Publications
- ''Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry,"
forthcoming in
Studies in Nonlinear Dynamics and Econometrics.
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.
Elsevier's web site.
- "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.
Link to: Philip Rothman's homepage.