PUBLICATIONS

Publications

“Equity Returns and Business Cycles in Small Open Economies,” with M. Jahan-Parvar and X. Lui, Journal of Money, Credit, and Banking, 45, 2013, 1117–1146. Accepted paper version.
“Oil and US GDP: A Real-Time Out-of-Sample Examination,” with F. Ravazzolo, Journal of Money, Credit, and Banking, 45, 2013, 449-463. Accepted paper version.
“An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa,” with A.R. Cheng and M.R. Jahan-Parvar, Journal of Empirical Finance, 17, 2010, 413-427. Accepted paper version.
''Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry," Studies in Nonlinear Dynamics and Econometrics, 12, 2008, No. 3, Article 6. Accepted paper version.
''Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts," with C. Milas, International Journal of Forecasting, 24, 2008, 101-121. Accepted paper version.
Nonlinear Time Series Analysis of Business Cycles, editor, with C. Milas and D. van Dijk, Contributions to Economic Analysis 276, 2006, Amsterdam: Elsevier. Now published at: HERE.
"Comments on 'Structural Change in Macroeconomic Time Series','' Journal of Macroeconomics, 28, 2006, 151–153. Working paper version.
" An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre-World War I and Interwar Periods," with R.E. Parker, Economic Inquiry, 42, 2004, 88-100. Accepted paper version.
"A Multivariate STAR Analysis of the Relationship Between Money and Output," with D. van Dijk and P.H. Franses, Macroeconomic Dynamics, 5, 2001, 506-532. Working paper version.
"Review of Forecasting Non-Stationary Economic Time Series, by Michael P. Clements and David F. Hendry," Journal of Economic Literature, 39, 2001, 570-571. Working paper version.
"Independence and Changes in the Size Distribution of Income," in Slottje, D. (ed.) Festschrift for C. Dagum, Springer-Verlag, 1999, 345-358.
Nonlinear Time Series Analysis of Economic and Financial Data, Editor, Kluwer Academic Press, 1999. Springer's web site.
"Higher-Order Residual Analysis for Simple Bilinear and Threshold Autoregressive Models with the TR Test," in Rothman, P. (ed.) Nonlinear Time Series Analysis of Economic and Financial Data, Kluwer Academic Press, 1999. Working paper version.
"A Frequency Domain Test of Time Reversibility," (with M.J. Hinch) Macroeconomic Dynamics, 2, 1998, 72-88. Working paper version.
"Forecasting Asymmetric Unemployment Rates," Review of Economics and Statistics, 80, 1998, 164-168.
"Is the Size Distribution of Income Stationary?," Research on Economic Inequality, 8, 1998, 1-12.
"The Current Depth of Recession and Unemployment Rate Forecasts ," (with R. Parker) Studies in Nonlinear Dynamics and Econometrics, 2, 151-158, 1998. Working paper version.
"More Uncertainty About the Unit Root in U.S. Real GNP, " Journal of Macroeconomics, 19, 1997, 771-780.
"FORTRAN Programs for Running the TR Test: A Guide and Some Examples," Studies in Nonlinear Dynamics and Econometrics, 1, 203-208, 1997.
"Time Reversibility," (with J.B. Ramsey) in Business Cycles and Depressions: an Encyclopedia, D. Glasner (ed.), Garland Press, 1997, 684-686.
"International Evidence on Business-Cycle Nonlinearity," in Nonlinear Dynamics and Econometrics. Proceedings of the Tenth International Symposium in Economic Theory and Economerics, Barnett, W.A., A.P. Kirman, and M. Salmon (eds.), Cambridge University Press, 1996, pp. 333-341. Also published in 1993 Proceedings of the American Statistical Association Business and Economic Statistics Section , 238-243.
"Time Irreversibility and Business Cycle Asymmetry," (with J.B. Ramsey) Journal of Money, Credit, and Banking, 28, 1-21, 1996. Unpublished Appendix (PDF File) Data Files
"Further Evidence on the Stabilization of Postwar Economic Fluctuations," (with R. Parker) Journal of Macroeconomics, 18, 289-298, 1996.
"Review of Chaotic Dynamics," Journal of Economic Behavior and Organization, 26, 308-310, 1995.
"The Time Reversibility Test with Application to Financial Data," in Business Cycles: Theory and Methods, Semmler, W. (ed.), Kluwer Academic Publishers, 389-403, 1994.
"Fractional Integration Analysis of Long-Run Behavior for U.S. Macroeconomic Time Series," (with N. Crato) Economics Letters, 45, 287-291, 1994.
"A Reappraisal of Parity Reversion for U.K. Real Exchange Rates," Applied Economics Letters , 1, 139-141, 1994.
"Comment on 'Nonlinear Monetary Dynamics,' " (with J.B. Ramsey) Journal of Business and Economic Statistics, 12, 135-136, 1994.
"Further Evidence of Stochastic Trends with Portuguese Data, " (with N. Crato) Estudos de Economia, 13, 69-84, 1992.
"The Comparative Power of the TR Test Against Simple Threshold Models," Journal of Applied Econometrics, 7, Supplement, S187-S196, 1992. Republished in Nonlinear Dynamics, Chaos, and Econometrics, Pesaran H. and S. Potter (eds.), John Wiley and Sons, 229-237, 1993.
"Further Evidence on the Asymmetric Behavior of Unemployment Rates Over the Business Cycle," Journal of Macroeconomics, 13, 291-298, 1991.
"The Statistical Properties of Dimension Calculations Using Small Data Sets: Economic Applications," (with J.B. Ramsey and C. Sayers) International Economic Review, 31, 991-1020, 1990. Republished in Cycles and Chaos in Economic Equilibrium, Benhabib, J. (ed.), Princeton University Press, 394-428, 1992. Also reprinted in Chaos Theory in Economics: Methods, Models, and Evidence, Dechert, W.D. (ed.), Edward Elgar Publishing Limited, 1996.

Last update: September 1, 2014. Link to: Philip Rothman's homepage