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Peter Sephton

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Personal Details

First Name: Peter
Middle Name:
Last Name: Sephton
Suffix:

RePEc Short-ID: pse264

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 (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Queen's Economics Department PhD Graduates

Works

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Working papers

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

Articles

  1. Peter Sephton & Janelle Mann, 2013. "Threshold Cointegration: Model Selection with an Application," Journal of Economics and Econometrics, Economics and Econometrics Research Institute (EERI), Brussels, vol. 56(2), pages 54-77.
  2. Sephton, Peter & Mann, Janelle, 2013. "Further evidence of an Environmental Kuznets Curve in Spain," Energy Economics, Elsevier, vol. 36(C), pages 177-181.
  3. P. S. Sephton, 2012. "Breaking deterministics, test size and the efficient Wald test for fractional unit roots," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 83-85, January.
  4. P. S. Sephton, 2011. "Who cut the cheese?," Applied Economics Letters, Taylor & Francis Journals, vol. 18(1), pages 7-10.
  5. Peter S. Sephton, 2011. "Spatial Arbitrage in Sarawak Pepper Prices," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 59(3), pages 405-416, 09.
  6. P. S. Sephton, 2010. "On the empirical size of Nielsen's multivariate likelihood ratio test of fractional integration," Applied Economics, Taylor & Francis Journals, vol. 42(13), pages 1671-1679.
  7. P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
  8. Peter Sephton, 2009. "Prostate cancer: a New Brunswick tale," Applied Economics Letters, Taylor & Francis Journals, vol. 16(7), pages 663-667.
  9. 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.
  10. 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.
  11. Peter S. Sephton, 2009. "Persistence in U.S. State Unemployment Rates," Southern Economic Journal, Southern Economic Association, vol. 76(2), pages 458-466, October.
  12. 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.
  13. Peter Sephton, 2009. "Critical values for the augmented efficient Wald test for fractional unit roots," Empirical Economics, Springer, vol. 37(3), pages 615-626, December.
  14. Peter Sephton, 2008. "Critical values of the augmented fractional Dickey–Fuller test," Empirical Economics, Springer, vol. 35(3), pages 437-450, November.
  15. P. Sephton, 2008. "Exchange rates and fractional integration revisited," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 383-387.
  16. 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 & Francis Journals, vol. 15(11), pages 833-843.
  17. P. Sephton, 2008. "Market shares and rivalry in the U.S. cigarette industry," Applied Economics Letters, Taylor & Francis Journals, vol. 15(6), pages 417-422.
  18. Peter Sephton, 2005. "Predicting the equity premium with dividend ratios: a matter of balance," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 145-147.
  19. Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 199-202.
  20. Peter S. Sephton, 2003. "Spatial Market Arbitrage and Threshold Cointegration," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(4), pages 1041-1046.
  21. P. S. Sephton, 2002. "Fractional cointegration: Monte Carlo estimates of critical values, with an application," Applied Financial Economics, Taylor & Francis Journals, vol. 12(5), pages 331-335.
  22. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 39-49.
  23. P. S. Sephton, 2000. "Financial analysis package for GAUSS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 433-438.
  24. Peter S. Sephton, 1998. "GARCH and MARKOV Hedging at the Winnipeg Commodity Exchange," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 46(2), pages 117-126, 07.
  25. Peter S. Sephton, 1998. "Easyreg: version 1.12," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(2), pages 203-207.
  26. Peter Sephton, 1996. "A note on fractional cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 3(10), pages 683-685.
  27. Peter Sephton, 1996. "Extended critical values for a simple test of cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 3(3), pages 155-157.
  28. Sephton, Peter S., 1995. "Response surface estimates of the KPSS stationarity test," Economics Letters, Elsevier, vol. 47(3-4), pages 255-261, March.
  29. Sephton, Peter S, 1994. "Cointegration Tests on MARS," Computational Economics, Society for Computational Economics, vol. 7(1), pages 23-35, February.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  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.
  36. Sephton, Peter S., 1989. "Anticipated monetary policy in Canada : Some new evidence," Economics Letters, Elsevier, vol. 30(1), pages 11-17.
  37. 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.
  38. 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.
  39. Peter S. Sephton, 1989. "Relative Prices and Money: Some Canadian Evidence," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 37(2), pages 269-278, 07.
  40. Sephton, Peter S., 1988. "On interest rate innovations and anticipated monetary policy," Economics Letters, Elsevier, vol. 28(2), pages 177-180.
  41. Peter S. Sephton, 1988. "World Non-Oil Primary Commodity Markets: Comment on Chu and Morrison," IMF Staff Papers, Palgrave Macmillan, vol. 35(1), pages 198-203, March.
  42. 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.

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