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Paulo Rodrigues
Paulo Rodrigues
Professor (Adjunct)
Economics
Web site
Ciência ID: 971D-0B18-AD8A
ORCID ID: 0000-0002-6469-4959

Paulo M. M. Rodrigues is a senior research economist at the Economics and Research Department of the Bank of Portugal and Professor of Econometrics at Nova School of Business and Economics.  Before moving to Lisbon in 2008 he was Associate Professor at the Faculty of Economics of the University of Algarve, where he held several academic positions including vice-dean and dean of Faculty. His research interests include time-series econometrics, financial econometrics and empirical macroeconomics and finance.  He has published a number of peer-reviewed articles in several internationally renowned scientific journals, including Journal of Econometrics, Econometric Theory, Journal of Financial Econometrics, Econometrics Reviews, International Journal of Forecasting and Oxford Bulletin of Economics and Statistics. He also serves on the editorial board of several scientific journals.


 

2015 - Agregação, University of Algarve

1998 - PhD Econometrics, University  of Manchester

1995 - MA in Economics and Econometrics, University of Manchester

1993 - Undergraduate degree in Business Managment, University of Algarve

Time-series econometrics, financial econometrics and empirical macroeconomics and finance. 

  • Zsurkis, Gabriel, Nicolau, João, Rodrigues, Paulo M.M. (2024). First passage times in portfolio optimization: A novel nonparametric approach. European Journal of Operational Research, 312 (3), 1074-1085.
  • Caires, Filipe B., Reis, Hugo, Rodrigues, Paulo Manuel Marques (2023). Survival of the fittest: Tourism exposure and firm survival. Applied Economics, 55 (60), 7150-7177.
  • Carneiro, Anabela, Portugal, Pedro, Raposo, Pedro, Rodrigues, Paulo M.M. (2023). The persistence of wages. Journal of Econometrics, 233 (2), 596-611.
  • Demetrescu, Matei, Georgiev, Iliyan, Rodrigues, Paulo M.M., Taylor, A. M.Robert (2023). Extensions to IVX methods of inference for return predictability. Journal of Econometrics, 237 (2).
  • Demetrescu, Matei, Rodrigues, Paulo M.M., Taylor, A. M.Robert (2023). Transformed regression-based long-horizon predictability tests. Journal of Econometrics, 237 (2).
  • Nicolau, João, Raposo, Pedro, Rodrigues, Paulo M.M. (2023). Measuring wage inequality under right censoring. Economic Inquiry, 61 (2), 377-401.
  • Nicolau, João, Rodrigues, Paulo M.M., Stoykov, Marian Z. (2023). Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics. Journal of Econometrics, 235 (2), 2266-2284.
  • Demetrescu, Matei, Rodrigues, Paulo M.M. (2022). Residual-augmented IVX predictive regression. Journal of Econometrics, 227 (2), 429-460.
  • Demetrescu, Matei, Georgiev, Iliyan, Rodrigues, Paulo M.M., Taylor, A. M.Robert (2022). Testing for episodic predictability in stock returns. Journal of Econometrics, 227 (1), 85-113.
  • Hill, Robert A., Rodrigues, Paulo M.M. (2022). Forgetting approaches to improve forecasting. Journal Of Forecasting, 41 (7), 1356-1371.
  • Martins, Luis F., Rodrigues, Paulo M.M. (2022). Tests for segmented cointegration: An application to US governments budgets. Empirical Economics, 63 (2), 567-600.
  • Balboa, Marina, Rodrigues, Paulo M. M., Rubia, Antonio, Taylor, A. M Robert (2021). Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume. Journal Of Applied Econometrics, 36 (5), 544 - 565.
  • Cruz, João, Nicolau, João, Rodrigues, Paulo (2021). Structural changes in the duration of bull markets and business cycle dynamics. Asia-Pacific Financial Markets, 28 (3), 333-352.
  • Zsurkis, Gabriel, Nicolau, João, Rodrigues, Paulo (2021). A re-examination of inflation persistence dynamics in OECD countries: a new approach*. Oxford Bulletin of Economics and Statistics, 83 (4), 935-959.
  • Zsurkis, Gabriel, Nicolau, João, Rodrigues, Paulo M.M. (2021). The expected time to cross a threshold and its determinants: a simple and flexible framework. Journal of Economic Dynamics and Control, 122.
  • Barrio Castro, Tomás del, Rodrigues, Paulo M.M., Robert Taylor, A. M. (2019). Temporal aggregation of seasonally near-integrated processes. Journal Of Time Series Analysis, 40 (6), 872-886.
  • Nicolau, João, Rodrigues, Paulo M. M. (2019). A new regression-based tail index estimator. Review of Economics and Statistics, 101 (4), 667-680.
  • Pereira, João Pedro, Pesquita, Vasco, Rodrigues, Paulo M.M., Rua, António (2019). Market integration and the persistence of electricity prices. Empirical Economics, 57 (5), 1495-1514.
  • Andraz, Jorge M. L. G., Guerreiro, Raúl F.C., Rodrigues, Paulo M.M. (2018). Persistence of travel and leisure sector equity indices. Empirical Economics, 54 (4), 1801-1825.
  • Antunes, António, Bonfim, Diana, Monteiro, Nuno, Rodrigues, Paulo M.M. (2018). Forecasting banking crises with dynamic panel probit models. International Journal of Forecasting, 34 (2), 249-275.
  • Del Barrio Castro, Tomás, Rodrigues, Paulo M.M., Taylor, A. M Robert (2018). Semi-parametric seasonal unit root tests. Econometric Theory, 34 (2), 447-476.
  • Duarte, Cláudia, Rodrigues, Paulo M M, Rua, António (2017). A mixed frequency approach to the forecasting of private consumption with ATM/POS data. International Journal of Forecasting, 33 (1), 61-75.
  • Georgiev, Iliyan, Rodrigues, Paulo M M, Robert Taylor, A. M. (2017). Unit root tests and heavy-tailed innovations. Journal Of Time Series Analysis, 38 (5), 733-768.
  • Romão, João, Guerreiro, João, Rodrigues, Paulo M.M. (2017). Territory and sustainable tourism development: a space-time analysis on european regions. Region, 4 (3), 1-17.
  • Andraz, Jorge M., Rodrigues, Paulo M.M. (2016). Monitoring tourism flows and destination management: empirical evidence for Portugal. Tourism Management, 56, 1-7.
  • Hassler, Uwe, Rodrigues, Paulo M M, Rubia, Antonio (2016). Quantile regression for long memory testing: A case of realized volatility. Journal of Financial Econometrics, 14 (4), 693-724.
  • Romão, João, Guerreiro, João, Rodrigues, Paulo M.M. (2016). Tourism growth and regional resilience: the 'beach disease' and the consequences of the global crisis of 2007. Tourism Economics, 22 (4), 699-714.
  • Del Barrio Castro, Tomás, Rodrigues, Paulo M M, Taylor, A. M Robert (2015). On the behaviour of Phillips-Perron tests in the presence of persistent cycles. Oxford Bulletin of Economics and Statistics, 77 (4), 495-511.
  • Ramos, Célia M. Q., Rodrigues, Paulo M. M., Rodrigues, João M. F. (2015). Opportunities, emerging features, and trends in electronic distribution in tourism. International Journal of Information Systems and Social Change, 6 (4), 17-32.
  • Rodrigues, Paulo M. M., Salish, Nazarii (2015). Modeling and forecasting interval time series with threshold models. Advances in data analysis and classification, 9 (1), 41-57.
  • Serra, Jaime, Correia, Antónia, Rodrigues, Paulo M M (2015). Tourist spending dynamics in the Algarve: A cross-sectional analysis. Tourism Economics, 21 (3), 475-500.
  • Ferreira, Fernando A. F., Santos, Sergio P., Rodrigues, Paulo M. M., Spahr, Ronald W. (2014). Evaluating retail banking service quality and convenience with MCDA techniques: a case study at the bank branch level. Journal of Business Economics and Management, 15 (1), 1-21.
  • Ferreira, Fernando A.F., Santos, Sérgio P., Rodrigues, Paulo M.M., Spahr, Ronald W. (2014). How to create indices for bank branch financial performance measurement using MCDA techniques: an illustrative example. Journal of Business Economics and Management, 15 (4), 708-728.
  • Hassler, Uwe, Rodrigues, Paulo M. M., Rubia, Antonio (2014). Persistence in the banking industry: Fractional integration and breaks in memory. Journal Of Empirical Finance, 29 (SI), 95-112.
  • Martins, Luis F., Rodrigues, Paulo M. M. (2014). Testing for persistence change in fractionally integrated models: An application to world inflation rates. Computational Statistics & Data Analysis, 76, 502-522.
  • Serra, Jaime, Correia, Antonia, Rodrigues, Paulo M. M. (2014). A comparative analysis of tourism destination demand in Portugal. Journal of destination marketing & management, 2 (4), 221-227.
  • Sobreira, Nuno, Nunes, Luís Catela, Rodrigues, Paulo M M (2014). Characterizing economic growth paths based on new structural change tests. Economic Inquiry, 52 (2), 845-861.
  • Del Barrio Castro, Tomás, Rodrigues, Paulo M.M., Taylor, A. M.Robert (2013). The impact of persistent cycles on zero frequency unit root tests. Econometric Theory, 29 (6), 1289-1313.
  • Ramos, Celia M. Q., Rodrigues, Paulo M. M. (2013). Research note: The importance of online tourism demand. Tourism Economics, 19 (6), 1443-1447.
  • Rodrigues, Paulo, Rubia, Antonio, Valle e Azevedo, João (2013). Finite sample performance of frequency and time domain tests for seasonal fractional integration. Journal of Statistical Computation and Simulation, 83 (7), 1373-1384.
  • Rodrigues, Paulo M. M. (2013). Recursive adjustment, unit root tests and structural breaks. Journal Of Time Series Analysis, 34 (1), 62-82.
  • Soares, Carla, Rodrigues, Paulo M. M. (2013). Determinants of the EONIA spread and the financial crisis. Manchester School, 81, 82-110.
  • Daniel, Ana C. M., Rodrigues, Paulo M. M. (2012). Assessing the impact of shocks on international tourism demand for Portugal. Tourism Economics, 18 (3), 617-634.
  • Ferreira, Fernando A. F., Spahr, Ronald W., Santos, Sergio P., Rodrigues, Paulo M. M. (2012). A multiple criteria framework to evaluate bank branch potential attractiveness. International journal of strategic property management, 16 (3), 254-276.
  • Pinto, R.M., Dias, A.A., Levita, G., Rodrigues, P., Barros, M.T., Dyke, J.M., Costa, M.L. (2012). Pyrolysis of 3-azidopropionitrile studied by UV photoelectron and matrix-isolation IR spectroscopies: Formation of ketenimine H 2CCNH. Journal Of Molecular Structure.
  • Rodrigues, Paulo M. M., Taylor, A. M. Robert (2012). The flexible Fourier Form and local generalised least squares de-trended unit root tests. Oxford Bulletin of Economics and Statistics, 74 (5), 736-759.
  • Almeida, Ana Paula, Girão, Luis Miguel, Gehlhaar, Rolf, Rodrigues, Helena, Rodrigues, Paulo Maria, Neto, Paulo, Mónica, Maria (2011). Sound=Space Opera: Choreographing life within an interactive musical environment. International Journal on Disability and Human Development, 10 (1), 49-53.
  • Ferreira, F. A. F., Santos, S. P., Rodrigues, P. M. M. (2011). Adding value to bank branch performance evaluation using cognitive maps and MCDA: a case study. Journal of the Operational Research Society, 62 (7), 1320-1333.
  • Ferreira, F. A.F., Santos, S. P., Rodrigues, P. M.M. (2011). Adding value to bank branch performance evaluation using cognitive maps and MCDA: A case study. Development and Learning in Organizations: An International Journal, 25 (6), 215-218.
  • Nunes, Luis C., Rodrigues, Paulo M.M. (2011). On LM-type tests for seasonal unit roots in the presence of a break in trend. Journal Of Time Series Analysis, 32 (2), 108-134.
  • Nunes, Tiago M. T., Rodrigues, Paulo M. M. (2011). Threshold effects in credit risk and stress scenarios. International journal of finance & economics, 16 (4), 393-407.
  • Rodrigues, Paulo M. M., Rubia, Antonio (2011). The effects of additive outliers and measurement errors when testing for structural breaks in variance. Oxford Bulletin of Economics and Statistics, 73 (4), 449-468.
  • Ferreira, Fernando A F, Santos, Sérgio P., Rodrigues, Paulo M M (2011). From traditional operational research to multiple criteria decision analysis: Basic ideas on an evolving field. Problems & Perspectives In Management, 9 (3), 114-121.
  • Andraz, Jorge L. M., Rodrigues, Paulo M. M. (2010). Events that marked tourism in Portugal. Applied Economics Letters, 17 (8), 761-766.
  • Andraz, Jorge M.L.G., Rodrigues, Paulo M.M. (2010). Persistence change in tourism data. Tourism Economics, 16 (2), 303-319.
  • Andraz, Jorge M., Rodrigues, Paulo M M (2010). What causes economic growth in Portugal: exports or inward FDI?. Journal of Economic Studies, 37 (3), 267-287.
  • Pinto, Hugo, Rodrigues, Paulo M. M. (2010). Knowledge Production in European Regions: The Impact of Regional Strategies and Regionalization on Innovation. European Planning Studies, 18 (10), 1731-1748.
  • Silva, Joao Albino, Rodrigues, Paulo M. M., Mendes, Julio, Pereira, Luis N. (2010). A Tourism Research Agenda for Portugal. International journal of tourism research, 12 (1), 90-101.
  • Andraz, Jorge L.M., Gouveia, Pedro M.D.C.B., Rodrigues, Paulo M.M. (2009). Modelling and forecasting the UK tourism growth cycle in Algarve. Tourism Economics, 15 (2), 323-338.
  • Hassler, Uwe, Rodrigues, Paulo M. M., Rubia, Antonio (2009). Testing for general fractional integration in the time domain. Econometric Theory, 25 (6), 1793-1828.
  • Rodrigues, Paulo M. M., Rubia, Antonio (2008). A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity. Statistical Papers, 49 (3), 581-593.
  • Rodrigues, Paulo M. M., Taylor, A. M. Robert (2007). Efficient tests of the seasonal unit root hypothesis. Journal of Econometrics, 141 (2), 548-573.
  • Rodrigues, Paulo M. M., Rubia, Antonio (2007). Testing for causality in variance under nonstationarity in variance. Economics Letters, 97 (2), 133-137.
  • Rodrigues, PMM (2006). Properties of recursive trend-adjusted unit root tests. Economics Letters, 91 (3), 413-419.
  • Gouveia, Pedro M.D.C.B., Rodrigues, Paulo M.M. (2005). Dating and synchronizing tourism growth cycles. Tourism Economics, 11 (4), 501-515.
  • Rodrigues, PMM, Franses, PH (2005). A sequential approach to testing seasonal unit roots in high frequency data. Journal of Applied Statistics, 32 (6), 555-569.
  • Rodrigues, PMM, Rubia, A (2005). The performance of unit root tests under level-dependent heteroskedasticity. Economics Letters, 89 (3), 262-268.
  • Gouveia, PMDCB, Rodrigues, PMM (2004). Threshold cointegration and the PPP hypothesis. Journal of Applied Statistics, 31 (1), 115-127.
  • Hassler, U, Rodrigues, PMM (2004). Seasonal unit root tests under structural breaks. Journal Of Time Series Analysis, 25 (1), 33-53.
  • Rodrigues, PMM, Taylor, AMR (2004). Alternative estimators and unit root tests for seasonal autoregressive processes. Journal of Econometrics, 120 (1), 35-73.
  • Rodrigues, Paulo M.M., Gouveia, Pedro M.D.C.B. (2004). An application of PAR models for tourism forecasting. Tourism Economics, 10 (3), 281-303.
  • Rodrigues, PMM, Taylor, AMR (2004). Asymptotic distributions for regression-based seasonal unit root test statistics in a near-integrated model. Econometric Theory, 20 (4), 645-670.
  • Rodrigues, PMM, Taylor, AMR (2004). On tests for double differencing: Methods of demeaning and detrending and the role of initial values. Econometric Theory, 20 (1), 95-115.
  • Rodrigues, Paulo M.M., Tremayne, Andrew (2003). F versus t tests for unit roots: a comment. Economics Bulletin, 3 (1).
  • Osborn, Denise R., Rodrigues, Paulo M.M. (2002). Asymptotic distributions of seasonal unit root tests: a unifying approach. Econometric Reviews, 21 (2), 221-241.
  • Rodrigues, PMM (2001). Near seasonal integration. Econometric Theory, 17 (1), 70-86.
  • Rodrigues, PMM (2000). A note on the application of the DF test to seasonal data. Statistics & Probability Letters, 47 (2), 171-175.
  • Rodrigues, PMM, Osborn, Denise R. (1999). Performance of seasonal unit root tests for monthly data. Journal of Applied Statistics, 26 (8), 985-1004.
  • Rodrigues, Paulo M. M. (2022). O mercado imobiliário em Portugal. Fundação Francisco Manuel dos Santos.
  • Huget, René, Lourenço, Rita F., Rodrigues, Paulo M. M. (2022). Exuberance and contagion in the Portuguese housing market: A perspective on disaggregate local residential prices. The real estate market in Portugal. : Prices, rents, tourism and accessibility. Rodrigues, Paulo M. M. (Eds.), Fundação Francisco Manuel dos Santos, 27-48.
  • Serra, Jaime, Correia, Antónia, Rodrigues, Paulo M M (2015). Yielding tourists preferences. Advances in Culture, Tourism and Hospitality Research. Vol. 10, 281-292.
  • Serra, Jaime, Correia, Antónia, Rodrigues, Paulo M M (2014). Heterogeneity in tourism motivations: The case of the Algarve. Tourists’ Behaviors and Evaluations. : (Advances in Culture, Tourism and Hospitality Research). Woodside, Arch G., Kozak, Metin (Eds.), Emerald Group Publishing Limited, Vol. 9, 85-95.
  • Ramos, Célia M Q, Rodrigues, Paulo M M (2013). The importance of ICT for tourism demand: A dynamic panel data analysis. Quantitative Methods in Tourism Economics. Physica-Verlag, Vol. 9783790828795, 97-111.
  • Romão, João, Guerreiro, João, Rodrigues, Paulo M.M. (2013). Territorial differentiation, competitiveness and sustainability of tourism. Quantitative Methods in Tourism Economics. Matias, Álvaro (Eds.), Physica-Verlag, Vol. 9783790828795, 271-285.
  • Romão, João, Guerreiro, João, Rodrigues, Paulo M M (2012). Regional tourism development: Competitiveness and sustainability. Knowledge Management in Tourism: Policy and Governance Applications. Vol. 4, 55-75.
  • Ghysels, Eric, Osborn, Denise R., Rodrigues, Paulo M M (2007). Seasonal Nonstationarity and Near-Nonstationarity. A Companion to Theoretical Econometrics. Wiley, 655-677.
  • Ghysels, Eric, Osborn, Denise R., Rodrigues, Paulo M.M. (2006). Forecasting Seasonal Time Series. Handbook of Economic Forecasting. Elliott, G., Granger, C.W.J., Timmermann, Granger (Eds.), Vol. 1, 659-711.
  • Demetrescu, Matei, Hosseinkouchack, Mehdi, Rodrigues, Paulo M. M. (Oct 2022), Cross-sectional error dependence in panel quantile regressions.
  • Carneiro, Anabela, Portugal, Pedro, Raposo, Pedro, Rodrigues, Paulo M. M. (Oct 2021), 38 p., (IZA Institute of Labor Economics, n. 14798), The persistence of wages.