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

Current positions:

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, University of Ljubljana

10/2011   –   Fellow of the Institute for Advanced Studies Vienna (Member of the Macroeconomics and Economic Policy Group)

• Knorre, F., Wagner, M., & Grupe, M. Monitoring cointegrating polynomial regressions: Theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions. [DOI]
  
• Reynolds, J., Sögner, L., & Wagner, M. Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets. [DOI]
• Reichold, K., & Wagner, M. Panel cointegrating polynomial regressions: Group-mean fully modified OLS estimation and inference. [DOI]
• de Jong, R. M., & Wagner, M. Panel cointegrating polynomial regression analysis and the environmental Kuznets curve. [DOI]
• Stypka, O., & Wagner, M. The Phillips unit root tests for polynomials of integrated processes. [DOI]
• Reynolds, J., Sögner, L., Wagner, M., & Wied, D. Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets. [DOI]
• Naevdal, E., & Wagner, M. The speed of transition revisited. [DOI]
• Deistler, M., & Wagner, M. Cointegration in singular ARMA models. [DOI]
• Stypka, O., Grabarczyk, P., Kawka, R., & Wagner, M. “Linear” fully modified OLS estimation of cointegrating polynomial regressions. [DOI]
• Wagner, M., & Grabarczyk, P. The environmental Kuznets curve for carbon dioxide emissions: A seemingly unrelated cointegrating polynomial regressions approach. [DOI]
• Frondel, M., Grabarczyk, P., & Wagner, M. Integrated modified OLS estimation for cointegrating polynomial regressions – With an application to the environmental Kuznets curve for CO₂ emissions. [DOI]
• Frondel, M., Vance, C., & Wagner, M. Cycling on the extensive and intensive margin: The role of paths and prices. [DOI]
• Linnemann, L., Uhrin, G., & Wagner, M. Government spending shocks and labor productivity. [DOI]
• Wagner, M., & Wied, D. Monitoring stationarity and cointegration. [DOI]
• Vogelsang, T.J., & Wagner, M. An integrated modified OLS RESET test for cointegrating regressions. [DOI]

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 cite the corresponding article

• Knorre, F., Wagner, M., & Grupe, M. Monitoring cointegrating polynomial regressions: Theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions.
  • Supplementary Appendices B, C and D (pdf)
  • Tables (pdf)
  • Matlab-Code (zip, 1220 KB)

• Vogelsang, J., & Wagner, M. Integrated modified OLS estimation and fixed-b inference for cointegrating regressions. Journal of Econometrics, vol. 178 no. 2, pages 741-760, 2014. [DOI]
  • Tables(pdf)
  • Matlab-Code (zip, 346 KB)

• Vogelsang, J., & Wagner, M. A fixed-b perspective on the Phillips-Perron tests. Econometric Theory, vol. 29 no. 3, pages 609-628, 2013. [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)

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. Sponsored 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]

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. Empirical Economics 58, 1-5. doi.org/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

Wagner, M., & Wied, D. (2014). Monitoring stationarity and cointegration. Discussion Paper / SFB 823 (Vol. 2014,23). Dortmund. doi:10.17877/DE290R-14599

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