← All authors Zacharias Psaradakis Birkbeck, University of London (from arXiv:2504.21669, 2025) · ORCID · OpenAlex
64 papers in scope · 64 published · 1 on the econ.EM arXiv · 1,794 citations · h-index 22 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Martín Solà Shi Qiu Demián Pouzo Chao-Jun Li Sjur Westgaard Stein Andreas Bethuelsen Yushu Li Samuel Modée Yan Liu Ivan Korolev Zhiheng You Alexander Giessing Wei-Chen Wang Sid Kankanala Xiaohong Chen Zhengling Qi Masahiro Kato Pascal Lavergne Rui Miao Cong Shi Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 64)
Second Special Issue on time series econometrics
published 2026 · Econometrics and Statistics
Predictive Accuracy of Impulse Responses Estimated Using Local Projections and Vector Autoregressions
published 2025 · Studies in Nonlinear Dynamics and Econometrics
Federal Reserve Chairs and Monetary Regimes
published 2025 · Oxford Bulletin of Economics and Statistics · 1 citations · first circulated 2020
with Yunus Aksoy, Rubens Morita
published 2025 · Econometric Theory
Automated Bandwidth Selection for Inference in Linear Models With Time‐Varying Coefficients
published 2025 · Journal of Time Series Analysis
with Charisios Grivas
The Role of Consumer Sentiment in the Stock Market: A Multivariate Dynamic Mixture Model With Threshold Effects
published 2025 · Oxford Bulletin of Economics and Statistics
Rational bubbles: Too many to be true?
published 2023 · Journal of Economic Dynamics and Control · 5 citations
On testing for bubbles during hyperinflations
published 2023 · Studies in Nonlinear Dynamics and Econometrics · 4 citations
published 2022 · Econometrica · 15 citations · first circulated 2016
Using Triples to Assess Symmetry Under Weak Dependence
published 2021 · Journal of Business and Economic Statistics
with Marián Vávra
Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
published 2021 · Econometrics and Statistics · 7 citations · first circulated 2017
Bootstrap-assisted tests of symmetry for dependent data
published 2019 · Journal of Statistical Computation and Simulation · 7 citations · first circulated 2018
with Marián Vávra, Márian Vávra
Normality tests for dependent data: large-sample and bootstrap approaches
published 2018 · Communications in Statistics - Simulation and Computation · 28 citations · first circulated 2017
with Marián Vávra
A distance test of normality for a wide class of stationary processes
published 2016 · Econometrics and Statistics · 9 citations · first circulated 2015
with Marián Vávra
Portmanteau tests for linearity of stationary time series
published 2016 · Econometric Reviews · 6 citations
with Marián Vávra
Using the Bootstrap to Test for Symmetry Under Unknown Dependence
published 2015 · Journal of Business and Economic Statistics · 7 citations
A Quantile‐based Test for Symmetry of Weakly Dependent Processes
published 2015 · Journal of Time Series Analysis · 6 citations
with Marián Vávra
Semiparametric Sieve-Type Generalized Least Squares Inference
published 2014 · Econometric Reviews · 8 citations
On testing for nonlinearity in multivariate time series
published 2014 · Economics Letters · 2 citations
with Marián Vávra
State‐Dependent Threshold Smooth Transition Autoregressive Models *
published 2012 · Oxford Bulletin of Economics and Statistics · 24 citations
Contemporaneous-Threshold Smooth Transition GARCH Models
published 2011 · Studies in Nonlinear Dynamics and Econometrics · 2 citations · first circulated 2009
Multivariate contemporaneous-threshold autoregressive models
published 2010 · Journal of Econometrics · 17 citations · first circulated 2007
On inference based on the one-sample sign statistic for long-range dependent data
published 2009 · Computational Statistics · 6 citations
Selecting nonlinear time series models using information criteria
published 2009 · Journal of Time Series Analysis · 31 citations
Assessing Time‐Reversibility Under Minimal Assumptions
published 2008 · Journal of Time Series Analysis · 21 citations
Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching
published 2006 · Journal of Time Series Analysis · 65 citations
with Nicola Spagnolo
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
published 2006 · Studies in Nonlinear Dynamics and Econometrics · 11 citations
Blockwise bootstrap testing for stationarity
published 2005 · Statistics & Probability Letters · 9 citations
Markov switching causality and the money–output relationship
published 2005 · Journal of Applied Econometrics · 137 citations · first circulated 2003
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables
published 2005 · Journal of Applied Econometrics · 42 citations · first circulated 2003
Forecast performance of nonlinear error-correction models with multiple regimes
published 2005 · Journal of Forecasting · 33 citations · first circulated 2004
with Fabio Spagnolo
On the Autocorrelation Properties of Long‐Memory GARCH Processes
published 2004 · Journal of Time Series Analysis · 11 citations · first circulated 2002
On Markov error‐correction models, with an application to stock prices and dividends
published 2004 · Journal of Applied Econometrics · 191 citations
A sieve bootstrap test for stationarity
published 2003 · Statistics & Probability Letters · 9 citations
ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS
published 2003 · Journal of Time Series Analysis · 164 citations · first circulated 2002
with Nicola Spagnolo
A Bootstrap Test for Symmetry of Dependent Data Based on a Kolmogorov–Smirnov Type Statistic
published 2003 · Communications in Statistics - Simulation and Computation · 16 citations
Target zone credibility and economic fundamentals
published 2002 · Economic Modelling · 24 citations
On detrending and cyclical asymmetry
published 2002 · Journal of Applied Econometrics · 39 citations
A simple method of testing for cointegration subject to multiple regime changes
published 2002 · Economics Letters · 22 citations · first circulated 2001
On the asymptotic behaviour of unit-root tests in the presence of a Markov trend
published 2002 · Statistics & Probability Letters · 3 citations
Power Properties of Nonlinearity Tests for Time Series with Markov Regimes
published 2002 · Studies in Nonlinear Dynamics and Econometrics · 23 citations
with Nicola Spagnolo
Markov level shifts and the unit-root hypothesis
published 2001 · Econometrics Journal · 19 citations
Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
published 2001 · Journal of Time Series Analysis · 49 citations
A simple procedure for detecting periodically collapsing rational bubbles
published 2001 · Economics Letters · 28 citations
An empirical reassessment of target-zone nonlinearities
published 2001 · Journal of International Money and Finance · 6 citations · first circulated 1998
On bootstrap inference in cointegrating regressions
published 2001 · Economics Letters · 12 citations
Bootstrap tests for unit roots in seasonal autoregressive models
published 2000 · Statistics & Probability Letters · 5 citations
Assessing the credibility of a target zone: evidence from EMS countries
published 2000 · International Journal of Finance & Economics · 7 citations
p-Value Adjustments for Multiple Tests for Nonlinearity
published 2000 · Studies in Nonlinear Dynamics and Econometrics · 15 citations
Detecting periodically collapsing bubbles: a Markov-switching unit root test
published 1999 · Journal of Applied Econometrics · 261 citations
On regression-based tests for persistence in logarithmic volatility models
published 1999 · Econometric Reviews · 13 citations
with Elias Tzavalis
Testing the expectations hypothesis of the term structure using instrumental variables
published 1998 · International Journal of Finance & Economics · 22 citations
Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching
published 1998 · Journal of Econometrics · 52 citations
Testing the expectations hypothesis of the term structure using instrumental variablesjel code: c15, e43, g12.
published 1998 · International Journal of Finance & Economics
Bootstrap-based evaluation of markov-switching time series models
published 1998 · Econometric Reviews · 13 citations
Switching error-correction models of house prices in the United Kingdom
published 1997 · Economic Modelling · 76 citations
COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION
published 1997 · Journal of Applied Econometrics · 71 citations
A Reconciliation of Some Paradoxical Empirical Results on the Expectations Model of the Term Structure
published 1997 · Oxford Bulletin of Economics and Statistics · 26 citations
Testing for unit roots in time series with nearly deterministic seasonal variation
published 1997 · Econometric Reviews · 8 citations · first circulated 1996
On the power of tests for superexogeneity and structural invariance
published 1996 · Journal of Econometrics · 21 citations · first circulated 1993
An Analysis of Seasonality in the U.K. Equity Market
published 1995 · The Economic Journal · 56 citations
with Andrew Clare, Stephen Thomas
A comparison of tests of linear hypotheses in cointegrated vector autoregressive models
published 1994 · Economics Letters · 10 citations
PCGIVE AND PCFIML VERSION 7
published 1993 · Journal of Economic Surveys · 1 citations
THE DEMAND FOR MONEY IN GREECE: AN EXERCISE IN ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES
published 1993 · Oxford Bulletin of Economics and Statistics · 18 citations
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