Information about:
Peter Sephton

Other registered authors

Email:
Homepage:
Postal Address:
Phone: 613 533 3013

Affiliation

• School of Business
  Queen's University

  Location: Kingston, Canada
  Homepage: http://business.queensu.ca/
  Email:
  Phone: 613.533.2330
  Fax: 613.533.2013
  Postal: Goodes Hall, 143 Union St., Kingston, Ontario, K7L 3N6
  Handle: RePEc:edi:sbqueca (registered authors at this institution)

Working papers

1. Peter S. Sephton, 1982. "Endogenous Expectations and Economic Policy," Working Papers 487, Queen's University, Department of Economics.

1. Peter Sephton, 2009. "Predicting Recessions: A Regression (Probit) Model Approach," Foresight: The International Journal of Applied Forecasting, International Institute of Forecasters, issue 12, pages 26-32, Winter. [Downloadable!]

2. Peter Sephton, 2009. "Prostate cancer: a New Brunswick tale," Applied Economics Letters, Taylor and Francis Journals, vol. 16(7), pages 663-667. [Downloadable!] (restricted)

3. Peter S. Sephton, 2009. "Fractional integration in agricultural futures price volatilities revisited," Agricultural Economics, International Association of Agricultural Economists, vol. 40(1), pages 103-111, 01. [Downloadable!] (restricted)

4. Peter Sephton, 2009. "Book Review of The Drunkard’s Walk: How Randomness Rules Our Lives," Foresight: The International Journal of Applied Forecasting, International Institute of Forecasters, issue 14, pages 5-8, Summer. [Downloadable!]

5. P. Sephton, 2008. "Market shares and rivalry in the U.S. cigarette industry," Applied Economics Letters, Taylor and Francis Journals, vol. 15(6), pages 417-422. [Downloadable!] (restricted)

6. P. Sephton, 2008. "Exchange rates and fractional integration revisited," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 383-387. [Downloadable!] (restricted)

7. Peter Sephton, 2008. "On the finite sample size and power of the generalized KPSS test in the presence of level breaks," Applied Economics Letters, Taylor and Francis Journals, vol. 15(11), pages 833-843. [Downloadable!] (restricted)

8. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November. [Downloadable!] (restricted)

9. Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor and Francis Journals, vol. 12(4), pages 199-202, March. [Downloadable!] (restricted)

10. Peter Sephton, 2005. "Predicting the equity premium with dividend ratios: a matter of balance," Applied Economics Letters, Taylor and Francis Journals, vol. 12(3), pages 145-147, February. [Downloadable!] (restricted)

11. Peter S. Sephton, 2003. "Spatial Market Arbitrage and Threshold Cointegration," American Journal of Agricultural Economics, American Agricultural Economics Association, vol. 85(4), pages 1041-1046, November. [Downloadable!] (restricted)

12. Sephton, P S, 2002. "Fractional Cointegration: Monte Carlo Estimates of Critical Values, with an Application," Applied Financial Economics, Taylor and Francis Journals, vol. 12(5), pages 331-35, May. [Downloadable!] (restricted)

13. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 39-49. [Downloadable!]

14. P. S. Sephton, 2000. "Financial analysis package for GAUSS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 433-438. [Downloadable!]

15. Peter S. Sephton, 1998. "Easyreg: version 1.12," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(2), pages 203-207.

16. Sephton, Peter S, 1996. "Extended Critical Values for a Simple Test of Cointegration," Applied Economics Letters, Taylor and Francis Journals, vol. 3(3), pages 155-57, March. [Downloadable!] (restricted)

17. Sephton, Peter S, 1996. "A Note on Fractional Cointegration," Applied Economics Letters, Taylor and Francis Journals, vol. 3(10), pages 683-85, October. [Downloadable!] (restricted)

18. Sephton, Peter S., 1995. "Response surface estimates of the KPSS stationarity test," Economics Letters, Elsevier, vol. 47(3-4), pages 255-261, March. [Downloadable!] (restricted)

19. Sephton, Peter S, 1995. "A Non-parametric View of Money/Income Causality," Applied Financial Economics, Taylor and Francis Journals, vol. 5(2), pages 79-84, April. [Downloadable!] (restricted)

20. Sephton, Peter S, 1994. "Cointegration Tests on MARS," Computational Economics, Springer, vol. 7(1), pages 23-35, February.

21. Peter S. Sephton, 1993. "Optimal Hedge Ratios at the Winnipeg Commodity Exchange," Canadian Journal of Economics, Canadian Economics Association, vol. 26(1), pages 175-93, February. [Downloadable!] (restricted)

22. Sephton, Peter S, 1993. "Hedging Wheat and Canola at the Winnipeg Commodity Exchange," Applied Financial Economics, Taylor and Francis Journals, vol. 3(1), pages 67-72, March. [Downloadable!] (restricted)

23. Peter S. Sephton, 1992. "Modelling the Link between Commodity Prices and Exchange Rates: The Tale of Daily Data," Canadian Journal of Economics, Canadian Economics Association, vol. 25(1), pages 156-71, February. [Downloadable!] (restricted)

24. Sephton, Peter S & Cochrane, Donald K, 1991. "The Efficiency of the London Metal Exchange: Another Look at the Evidence," Applied Economics, Taylor and Francis Journals, vol. 23(4A), pages 669-74, Part A, A.

25. Sephton, Peter S, 1991. "Commodity Prices: Policy Target or Information Variable: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 260-66, May. [Downloadable!] (restricted)

26. Sephton, Peter S. & Larsen, Hans K., 1991. "Tests of exchange market efficiency: fragile evidence from cointegration tests," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 561-570, December. [Downloadable!] (restricted)

27. Myatt, Anthony & Sephton, Peter, 1990. "Unemployment in OECD Countries: An Empirical Test of the Wage Gap Hypothesis," Applied Economics, Taylor and Francis Journals, vol. 22(7), pages 881-90, July.

28. Sephton, Peter S, 1990. "Does Anticipated Monetary Policy Matter? More Evidence," Applied Economics, Taylor and Francis Journals, vol. 22(1), pages 111-16, January.

29. Sephton, Peter S. & Cochrane, Donald K., 1990. "A note on the efficiency of the London metal exchange," Economics Letters, Elsevier, vol. 33(4), pages 341-345, August. [Downloadable!] (restricted)

30. Peter S. Sephton, 1990. "Eliminating Required Reserves: Does It Matter?," International Economic Journal, Korean International Economic Association, vol. 4(3), pages 69-75, October. [Downloadable!] (restricted)

31. Peter S. Sephton, 1989. "A Note On Exchange Rate Trend-Stationarity," International Economic Journal, Korean International Economic Association, vol. 3(2), pages 73-77, June. [Downloadable!] (restricted)

32. Sephton, Peter S., 1989. "Anticipated monetary policy in Canada : Some new evidence," Economics Letters, Elsevier, vol. 30(1), pages 11-17. [Downloadable!] (restricted)

33. Peter Sephton, 1989. "On the exchange-rate elasticity of the demand for international reserves: Some evidence from industrial countries — A Comment," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(2), pages 392-393, June. [Downloadable!] (restricted)

34. Sephton, Peter S., 1989. "Causality between export growth and industrial development : Empirical evidence from the NICs -- A comment," Journal of Development Economics, Elsevier, vol. 31(2), pages 413-415, October. [Downloadable!] (restricted)

35. Sephton, Peter S., 1989. "On exchange intervention, sterilization, and bank reserve accounting," Journal of International Money and Finance, Elsevier, vol. 8(3), pages 445-450, September. [Downloadable!] (restricted)

36. Sephton, Peter S, 1988. "Money in the Production Function Revisited," Applied Economics, Taylor and Francis Journals, vol. 20(7), pages 853-60, July.

37. Sephton, Peter S., 1988. "On interest rate innovations and anticipated monetary policy," Economics Letters, Elsevier, vol. 28(2), pages 177-180. [Downloadable!] (restricted)

38. Peter S. Sephton, 1987. "The Choice of Monetary Policy Instruments in Canada: An Extension," Canadian Journal of Economics, Canadian Economics Association, vol. 20(1), pages 55-60, February. [Downloadable!] (restricted)

This page was last updated on 2009-11-29.