Student Cockpit

  • ePayment
  • Appointment & course management

Campus System

  • Research Information System
  • Campus search

Staff Portal

  • Organisation handbook
  • Operational messages, internal & personal messages

Links

  • Webmail
  • Library
  • Vacancies
  • University bulletin
  • Bulletin Board
  • Staff Search
  • Campus Map
  • IT Services (ZID)
  • eLearning Service
  • USI
  • OEH Klagenfurt

Information for

  • Pupils
  • Alumni & Career
  • Prospective Students
  • Continuing Education
  • Researchers
  • Students
  • Staff
  • Teaching Staff
  • Partners & Sponsors
  • International
Gütesiegel evalagZertifikat 2024: Vielfalt gestalten. Diversity Audit des StifterverbandsGütesiegel Betriebliche GesundheitsförderungSatisfaction Award 2023Satisfaction Award 2021EMAS SiegelGütezeichen hochschuleundfamilie Gütezeichen EqualitaThe Faculty of Management, Economics & Law at the University of Klagenfurt has been accredited by AACSB International.
Deutsch
search
Quicklinks +
  • English English English en
  • Deutsch Deutsch German de
  • Link to Instagram
  • Link to Facebook
  • Link to TikTok
  • Link to Youtube
  • Link to Bluesky
  • Link to LinkedIn
University of Klagenfurt
  • Home
  • University
        • Organisation
          • Management
          • Academic affairs and organisation
          • Faculties, departments and faculty centres
          • University centres
          • University Executive support offices
          • Administration and management
          • Representations and commissioners
          • Organisational plan
          • Statute
        • Profile
          • Strategy
          • Mission statement
          • University history
          • Roll of honour
          • Health Management
          • Gender and equality
          • The Carinthian University Conference
          • Alps-Adriatic Rectors‘ Conference
        • Campus
          • On Campus
          • Art and Culture
          • Accommodation
          • Catering
          • Sports and leisure
          • Green campus
          • Car parks and parking regulations
          • More light, air, and openness
        • Contact
          • Vacancies
          • University bulletin
          • Partners & Sponsors
          • Media services
          • Family services
          • Services for disabled students
          • University library
  • International
        • International Profile
          • Courses offered in English
          • Partner universities
        • Study abroad
          • Erasmus+ student mobility
          • Joint-Study
          • Joint and double degrees
          • Short-term research placements abroad
          • Summer schools
          • Further outgoing grants
          • FAQ for outgoing students
        • Work and research abroad
          • Lecturers
          • Young researchers
          • General staff
          • Erasmus+ student internships
          • Subject-specific international placements
          • Teaching German abroad
        • Study in Klagenfurt
          • Students in mobility programmes
          • Entry & Residence (VISA)
          • MORE programme for refugees
          • Support for students from the Ukraine
        • Information & advice
          • International Office
          • Admissions and Examinations Office
          • Language Centre German in Austria
          • Student Union Section for International Students
          • Language certificates
          • Writing Counselling
  • Study
        • Courses offered
          • List of degree programmes
          • Extension programmes
          • Specialist courses & optional subjects
          • Continuing education programmes
          • Doctoral Degree Programme
          • Degree Programmes in English
        • Studying at AAU
          • Term dates and deadlines
          • New starter checklist
          • University fees
          • Applying to study
          • Starting your programme
          • During your programme
          • Completing your programme
          • Search for courses
        • Student Life
          • DISCOVER Klagenfurt
          • Scholarships & grants
          • Offices and services
          • Campus
          • Accommodation
          • Catering
          • Accessibility
          • Sport & leisure
          • Work & study
          • Family & study
        • Study abroad
          • Study in Klagenfurt
          • Study abroad
          • Summer schools
          • Support & advice
        • Support & Information
          • Admissions and Examinations Office
          • Office of Academic Affairs
          • Student Guidance Service
          • Servicepoint Tutoring & Mentoring
          • Union of Students (ÖH)
          • International Office
          • Doc.Service
          • Student Ombudsman
          • Alumni & careers
          • University library
          • Writing Centre
  • Research
        • Research profile
          • Grants & Winners
          • Main research areas
          • Research infrastructure
          • Karl Popper Kolleg
          • Ada Lovelace Programme
          • Open Access
          • Knowledge transfer
          • Institutional partnerships
        • Early Career
          • Thematic Doctoral Programmes
          • Young scientists mentoring
          • Doc.Service
          • Continuing education programme for early carrer researchers
        • Research support
          • Research Council
          • Research Support Service
          • Research funding
          • Research Information System (FoDok)
          • Institutional Review Board for Research Ethics
          • Good academic practice
          • Science communication

DEPARTMENT OF ECONOMICS

AAU1/...Department of Economics2/Quantitative Economics Division (QED)3/Team4/Univ.-Prof. Dipl.-Ing. Dr.techn. Martin Wagner

Univ.-Prof. Dipl.-Ing. Dr.techn. Martin Wagner

Profilbild
Univ.-Prof. Dipl.-Ing. Dr. Martin Wagner
Function:
Deputy Head of Department
Phone:
+43 463 2700 4120
E-mail:
Martin [dot] Wagner [at] aau [dot] at
Room:
B02.2.68
Consultation hours:
Tuesday 16:30-17:30

Campus-Portal profile | Courses | Research

 Curriculum Vitae

Books

Neusser, K. & Wagner, M. (2022), Zeitreihenanalyse in den Wirtschaftswissenschaften. Einführung und Grundlagen für den Einstieg in die aktuelle Forschung, 4th edition. Studienbücher Wirtschaftsmathematik. Springer Gabler: Berlin.

Conferences and Talks

18th International Conference on Computational and Financial Econometrics (CFE 2024), London, UK
December 14-16, 2024, FM-OLS Estimation and Inference for SUCPRs with Common Integrated Regressors
https://www.cmstatistics.org/CFECMStatistics2024/

Econometric Society Australasian Meetings (ESAM) 2024, Melbourne, Australia
December 4-6, 2024, Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions
https://editorialexpress.com/conference/ESAM2024/program/ESAM2024.html

13th Presidents’ Conference of the New Alpe Adria Network of Chambers, Klagenfurt, Austria
October 22, 2024, Keynote and Discussion
(Macro)Economic Challenges and Opportunities for the Region

Eighth Conference on the Econometric Models of Climate Change (EMCC VIII), Cambridge, UK
August 16-17, 2024, Fully Modified OLS Estimation and Inference for Seemingly Unrelated Cointegrating Polynomial Regressions with Common Integrated Regressors
https://climatraces.org/events/emcc-viii

4th Conference on New Trends and Developments in Econometrics, Ponta Delgada, Portugal
June 7-8, 2024, Robust Inference for the Long Run
https://www.bportugal.pt/en/evento/conference-new-trends-and-developments-econometrics

6th Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, Vienna, Austria
May 16-17,  2024, Co-Organizer and Session Chair
Robust Inference for the Long Run
https://www.ihs.ac.at/de/events/conference-series/time-series-workshops/time-series-workshop-2024/

4th Italian Workshop of Econometrics and Empirical Economics (IWEEE 2024), Bolzano, Italy
January 25-26, 2024, Fully Modified OLS Estimation and Inference forSeemingly Unrelated Cointegrating PolynomialRegressions with Common Integrated Regressors
https://www.side-iea.it/events/conferences/4th-italian-workshop-econometrics-and-empirical-economics-iweee2024

17th International Conference on Computational and Financial Econometrics (CFE 2023), Berlin, Germany
December 16-18, 2023, Testing Linear Cointegration Against Smooth Transition Cointegration
http://www.cfenetwork.org/CFE2023/

IWH Workshop on Forecasting in Times of Structural Change and Uncertainty, Halle (Saale), Germany
November 16-17, 2023, Robust Inference for the Long Run

Grüne Wirtschaft, Mödling, Austria
November 15, 2023, Zukunftskiller Wirtschaft?

2nd Annual Workshop of the ESCB Research Cluster Climate Change, Frankfurt am Main, Germany
November 13-14, 2023, discussant on The Effect of the EU ETS on Productivity

2023 NBER-NSF Time Series Conference, Montréal, Canada
September 22-23, 2023, Testing Linear Cointegration Against Smooth Transition Cointegration
https://www.cirano.qc.ca/en/events/1126#sommaire

75th European Meeting of the Econometric Society (ESEM 2023), Barcelona, Spain
August 28 – September 1, 2023, Testing Linear Cointegration Against Smooth Transition Cointegration
https://www.eeassoc.org/events/eea-esem-barcelona-2023

9th International Conference on Time Series and Forecasting (ITISE 2023), Gran Canaria, Spain
July 11-14, 2023, Plenary Speaker
Sources and Channels of Instabilities and Nonlinearities of the Phillips Curve: Results for the Euro Area and Its Member States
https://itise.ugr.es/speakers.html

10th Italian Congress of Econometrics and Empirical Economics (ICEEE 2023), Cagliari, Italy
May 26-28, 2023, Pseudo Maximum Likelihood Estimation for Multiple Frequency I(1) VARMA Processes: A State Space Approach
https://www.side-iea.it/events/conferences/iceee-2023

Tagung des Ausschuss für Ökonometrie des Vereins für Socialpolitik, Hasenwinkel, Germany
March 30 – April 1, 2023, Sources and Channels of Instabilities and Nonlinearities of the Phillips Curve: Results for the Euro Area and Its Member States

BS|EF Research Seminar, Ljubljana, Slovenia
March 2, 2023, Sources and Channels of Instabilities and Nonlinearities of the Phillips Curve: Results for the Euro Area and Its Member States
https://www.bsi.si/en/about-us/conferences-and-seminars

16th International Conference on Computational and Financial Econometrics (CFE 2022), London, UK
December 17-19, 2022, Sources and Channels of Nonlinearities and Instabilities of the Phillips Curve: Results for the Euro Area and Its Member States
http://www.cfenetwork.org/CFE2022/

Center for Econometrics and Business Analytics Research Seminar, St. Petersburg, Russia
November 11, 2022, HAC Robust Estimation and Inference for Long-Run Equilibrium Relationships
https://ceba-lab.org/seminars/eng

Netzwerkstatt 2022 der Grünen Wirtschaft, Pörtschach, Austria
October 7, 2022, Talk and Panel Discussion
Die Inflation ist in aller Munde. Aber was bedeutet das für mein unternehmerisches Tun?

Annual Meeting of the Austrian Economic Association 2022, Vienna, Austria
September 19-20, 2022, Sources and Channels of Nonlinearities and Instabilities of the Phillips Curve: Results for the Euro Area and Its Member States
https://www.conftool.com/noeg-2022

Der Wei[s]e Salon, Vienna, Austria
July 4, 2022, Panel Discussion
Konsolidierung der Staatsschulden – Welche Reformen?

8th International Conference on Time Series and Forecasting (ITISE 2022), Gran Canaria, Spain
June 27-30, 2022, Plenary Speaker
HAC Robust Estimation and Inference for Long-Run Equilibrium Relationships
https://itise.ugr.es/plenarytalks.php

5th Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, Vienna, Austria
June 9-10, 2022, Co-Organizer and Session Chair
https://www.ihs.ac.at/de/events/conference-series/time-series-workshops/time-series-workshop-2021/

Symposium Aufsichtsrat und Abschlussprüfer – Gemeinsam für eine gute Corporate Governance, Vienna, Austria
May 30, 2022, Talk and Panel Discussion
Neues Wirtschaften nach (?) der Krise – Was braucht es jetzt?

Economics Research Seminar, University of Graz, Graz, Austria
May 24, 2022, HAC Robust Estimation and Inference for Long-Run Equilibrium Relationships
https://uni-graz.at/economics-research-seminar/

Lange Nacht der Forschung 2022, Klagenfurt, Austria
May 20, 2022, Umwelt, Klima und Wirtschaft – Kann der Umbau der Weltwirtschaft in Richtung Klimaneutralität gelingen?
https://www.aau.at/blog/lange-nacht-der-forschung-zum-volkswirtn/

Tagung des Ausschuss für Ökonometrie des Vereins für Socialpolitik, Hegne, Germany
April 7-9, 2022, Testing Linear Cointegration Against Smooth Transition Cointegration

15th International Conference on Computational and Financial Econometrics (CFE 2021), London, UK
December 18-20, 2021, Localized Fully Modified OLS Estimation
http://www.cfenetwork.org/CFE2021/

7th International Conference on Time Series and Forecasting (ITISE 2021), Gran Canaria, Spain
July 19-21, 2021, Plenary Speaker
Testing Linear Cointegration Against Smooth Transition Cointegration
https://itise.ugr.es/plenarytalks.php

Regional Procurement Conference 2021, Portorož, Slovenia
June 14-15, 2021, Speaker and Round Table Participant
Current Economic Trends and Outlook
https://www.procurement-conference.com/program/

9th Italian Congress of Econometrics and Empirical Economics (ICEEE 2021), Cagliari, Italy
January 21-23, 2021, Testing Linear Cointegration Against Smooth Transition Cointegration
https://www.side-iea.it/events/conferences/iceee-2021
https://easychair.org/smart-program/ICEEE2021/2021-01-22.html#talk:163982

14th International Conference on Computational and Financial Econometrics (CFE 2020), London, UK
December 19-21, 2020, Testing Linear Cointegration Against Smooth Transition Cointegration
http://www.cfenetwork.org/CFE2020/
http://www.cmstatistics.org/RegistrationsV2/CFE2020/viewSubmission.php?in=472&token=1rnro37o01oop36627p0304741r354o3

Regional Procurement Conference 2020, Portorož, Slovenia
November 19-20, 2020, Current Economic Situation and Outlook
Video: https://www.youtube.com/watch?v=mEHMm5n98uY&feature=youtu.be (from minute 10:05).

Digitale Lange Nacht der Forschung 2020, Klagenfurt, Austria
October 09, 2020, Die Weltwirtschaft auf der Intensivstation? Ein volkswirtschaftlicher (Aus-)Blick auf die COVID19 Pandemie
Martin Wagner, Professor für Volkswirtschaftslehre am gleichnamigen Institut der Universität Klagenfurt, macht im Live-Vortrag verständlich, was die gegenwärtige (wirtschaftliche) Krisensituation ausmacht, und von welchen Faktoren es abhängt, dass Volkswirtschaften funktionsfähig bleiben.

Current Positions

Current positions:

02–06/2024 Simone Veil Fellow, Robert Schuman Centre for Advanced Studies, European University Institute, Firenze, Italy

10/2019 –      Full Professor of Economics, University of Klagenfurt

10/2019 –      Chief Economic Advisor to the Governor, Bank of Slovenia (part time)

2012 –           Visiting Professor / Full Professor of Economics, University of Ljubljana

10/2011 –       Senior Fellow of the Institute for Advanced Studies Vienna (Member of the Macroeconomics and Business Cycles Group)

Discussion papers

Naevdal, E., & Wagner, M. (2024). A Note on the Optimal Speed of Transition: Aghion and Blanchard Revisited.

Veldhuis, S., & Wagner, M. (2024). Integrated Modified Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions. IHS Working Paper Series 54.

Vogelsang, J., & Wagner, M. (2024). Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions. IHS Working Paper Series 53.

Wagner, M. (2023). Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions. IHS Working Paper Series 44.

Reichold, K., Wagner, M., Damjanović, M., & Drenkovska, M. (2022). Sources and Channels of Nonlinearities and Instabilities of the Phillips Curve: Results for the Euro Area and Its Member States. IHS Working Paper Series 40.

Osbat, C., Sun, Y., & Wagner, M. (2021). Sectoral Exchange Rate Pass-Through in the Euro Area. ECB Working Paper 2634.

Knorre, F., Wagner, M., & Grupe, M (2020). Monitoring cointegrating polynomial regressions: Theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions. IHS Working Paper Series 27.

Reynolds, J., Sögner, L., & Wagner, M. (2020). Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets. IHS Working Paper Series 17.

Reichold, K., & Wagner, M. (2018). Panel cointegrating polynomial regressions: Group-mean fully modified OLS estimation and inference. SFB 823 Discussion Paper 27/2018.

de Jong, R. M., & Wagner, M. (2018). Panel cointegrating polynomial regression analysis and the environmental Kuznets curve. SFB 823 Discussion Paper 22/2018.

Stypka, O., & Wagner, M. (2018). The Phillips unit root tests for polynomials of integrated processes. SFB 823 Discussion Paper 18/2018.

Reynolds, J., Sögner, L., Wagner, M., & Wied, D. (2018). Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets. SFB 823 Discussion Paper 9/2018.

Naevdal, E., & Wagner, M. (2017). The speed of transition revisited. SFB 823 Discussion Paper 10/2017.

Deistler, M., & Wagner, M. (2017). Cointegration in singular ARMA models. SFB 823 Discussion Paper 5/2017.

Stypka, O., Grabarczyk, P., Kawka, R., & Wagner, M. (2016). “Linear” fully modified OLS estimation of cointegrating polynomial regressions. SFB 823 Discussion Paper 77/2016.

Wagner, M., & Grabarczyk, P. (2016). The environmental Kuznets curve for carbon dioxide emissions: A seemingly unrelated cointegrating polynomial regressions approach. SFB 823 Discussion Paper 75/2016.

Frondel, M., Grabarczyk, P., & Wagner, M. (2016). Integrated modified OLS estimation for cointegrating polynomial regressions – With an application to the environmental Kuznets curve for CO2 emissions. SFB 823 Discussion Paper 74/2016.

Frondel, M., Vance, C., & Wagner, M. (2016). Cycling on the extensive and intensive margin: The role of paths and prices. SFB 823 Discussion Paper 44/2016.

Linnemann, L., Uhrin, G., & Wagner, M. (2016). Government spending shocks and labor productivity. SFB 823 Discussion Paper 9/2016.

Wagner, M., & Wied, D. (2015). Monitoring stationarity and cointegration. Available at SSRN.

Vogelsang, T.J., & Wagner, M. (2014.) An integrated modified OLS RESET test for cointegrating regressions. SFB 823 Discussion Paper 37/2014.

Publications

2024

Nævdal, E., & Wagner, M.: A Note on the Optimal Speed of Transition: Aghion and Blanchard Revisited. German Economic Review. doi.org/10.1515/ger-2024-0054.

Stypka, O., Wagner, M., Grabarczyk, P., & Kawka, R.: Cointegrating Polynomial Regression Models: Robustness of Fully Modified OLS. Econometric Theory. doi.org/10.1017/S0266466624000033.

2023

Wagner, M. (2023): Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions. Economics Letters 228. doi.org/10.1016/j.econlet.2023.111186.

Wagner, M., & Reichold, K. (2023): Panel Cointegrating Polynomial Regressions: Group-Mean Fully Modified OLS Estimation and Inference. Econometric Reviews 42(4), 358-392. doi:10.1080/07474938.2023.2178141.

2022

Wagner, M. (2022): Residual-Based Cointegration and Non-Cointegration Tests for Cointegrating Polynomial Regressions. Empirical Economics 65, 1-31. doi: 10.1007/s00181-022-02343-0

de Jong, R., & Wagner, M. (2022): Panel Cointegrating Polynomial Regression Analysis and an Illustration with the Environmental Kuznets Curve. Econometrics and Statistics. doi: 10.1016/j.ecosta.2022.03.005

2021

Reynolds, J., Sögner, L., & Wagner, M. (2021): Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets. Central European Journal of Economic Modelling and Econometrics, 13(2), 105-146. doi:10.24425/cejeme.2021.137358

Knorre, F., Wagner, M., & Grupe,  M.  (2021): Monitoring cointegrating polynomial regressions: theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions. Econometrics, 9(1), 12. doi:10.3390/econometrics9010012

2020

Bauer, D.,  Matuschek, L., de Matos Ribeiro, P., & Wagner, M. (2020): A parameterization of models for unit root processes: structure theory with and hypothesis testing. Econometrics, 8(4), 42. doi:10.3390/econometrics8040042

Wagner, M., Grabarczyk, P., & Hong, S. H. (2020). Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions. Journal of Econometrics, 214(1), 216–255. doi:10.1016/j.jeconom.2019.05.012

Kunst, R. M., & Wagner, M. (2020). Economic forecasting: editors’ introduction. Special Volume on Economic Forecasting. Empirical Economics, 58, 1-5. doi./10.1007/s00181-019-01820-3

2019

Stypka, O., & Wagner, M. (2019). The Phillips unit root tests for polynomials of integrated processes revisited. Economics Letters, 176, 109–113. doi:10.1016/j.econlet.2018.12.033

Wagner, M., Grabarczyk, P., & Hong, S. H. (2019). Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions. Journal of Econometrics, 214(1), 216-255. doi:10.1016/j.jeconom.2019.05.012

Wagner, M., & Zeileis, A. (2019). Heterogeneity and spatial dependence of regional growth in the EU: a recursive partitioning approach. German Economic Review, 20(1), 67–82. doi:10.1111/geer.12146

2018

Grabarczyk, P., Wagner, M., Frondel, M., & Sommer, S. (2018). A cointegrating polynomial regression analysis of the material Kuznets Curve hypothesis. Resources Policy, 57, 236–245. doi:10.1016/j.resourpol.2018.03.009

2017

Deistler, M., & Wagner, M. (2017). Cointegration in singular ARMA models. Economics Letters, 155, 39–42. doi:10.1016/j.econlet.2017.03.001

Wagner, M., & Wied, D. (2017). Consistent monitoring of cointegrating relationships: the US housing market and the subprime crisis. Journal of Time Series Analysis, 38(6), 960–980. doi:10.1111/jtsa.12247

2016

Wagner, M., & Hlouskova, J. (2016). Growth regressions, principal components augmented regressions and frequentist model averaging. Jahrbücher für Nationalökonomie und Statistik, 235(6), 642–662. doi:10.1515/jbnst-2015-0608

Wagner, M., & Hong, S. H. (2016). Cointegrating polynomial regressions: fully modified OLS estimation and inference. Econometric Theory, 32(5), 1289–1315. doi:10.1017/s0266466615000213

2015

Aschersleben, P., Wagner, M., & Wied, D. (2015). Monitoring Euro area real exchange rates. In A. Steland, E. Rafajłowicz, & K. Szajowski (Eds.), Stochastic models, statistics and their applications: Wroclaw, Poland, February 2015 (pp. 363–370). doi:10.1007/978-3-319-13881-7_40

Pedroni, P. L., Vogelsang, T. J., Wagner, M., & Westerlund, J. (2015). Nonparametric rank tests for non-stationary panels. Journal of Econometrics, 185(2), 378–391. doi:10.1016/j.jeconom.2014.08.013

Wagner, M. (2015). The environmental Kuznets curve, cointegration and nonlinearity. Journal of Applied Econometrics, 30(6), 948–967. doi:10.1002/jae.2421

2014

Vogelsang, T. J., & Wagner, M. (2014). Integrated modified OLS estimation and fixed-b inference for cointegrating regressions. Journal of Econometrics, 178(2), 741–760. doi:10.1016/j.jeconom.2013.10.015

2013

Hlouskova, J., & Wagner, M. (2013). The determinants of long-run economic growth: a conceptually and computationally simple approach. Swiss Journal of Economics and Statistics, 149(4), 445–492. https://ideas.repec.org/a/ses/arsjes/2013-iv-2.html

Vogelsang, T. J., & Wagner, M. (2013). A fixed-b perspective on the Phillips-Perron unit root tests. Econometric Theory, 29(03), 609–628. doi:10.1017/s0266466612000485

2012

Bauer, D., & Wagner, M. (2012). A state space canonical form for unit root processes. Econometric Theory, 28(6), 1313–1349. doi:10.1017/s026646661200014x

Schneider, U., & Wagner, M. (2012). Catching growth determinants with the adaptive Lasso. German Economic Review, 13(1), 71–85. doi:10.1111/j.1468-0475.2011.00541.x

Wagner, M. (2012). The Phillips unit root tests for polynomials of integrated processes. Economics Letters, 114(3), 299–303. doi:10.1016/j.econlet.2011.11.006

2010

Wagner, M. (2010). Cointegration analysis with state space models. Advances in Statistical Analysis, 94(3), 273–305. doi:10.1007/s10182-010-0138-x

Wagner, M., & Hlouskova, J. (2010). The performance of panel cointegration methods: results from a large scale simulation study. Econometric Reviews, 29(2), 182–223. doi:10.1080/07474930903382182

2009

Banerjee, A., & Wagner, M. (2009). Panel methods to test for unit roots and cointegration. In T. C. Mills & K. Patterson (Eds.), Applied Econometrics (pp. 632–726). doi:10.1057/9780230244405_13

Bauer, D., & Wagner, M. (2009). Using subspace algorithm cointegration analysis: simulation performance and application to the term structure. Computational Statistics & Data Analysis, 53(6), 1954–1973. doi:10.1016/j.csda.2008.10.039

Hlouskova, J., Schmidheiny, K., & Wagner, M. (2009). Multistep predictions for multivariate GARCH models: closed form solution and the value for portfolio management. Journal of Empirical Finance, 16(2), 330–336. doi:10.1016/j.jempfin.2008.09.002

Hlouskova, J., & Wagner, M. (2009). Finite sample correction factors for panel cointegration tests. Oxford Bulletin of Economics and Statistics, 71(6), 851–881. doi:10.1111/j.1468-0084.2009.00559.x

Other publications

Pötscher, B.M., Sögner, L., & M. Wagner (2024): Editor’s Introduction. Special Issue on High-Dimensional Time Series in Macroeconomics and Finance. Econometrics 12, 6 (2 pages).

Wagner, M., Knorre, F., & C. Kopetzky (2023): Gross Domestic Product, Greenhouse Gas Emissions and Global Warming. In: Weihs, C., Buschfeld S., & W. Krämer (Eds.): Statistics Today, Springer, Chapter 16, 133-140.

Osbat, C., Sun, Y., & Wagner, M. (2022). Sectoral Exchange Rate Pass-Through in the Euro Area. SUERF Policy Brief 347.

Kimmich, C., König, T., Laa, E., Lappöhn, S., & Wagner, M. (2022). Energiewende beschleunigen? Engpässe berücksichtigen! IHS Policy Brief 7/2022.

Kimmich, C., Koch, S., König, T., Lappöhn, S., Schnabl, A., Wagner, M., Weyerstraß, K., & Zenz, H. (2022). Abschätzung der wirtschaftlichen Folgen des Kriegs in der Ukraine und der Sanktionen gegen Russland. IHS Policy Brief 2/2022.

Kluge, J.,  Lappöhn, S., Plank, K., Schnabl, A., Wagner, M., Weyerstraß, K., Wimmer L., & Zenz, H. (2021). Austria’s Competitiveness and Its Determinants. Concepts, Developments, Relative Performance and Policy Options. OeNB Project No. 17686, Final report.

Research (Downloads)

On this page we present code and tables for the papers listed below. We do not assume any liability for results obtained using this material. In case you use the code or the tables, please make sure to cite the corresponding article.

  • Veldhuis, S., & Wagner, M. (2024): Integrated Modified Least Squares Estimation and (Fixed-b) Inference for Systems of Cointegrating Multivariate Polynomial Regressions. IHS Working Paper Series 54. [link]
    • Matlab Code (zip, 13 KB)
  • Vogelsang, J., & Wagner, M. (2024): Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Multivariate Polynomial Regressions. IHS Working Paper Series 53. [link]
    • Tabellen: Fixed-b Critical Values for RESET Testing (pdf)
    • Matlab Code (zip, 502 KB)
  • Wagner, M., & Reichold, K. (2023): Panel Cointegrating Polynomial Regressions: Group-Mean Fully Modified OLS Estimation and Inference. Econometric Reviews 42, 358-392. [DOI]
    • Matlab Code (zip, 7 KB)
  • de Jong, R., & Wagner, M. (2022): Panel Cointegrating Polynomial Regression Analysis and an Illustration with the Environmental Kuznets Curve. Econometrics and Statistics. [DOI]
    • Matlab Code (zip, 12 KB)
  • Knorre, F., Wagner, M., & Grupe, M. (2021):  Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions. Econometrics 9, 12. [DOI]
    • Supplementary Appendices B, C and D (pdf)
    • Tables (pdf)
    • Matlab Code (zip, 1220 KB)
  • Vogelsang, J., & Wagner, M. (2014): Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions. Journal of Econometrics 178, 741-760. [DOI]
    • Tables (pdf)
    • Matlab Code (zip, 346 KB)
  • Vogelsang, J., & Wagner, M. (2013): A Fixed-b Perspective on the Phillips-Perron Tests. Econometric Theory 29, 609-628. [DOI]
    • Tables (pdf)
    • Matlab Code (zip, 430 KB)
  • Vogelsang, J., & Wagner, M. An Integrated Modified OLS RESET Test for Cointegrating Regressions. Submitted. [DOI]
    • Tables (pdf)
    • Matlab Code (zip, 550 KB)
  • Wagner, M., & Wied, D. Monitoring Stationarity and Cointegration. Diskussionspapier. [DOI]
    • Tables (pdf)
    • R-Paket via CRAN/ R-Paket via GitHub
  • Aschersleben, P., & Wagner, M. cointReg: Parameter Estimation and Inference in a Cointegrating Regression.
    • R-Paket via CRAN/ R-Paket via GitHub
  • Wagner, M.,  Zeileis, A., & Bivand, R. lagsarlmtree: Spatial Lag Model Trees.
    • R-Paket via CRAN
  • Wagner, M. Residual Based Cointegration and Non-cointegration Tests for Cointegrating Polynomial Regressions.
    • Tables (pdf)
    • Matlab Code (zip, 60 KB)

Projects

Co-project leader of the project “A Machine Learning Approach to Smart Electricity Load Management: From Disaggregation to Policy Impact Evaluation”. Funded by the Ada Lovelace Programme of University of Klagenfurt. [Volume: 280.000€, funding period: April 2025 – March 2029]

Project leader of the sub-project “vor.GRÜNDEN 2024 AAU – Markets Flare”. Funded by the Carinthian Business Fund (KWF), co-funded by the European Union. [Volume: 78.000€, funding period: October 2024 – June 2025]

Project leader of the project “GLASS – Global Augmented State Space Error Correction Model”. Funded by the Austrian Science Fund (FWF). [Volume: approx. 227.000€, funding period: September 2022 – August 2025]

Project leader of the project “Instability and Nonlinearity of Long-Run Money Demand: Econometric Theory and Empirical Analysis”. Funded by the Anniversary Fund of Oesterreichische Nationalbank. [Volume: 249.000€, funding period: July 2022 – December 2025]

Project leader in projects A3 (Dynamic Modelling of Production Technologies; Co-PI with Christoph Schmidt and Manuel Frondel) and A4 (Factor Allocation and Pricing with Aggregate Risks on Financial Markets; Co-PI with Ludger Linnemann) in the Collaborative Research Center (Sonderforschungsbereich) 823. Funded by Deutsche Forschungsgemeinschaft/German Science Foundation. [Volume of subprojects: approx. 400.000€ for second funding period July 2013 – June 2017; approx. 500.000€ for the third funding period July 2017 – June 2021]

  • ORCID Profil
  • Google Scholar Profil
Research areas / ÖSTAT - Subject areas
  • Data science
  • Econometrics
  • Economics
  • Economic statistics
  • Macroeconomics
  • Mathematical statistics
  • Department of Economics
    • Latest tweet
    • Quantitative Economics Division (QED)
      • Team
        • Badpa Amirreza
        • Blüschke Dmitri
        • Blüschke-Nikolaeva Viktoria
        • Ivanov Andrii
        • Konstantopoulos Alexandros
        • Kopetzky Christina
        • Mariev Oleg
        • Vedak Matej
        • Veldhuis Sebastian
        • Wagner Martin
        • Zwatz Christian
      • Research Projects
        • Europe’s Mineral Trade and Global Energy Transition Nexus amid Geopolitical Risks (FWF Project No. PAT4884723)
        • GLASS – Global Augmented State Space Error Correction Model (FWF Project No. I-5571)
        • Instability and Nonlinearity of Long-Run Money Demand: Econometric Theory and Empirical Analysis (OeNB Project No. 18692)
        • Public Spending and Fiscal Multipliers Under Various Policy Mixes (FWF Project No. I-2764)
        • Optimal Control of Nonlinear Dynamic Stochastic Models (FWF Project No. T1012-GBL)
        • Österreichs Nationalökonom/inn/en und der Nationalsozialismus (OeNB Project No. 16755)
      • German Economic Review
    • Microeconomics and Game Theory (MGT)
      • Team
        • Salim Claudia
        • Schweinzer Paul
        • Wohlgemuth Norbert
      • Research Projects
        • A theory of entrepreneurship (FWF- Project No. P31248-G27)
        • Systematic errors in team selection problems (OeNB-Project No. 17663)
      • Journal of Mechanism and Institution Design
    • Study
    • 4th Summer School on Modern Topics in Time Series Analysis
    • 3rd Summer School on Modern Topics in Time Series Analysis
    • The Karl Popper Kolleg
    • Cooperations

Quicklinks

  • Webmail
  • University bulletin
  • Library
  • Bulletin Board
  • Staff Search
  • Campus Map
  • IT Services (ZID)
  • USI
  • OEH Klagenfurt
  • Index A-Z

Portals

  • Campus System
  • Student Cockpit
  • Staff Portal
  • Moodle
  • Facebook
  • Bluesky
  • LinkedIn
  • Youtube
  • Instagram
  • TikTok
Siegel der Alpen-Adria-Universität Klagenfurt

Information for

  • Pupils
  • Alumni & Career
  • Prospective Students
  • Continuing Education
  • Researchers
  • Students
  • Staff
  • Teaching Staff
  • Partners & Sponsors
  • International

Address

University of Klagenfurt
Universitätsstraße 65-67
9020 Klagenfurt am Wörthersee
Austria

+43 463 2700
uni [at] aau [dot] at
www.aau.at
Campus Plan

Gütesiegel evalagZertifikat 2024: Vielfalt gestalten. Diversity Audit des StifterverbandsGütesiegel Betriebliche GesundheitsförderungEMAS SiegelSatisfaction Award 2023Satisfaction Award 2021Gütezeichen hochschuleundfamilieGütezeichen EqualitaAACSB accredited

© University of Klagenfurt
  • Legal notice
  • Privacy policy
  • Responsible disclosure
  • Whistleblowing
  • Accessibility
  • Web team

Your privacy is important to us!


This website uses cookies to ensure the basic functionality of our website. We also use Cookies cookies to optimally redesign our website and to improve it continuously for you. For this purpose, it is necessary to pass on information to the respective service providers. By clicking on the "Accept all cookies" button, you agree to the use of cookies.
You can subsequently modify your preferred settings at any time under "Manage settings".
For further information on the cookies used, please refer to our privacy policy.

Manage settingsAccept all cookies

Cookie and Privacy Settings



How we use cookies

We use cookies to optimally redesign our website and to improve it continuously for you.
Click on the different category headings to view further information and to change the default settings.
Please note that refusing some cookies may affect the way our website works. Web pages may not be displayed correctly and may not function properly.

Reference to processing of your data collected on this website in countries without an adequate level of data protection:

By clicking on "Accept all cookies", you also consent to your data being processed by Google, Facebook, LinkedIn, Twitter and YouTube, including the USA in accordance with Art. 49 (1) sentence 1 lit. a DSGVO.
The European Court of Justice considers the USA to be a country with an insufficient level of data protection according to EU standards.

Essential Cookies & Cookie Notice

Essential cookies

These cookies are strictly necessary for the functioning of the website. Essential cookies enable basic functions and are necessary for the proper functioning of the website. You can set your browser to block these cookies or to notify you about these cookies. However, some parts of the website may not work as expected.
These cookies do not store any personal data.


Hiding the cookie notice

Two cookies are required for this setting to be saved. Otherwise this hint will be displayed again every time the page is loaded.

Google Tag Manager

We use tracking and analysis tools to ensure continuous optimisation and needs-based design of our website. Tracking measures also enable us to record statistics regarding the use of our website by visitors and to develop our website further on the basis of these findings.
If you do not want Google and Facebook to track your use of our website and transmit your visits, you can disable tracking in your browser here:

Different external services

We also use different external services including Google Webfonts, Google Maps, and external video providers.
Since these providers may collect personal data such as your IP address we allow you to block them here.
Please be aware that this might significantly limit the functionality and appearance of our site. Changes will take effect once you reload the page.
Google Webfont Settings:

Google Maps Settings:

Google reCaptcha Settings:

Vimeo and Youtube video embeds:

Privacy policy

For further information on the cookies used, please refer to our

Datenschutzerklärungen der Universität Klagenfurt
Save and accept selectionCancel
Open Message Bar Open Message Bar Open Message Bar
Scroll to top