roots in high frequency data2005Journal of Applied Statistics,Vol.32, 555-569
Dating and synchronizing tourism growth cycles2005Tourism Economics 11, 501-516
Asymptotic distributions for regression-based seasonal unit root test statistics in a near-integrated model2004Econometric Theory 20, 645-670
Alternative Estimators and Unit Root Tests for Seasonal Autoregressive Processes2004Journal of Econometrics 120, 35-73
Starting Value Effects on Tests for Double Differencing2004Econometric Theory 20, 95-115
Seasonal Unit Root Tests under Structural Breaks2004Journal of Time Series Analysis 25, 33-53
Threshold Cointegration and the PPP Hypothesis2004Journal of Applied Statistics 31, 115-127
F versus t tests for unit roots: A Comment2004Economics Bulletin 3, No.12, 1-7
An Application of PAR Models for Tourism Forecasting2004Tourism Economics 10, 281-303
On LM Tests for Seasonal Unit Roots2002The Econometrics Journal 5, 76-195
Seasonal Random Walks with Drift:Properties of Least Squares Estimators2002Portuguese Economic Journal 1, 27-46
Near Seasonal Integration2001Econometric Theory 17, 70-86
The Asymptotic Distributions of Seasonal Unit Root Tests: A Unifying Approach2001Econometric Reviews 21, 221-241
Seasonal Nonstationarity and Near-nonstationarity2000A Companion to Theoretical Econometrics, Ed. Badi Baltagi, Blackwells. (CIRANO Working Paper 99s-05)
The Performance of Seasonal Unit Root Tests for Monthly Data1999Journal of Applied Statistics, Vol. 26, No. 8, 985-1004
A Note on the Application of the DF Test to Seasonal Data1999Statistics and Probability Letters 47, 171-175
Contrast of the Asymptotic Properties of Least Squares Estimates in Symmetric Seasonal Processes. Solution 98.5.31999Econometric Theory 15 No. 5, 783-786
Contrast of the Asymptotic Properties of Least Squares Estimates in Symmetric Seasonal Processes. Problem 98.5.31998Econometric Theory 14 No. 5, 687

Associated Documents

Accessibility [D] Optimized for 1024x768 pixels resolution
Banco de Portugal © 2009 All rights reserved.