- Function:
- Deputy Head of Department
- Phone:
- +43 463 2700 4120
- E-Mail:
- Martin [dot] Wagner [at] aau [dot] at
- Room:
- Z.1.03
- Consultation Hours:
- Tuesday 16:30-17:30
- Mathematical statistics
- Macroeconomics
- Econometrics
- Economics
- Economic statistics
- Data science
Conferences and Congresses
15th International Conference on Computational and Financial Econometrics (CFE 2021), London, UK
December 18-20, 2021, Co-Chair
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/
Strategieprozess der Universität Klagenfurt “Zukunft 27/40” – ongoing 2021
Im Rahmen des Strategieprozesses der Universität unter dem Titel „Zukunft 27/40“ wollen wir an Grundlagen arbeiten, die uns dabei unterstützen, unsere Aktivitäten in Lehre, Forschung und Third Mission zielgerichtet zu gestalten.
Ninth 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
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:
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)
Discussion papers
- 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]
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 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.
- 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]
- Vogelsang, J., & Wagner, M. A fixed-b perspective on the Phillips-Perron tests. Econometric Theory, vol. 29 no. 3, pages 609-628, 2013. [DOI]
- Vogelsang, J., & Wagner, M. An integrated modified OLS RESET test for cointegrating regressions. Submitted. [DOI]
- Wagner, M., & Wied, D. Monitoring stationarity and cointegration. Diskussionspapier. [DOI]
- Aschersleben, P., & Wagner, M. cointReg: parameter estimation and inference in a cointegrating regression.
- Wagner, M., Zeileis, A., & Bivand, R. lagsarlmtree: spatial lag model trees.
- Wagner, M. Residual based cointegration and non-cointegration tests for cointegrating polynomial regressions.
Projects
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]
Publications
2021
Reynolds, J., Sögner, L., & Wagner M. (2021): Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets. Forthcoming in Central European Journal of Economic Modelling and Econometrics.
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
