Publications

Michael Hauser


Books:

  1. M. A. Hauser
    Inflation, Arbeitslosigkeit, optimale Politik und die neue klassische Makroökonomik. Eine empirische Analyse für Österreich und eine Kritik
    Campus Verlag, Campus Forschung Band 599, Frankfurt/New York (1989)
    (in German. Title in English: Inflation, Unemployment, Optimal Policy and The New Classical Economics)
Journals and contributions in books:
  1. A. Gschwandtner and M. A. Hauser
    Modelling profit series: nonstationarity and long memory
    Applied Economics 40, 1475-1482 (2008)

  2. M. A. Hauser and W. Hörmann
    Time Series
    in W. Hörmann, J. Leydold and G. Derflinger: Automatic Nonuniform Random Variate Generation, 345-362, Springer (2004)

  3. M. A. Hauser
    Dynamic Nonlinear Econometric Models - Asymptotic Theory
    by B.M.\ Pötscher and I.R.\ Prucha, 1997, Springer: Book Review, Statistical Papers 42, 134 (2001)

  4. M. A. Hauser and R. M. Kunst
    Forecasting High-frequency Financial Data with the ARFIMA-ARCH Model
    Journal of Forecasting 20, 501-518 (2001)

  5. M. A. Hauser
    Maximum likelihood estimators for ARFIMA models: A Monte Carlo Study
    Journal of Statistical Planning and Inference 80, 229-255 (1999)

  6. Michael A. Hauser, Benedikt M. Pötscher and Erhard Reschenhofer
    Measuring Persistence in Aggregate Output:
    ARMA Models, Fractionally Integrated ARMA Models and Nonparametric Procedures

    Empirical Economics 24, 243-269 (1999)

  7. M. A. Hauser and R. M. Kunst
    Fractionally Integrated Models With ARCH Errors - With an Application to the 1-month Euromarket Interest Rate
    Review of Quantitative Finance and Accounting 10, 95-113 (1998)

  8. M. A. Hauser
    Semiparametric and Nonparametric Testing for Long Memory: A Monte Carlo Study
    Empirical Economics 22, 247-271 (1997)

  9. M. A. Hauser and E. Reschenhofer
    Estimation of the fractionally differencing parameter with the R/S method
    Computational Statistics and Data Analysis 20, 569-579 (1995)

  10. M. A. Hauser, B. M. Pötscher and E. Reschenhofer
    On Gagnon's Criticism of ARMA Models for Real GNP Growth
    Economic Notes 23, 124-128 (1994)

  11. M. A. Hauser, R. M. Kunst and E. Reschenhofer
    Modelling exchange rates: long-run dependence versus conditional heteroscedasticity
    Applied Financial Economics 4, 233-239 (1994)
Conference Proceedings:
  1. M. A. Hauser, W. Hörmann, R. M. Kunst and J. Lenneis
    A note on generation, estimation and prediction of stationary processes
    in: R. Dutter and W. Grossmann (eds.), COMPSTAT, Physica Verlag, Heidelberg, 323-329 (1994)
Working Papers:
  1. M. A. Hauser and R. M. Kunst
    Fractionally Integrated Models With ARCH Errors - With an Application to a Swiss Interest Rate
    Arbeitspapier Nr. 9402, Johannes Kepler Universität Linz, Department of Economics (1994)

  2. M. A. Hauser and R. M. Kunst
    Fractionally Integrated Models With ARCH Errors
    Forschungsbericht No. 322, Institute for Advanced Studies, Vienna (1993)

  3. M. A. Hauser, B. M. Pötscher and E. Reschenhofer
    Measuring persistence in aggregate output: ARMA models, fractionally integrated models and nonparametric procedures
    Technical Report, TC-SMC 117, Department of Statistics, University of Vienna (1992)

  4. M. A. Hauser, R. M. Kunst and E. Reschenhofer
    Modelling exchange rates: long-run dependence versus conditional heteroscedasticity
    Forschungsbericht No. 306, Institute for Advanced Studies, Vienna (1992)
Further Research Papers:
  1. M. A. Hauser
    A partitioning approach to the specification of large VAR models: With an application to the DAX30 series
    Department of Statistics, Vienna University of Economics and Business Administration (2002)

  2. M. A. Hauser and W. Hörmann
    The Generation of Stationary Gaussian Time Series
    Department of Statistics, University of Economics and Business Administration, Vienna (1997)

  3. M. A. Hauser
    Long Range Dependence in International Output Series: A Reexamination
    Department of Statistics, University of Economics and Business Administration, Vienna,
    presented at the World Congress of the Econometric Society, Tokyo (1995)

  4. M. A. Hauser
    A note on Sowell's modelling long-run behavior with the fractional ARIMA model
    Department of Statistics, University of Economics and Business Administration, Vienna (1995)

  5. M. A. Hauser and R. M. Kunst
    Forecasting the ARFIMA/ARCH Model
    Department of Statistics, University of Economics and Business Administration, and
    Institute for Advanced Studies, Vienna (1994)

  6. M. A. Hauser and F. Müller
    Zur Modellierung von Investitionen
    Institut für Wirtschaftswissenschaften, Universität Wien, Projektbericht zum Proket No. 2155 des Jubiläumsfond der Österreichischen Nationalbank (1984)
Other Material Presented at Conferences:
  1. The Nile River Data: Long Range Dependence or a Shift in The Mean?
    Biometrisches Kolloquium, Wiener Biometrische Sektion der Internationalen Biometrischen Gesellschaft, Wien, 15. Dezember 1993

  2. Long Range Dependence in Economic Series: Aggregate Output, Stock Prices and Exchange Rates
    IFAC (International Federation of Automatic Control) Workshop on Economic Time Series Analysis and Systems Identification, ESI'92, Vienna, July 1-3, 1992

  3. Long Memory in Wiener Wertpapierkursen
    1.Workshop der Austrian Working Group on Banking and Finance, Graz, 3.-4.April 1992

  4. Computerfarming - ein Entscheidungsmodell für die zukünftige landwirtschaftliche Betriebsoptimierung
    Zentrale-Ein- und Verkaufsgenossenschaft landwirtschaftlicher Betriebe, Großenzersdorf, 25.Jänner 1991

  5. Strategisches Entscheidungsmodell in der Pflanzenproduktion
    Österreichische Gesellschaft für Operations Research, Wr. Neustadt, 7. Dezember 1989

  6. The Existence of Weak and Strong Neutrality of Aggregate Policy in Macro Models with Rational Expectations
    1988 Australian Meeting of the Econometric Society, Canberra, August 28-31, 1988

  7. Politique de la demand optimisant la perte de bien-etre par inflation et chomage: le cas de l'economie autrichienne
    Journees Internationales d'Etude Analyse Structurelle des Modeles Econometriques, Association d'Econometrie Appliquee, Rotterdam, December 1982


24th April 2009, Michael Hauser
Institute for Statistics and Mathematics