RESEARCH PAPERS
WORKING PAPERS
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Multiple frequency long memory models (with Paul M. Beaumont).
Preparing for submission.
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Evaluation of parametric estimators of long memory processes with unknown singularites in the spectral density function.
Preparing for submission.
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Are the properties of real interest rates affected by measurement problems? (with Onnie Pipatchaipoom and Stefan Norrbin).
Preparing for submission.
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The long and the short of it: Long memory regressors and predictive regressions
(with Alex Maynard and Mark Wohar).
(under review).
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PUBLISHED PAPERS
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Measuring the persistence of deviation from purchasing power parity with a fractionally integrated STAR model.
Forthcoming, Journal of International
Money and Finance
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Generalized long memory and mean reversion of the real exchange rate (with Stefan Norrbin).
Forthcoming, Applied Economics
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An encompassing test of real interest rate equalization (with Stefan Norrbin).
Forthcoming, Review of International Economics
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Grier, K., and Smallwood, A.D. (2007). Uncertainty and export performance: Evidence from 18 Countries.
Journal of Money, Credit, and Banking, vol. 39, 965-980.
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Smallwood, A.D., and Norrbin, S.C. (2006). Generalized long memory processes, failure of cointegration tests, and exchange rate dynamics.
Journal of Applied Econometrics,vol. 21, 409-417.
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Smallwood, A.D. (2005). Joint tests for long memory and nonlinearity: The case of purchasing power parity.
Studies in Nonlinear Dynamics and Econometrics, vol 9, 1227-1227.
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Smallwood, A.D., and Norrbin, S.C. (2004). Estimating cointegrating vectors using near unit root variables.
Applied Economics Letters, vol 11, 781-784.
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