Home > Paulo M.M. Rodrigues > Paulo M.M. Rodrigues

Paulo M.M. Rodrigues

Fields of study: 
Econometrics
Financial econometrics
Time series

 

 

Departamento de Estudos Económicos

pmrodrigues@bportugal.pt

 

  

 

Formação:

Agregação, Universidade do Algarve, 2005

Doutoramento em Econometria, Universidade de Manchester, Reino Unido, 1998

Mestrado em Economia e Econometria, Universidade de Manchester, Reino Unido, 1995

Licenciatura em Gestão de Empresas, Universidade do Algarve, 1993

 

Experiência profissional:

Investigador (Técnico Consultor), Departamento de Estudos Económicos, Banco de Portugal, desde setembro de 2008

 

Experiência académica:

Professor catedrático, Nova School of Business and Economics, Universidade Nova de Lisboa

Banco de Portugal scientific articles (43)
2020
House price forecasting and uncertainty: Examining Portugal and Spain
Banco de Portugal Economic Studies
2017
House prices in Portugal - what happened since the crisis?
Banco de Portugal Economic Studies
2015
A Reappraisal of Eurozone Countries Output Differentials
Banco de Portugal Economic Studies
2022
Cross-Sectional Error Dependence in Panel Quantile Regressions
Working Papers
2022
Forgetting Approaches to Improve Forecasting
Working Papers
2022
Survival of the fittest: Tourism Exposure and Firm Survival
Working Papers
2021
The persistence of wages
Working Papers
2021
Extensions to IVX methods of inference for return predictability
Working Papers
2021
Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume
Working Papers
2020
Measuring wage inequality under right censoring
Working Papers
2020
The expected time to cross a threshold and its determinants: A simple and flexible framework
Working Papers
2019
Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium
Working Papers
2019
A reexamination of inflation persistence dynamics in OECD countries: A new approach
Working Papers
2019
Testing for Episodic Predictability in Stock Returns
Working Papers
2018
Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics
Working Papers
2018
Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility
Working Papers
2016
Market integration and the persistence of electricity prices
Working Papers
Published at: Empirical Economics, 2018, pp 1–20
2016
Residual-augmented IVX predictive regression
Working Papers
2016
Forecasting banking crises with dynamic panel probit models
Working Papers
Published at: International Journal of Forecasting, Vol. 34, Issue 2, pp. 249-275
2015
House prices: bubbles, exuberance or something else? Evidence from euro area countries
Working Papers
2015
A New Regression-Based Tail Index Estimator: An Application to Exchange Rates
Working Papers
2014
Persistence in the Banking Industry: Fractional integration and breaks in memory
Working Papers
2013
Characterizing economic growth paths based on new structural change tests
Working Papers
2012
How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example
Working Papers
Published at: Journal of Business Economics and Management, Vol.15(4), 2014, pp.708-728
2012
Quantile regression for long memory testing: A case of realized volatility
Working Papers
2011
Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns
Working Papers
2011
A Class of Robust Tests in Augmented Predictive Regressions
Working Papers
2011
The Impact of Persistent Cycles on Zero Frequency Unit Root Tests
Working Papers
Published at: Econometric Theory, Vol.29, 2013, pp.1289-1313
2011
Evaluating retail banking quality service and convenience with MCDA techniques: a case study at the bank branch level
Working Papers
Published at: Journal of Business Economics and Management, Vol.15(1), 2014, pp.1-21
2011
Determinants of the EONIA spread and the financial crisis
Working Papers
2010
Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates
Working Papers
Published at: Computational Statistics and Data Analysis, 76, 2014, pp.502–522
2010
Calendar Effects in Daily ATM Withdrawals
Working Papers
2010
The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance
Working Papers
Published at: Oxford Bulletin of Economics and Statistics, Vol. 73(4), 2011, pp.449-468
2010
A Multiple Criteria Framework to Evaluate Bank Branch Potential Attractiveness
Working Papers
2009
Adding Value to Bank Branch Performance Evaluation Using Cognitive Maps and MCDA: A Case Study
Working Papers
Published at: Journal of the Operations Research Society, 62, 2011, pp.1320-1333
2009
On LM-Type Tests for Seasonal Unit Roots in the Presence of a Break in Trend
Working Papers
Published at: Journal of Time Series Analysis, Vol.32(2), 2010, pp.108-134
2009
The Flexible Fourier Form and Local GLS De-trended Unit Root Tests
Working Papers
Published at: Oxford Bulletin of Economics and Statistics, Vol.74(5), 2012, pp.736-759
2009
Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
Working Papers
Published at: Journal of Statistical Computation and Simulation, Vol. 83, Issue 7, 2013
2014
Early Warning Indicators of Banking Crises: Exploring new Data and Tools
Economic Bulletin Articles
2014
The Dynamics and Contrast of House Prices in Portugal and Spain
Economic Bulletin Articles
2013
The world tourism exports cycle
Economic Bulletin Articles
2010
Determinants of the EONIA spread and the financial turmoil of 2007-2009
Economic Bulletin Articles
2010
Volatility and Seasonality of Tourism Demand in Portugal
Economic Bulletin Articles
Other scientific articles (40)
2011
A comparison of the cyclical evolution of various geographic areas of reference with Portugal
Economic Bulletin Articles
2018
Forecasting banking crises with dynamic panel probit models
Other Contributions
Published at: International Journal of Forecasting Volume 34, Issue 2, 2018, Pages 249-275
2013
Recursive adjustment, unit root tests and structural breaks
Other Contributions
Published at: Journal of Time Series Analysis, Vol.34(1), 2013, pp.62-82
2013
Regional tourism development: culture, nature, life cycle and attractiveness
Other Contributions
Published at: Current Issues in Tourism, Vol.16(6), 2013, pp.517-534
2012
Assessing the impact of shocks on international tourism demand for Portugal
Other Contributions
Published at: Tourism Economics, Vol.18(3), 2012, pp.617-634
2011
From traditional operational research to multiple criteria decision analysis: basic ideas on an evolving field
Other Contributions
Published at: Problems and Perspectives in Management, Vol.9(3), 2011, pp.114-121
2011
Threshold effects in credit risk and stress scenarios
Other Contributions
Published at: International Journal of Finance & Economics, 16(4), 2011, pp. 393-407
2010
Knowledge Production in European Regions: The Impact of Regional Strategies and Regionalization of Innovation
Other Contributions
Published at: European Planning Studies, Vol.18, 2010, pp.1729-1748
2010
Events that Marked Tourism in Portugal
Other Contributions
Published at: Applied Economic Letters, Vol.17, 2010, pp.761-766
2010
What Causes Short and Long-run Economic Growth in Portugal: Exports or Inward FDI?
Other Contributions
Published at: Journal of Economic Studies Vol. 37(3-4), 2010, pp.267-287
2010
A Tourism Research Agenda for Portugal
Other Contributions
Published at: International Journal of Tourism Research, Vol.12, 2008, pp.90-101
2010
Persistence Change in Tourism Data
Other Contributions
Published at: Tourism Economics, Vol.16(2), 2010, pp.303-319
2009
Testing for the General Fractional Integration Hypothesis in the Time Domain
Other Contributions
Published at: Econometric Theory Vol.25, 2009, pp.1793-1828
2009
Modelling and Forecasting Tourism Growth Cycle
Other Contributions
Published at: Tourism Economics Vol. 15(2), 2009, pp.323-338
2008
Unit Root and Cointegration Testing: Guest Editors’ Introduction
Other Contributions
Published at: Econometric Theory Vol. 24 (1), pp.1-6
2008
A Test for Seasonal Fractional Integration
Other Contributions
2008
A Note on Testing for Nonstationarity in Autoregressive Processes with Level Dependent Conditional Heteroskedasticity
Other Contributions
Published at: Statistical Papers Vol.49, 2008, pp.581-593
2007
Efficient Seasonal Unit Root Tests
Other Contributions
Published at: Journal of Econometrics, Vol. 141, 2007, pp.548 -573
2007
Testing for causality in variance under nonstationarity in variance
Other Contributions
Published at: Economics Letters Vol. 97, 2007, pp.133-137
2006
Properties of recursive trend-adjusted unit root tests
Other Contributions
Published at: Economics Letters 91, 2006, pp.413-419
2006
Forecasting Seasonal Time Series
Other Contributions
Published at: Handbook of Economic Forecasting, 2006, Chapter 13, Ed. G. Elliott, C.W.J. Granger and A. Timmermann, Elsevier B.V
2005
A sequential approach to testing seasonal unit roots in high frequency data
Other Contributions
Published at: Journal of Applied Statistics,Vol.32, 2005, pp. 555-569
2005
The performance of unit root tests under level-dependent heteroskedasticity
Other Contributions
Published at: Economics Letters Vol.89, 2005, pp.262-268
2005
Dating and synchronizing tourism growth cycles
Other Contributions
Published at: Tourism Economics, Vol. 11, 2005, pp.501-516
2004
F versus t tests for unit roots: A Comment
Other Contributions
Published at: Economics Bulletin, Vol.3(12), 2004, pp.1-7
2004
Starting Value Effects on Tests for Double Differencing
Other Contributions
Published at: Econometric Theory Vol. 20, 2004, pp.95-115
2004
Threshold Cointegration and the PPP Hypothesis
Other Contributions
Published at: Journal of Applied Statistics Vol.31, 2004, pp.115-127
2004
Alternative Estimators and Unit Root Tests for Seasonal Autoregressive Processes
Other Contributions
Published at: Journal of Econometrics Vol. 120, 2004, pp.35-73
2004
An Application of PAR Models for Tourism Forecasting
Other Contributions
Published at: Tourism Economics Vol. 10, 2004, pp.281-303
2004
Seasonal Unit Root Tests under Structural Breaks
Other Contributions
Published at: Journal of Time Series Analysis Vol. 25, 2004, pp.33-53
2004
Asymptotic distributions for regression-based seasonal unit root test statistics in a near-integrated model
Other Contributions
Published at: Econometric Theory 20, 2004, pp.645-670
2002
Seasonal Random Walks with Drift: Properties of Least Squares Estimators
Other Contributions
Published at: Portuguese Economic Journal Vol. 1, 2002, pp.27-46
2002
On LM Tests for Seasonal Unit Roots
Other Contributions
Published at: The Econometrics Journal Vol. 5, 2002, pp.76-195
2001
Near Seasonal Integration
Other Contributions
Published at: Econometric Theory Vol.17, 2001, pp.70-86
2001
The Asymptotic Distributions of Seasonal Unit Root Tests: A Unifying Approach
Other Contributions
Published at: Econometric Reviews 21, 2001, pp.221-241
2000
Seasonal Nonstationarity and Near-nonstationarity
Other Contributions
Published at: A Companion to Theoretical Econometrics, Ed. Badi Baltagi, Blackwells
1999
The Performance of Seasonal Unit Root Tests for Monthly Data
Other Contributions
Published at: Journal of Applied Statistics, Vol. 26(8), 1999, pp.985-1004
1999
A Note on the Application of the DF Test to Seasonal Data
Other Contributions
Published at: Statistics and Probability Letters Vol. 47, 1999, pp.171-175
1999
Contrast of the Asymptotic Properties of Least Squares Estimates in Symmetric Seasonal Processes. Solution 98.5.3
Other Contributions
Published at: Econometric Theory, Vol. 15, No. 5 (Oct., 1999), pp. 783-786
1998
Contrast of the Asymptotic Properties of Least Squares Estimates in Symmetric Seasonal Processes. Problem 98.5.3
Other Contributions
Published at: Econometric Theory, Vol. 14, No. 5 (Oct., 1998), pp. 687-688
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