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Details about Jean-Yves Pitarakis

E-mail:
Homepage:http://www.economics.soton.ac.uk
Postal address:University of Southampton School of Social Sciences Economics Division Southampton, SO17 1BJ
Workplace:Economics Division, University of Southampton, (more information at EDIRC)

Access statistics for papers by Jean-Yves Pitarakis.

Last updated 2016-06-26. Update your information in the RePEc Author Service.

Short-id: ppi10


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Working Papers

2015

  1. A simple approach for diagnosing instabilities in predictive regressions
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences Downloads
  2. Inferring the predictability induced by a persistent regressor in a predictive threshold model
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences Downloads

2012

  1. Estimation and inference in threshold type regime switching models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
  2. Functional cointegration: definition and nonparametric estimation
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2014)
  3. Jointly testing linearity and nonstationarity within threshold autoregressions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Economics Letters (2012)

2011

  1. Joint Detection of Structural Change and Nonstationarity in Autoregressions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  2. Piecewise local linear estimation of functional equilibrium relationships
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences

2010

  1. Regime Specific Predictability in Predictive Regressions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) Downloads View citations (6)

    See also Journal Article in Journal of Business & Economic Statistics (2011)

2006

  1. Threshold effects in cointegrating relationships
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (21)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)

2004

  1. Model Selection Uncertainty and Detection of Threshold Effecs
    Econometrics, EconWPA Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2006)

2003

  1. Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification
    Econometrics, EconWPA Downloads
    See also Journal Article in Econometrics Journal (2004)

2001

  1. Lag Length Estimation in Large Dimensional Systems
    Econometrics, EconWPA Downloads
    Also in Econometrics, EconWPA (2001) Downloads View citations (11)

1995

  1. Comovements in large systems
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (3)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1994) Downloads View citations (6)
  2. On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1995) Downloads

Journal Articles

2014

  1. A joint test for structural stability and a unit root in autoregressions
    Computational Statistics & Data Analysis, 2014, 76, (C), 577-587 Downloads View citations (1)
  2. Functional cointegration: definition and nonparametric estimation
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (5), 14 Downloads View citations (2)
    See also Working Paper (2012)

2012

  1. Jointly testing linearity and nonstationarity within threshold autoregressions
    Economics Letters, 2012, 117, (2), 411-413 Downloads View citations (1)
    See also Working Paper (2012)

2011

  1. Regime-Specific Predictability in Predictive Regressions
    Journal of Business & Economic Statistics, 2011, 30, (2), 229-241 Downloads
    See also Working Paper (2010)

2008

  1. Comment on: Threshold Autoregressions With a Unit Root
    Econometrica, 2008, 76, (5), 1207-1217 Downloads View citations (3)

2006

  1. Model Selection Uncertainty and Detection of Threshold Effects
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 1-30 Downloads View citations (3)
    See also Working Paper (2004)
  2. Threshold Effects in Cointegrating Relationships
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 813-833 Downloads View citations (32)
    See also Working Paper (2006)

2004

  1. Least squares estimation and tests of breaks in mean and variance under misspecification
    Econometrics Journal, 2004, 7, (1), 32-54 Downloads View citations (10)
    See also Working Paper (2003)

2003

  1. Joint Dynamics of Legal and Economic Integration in the European Union
    European Journal of Law and Economics, 2003, 16, (3), 357-368 Downloads View citations (7)

2002

  1. Estimation and model selection based inference in single and multiple threshold models
    Journal of Econometrics, 2002, 110, (2), 319-352 Downloads View citations (75)

1999

  1. Total expenditure endogeneity in a system of demand for public consumption expenditures in the UK
    Economic Modelling, 1999, 16, (2), 279-291 Downloads View citations (2)

1998

  1. MOMENT GENERATING FUNCTIONS AND FURTHER EXACT RESULTS FOR SEASONAL AUTOREGRESSIONS
    Econometric Theory, 1998, 14, (06), 770-782 Downloads View citations (1)
  2. On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors
    International Economic Review, 1998, 39, (1), 71-88 View citations (7)
  3. On the bias of the OLS estimator in a nonstationary dynamic panel data model
    Statistics & Probability Letters, 1998, 38, (2), 145-150 Downloads
  4. Specification via model selection in vector error correction models
    Economics Letters, 1998, 60, (3), 321-328 Downloads View citations (36)
  5. The allocation of public consumption expenditure in the UK
    Applied Economics Letters, 1998, 5, (3), 197-200 Downloads View citations (2)
 
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