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Details about Matei Demetrescu

E-mail:
Homepage:http://www.stat-econ.uni-kiel.de
Workplace:Institut für Statistik und Ökonometrie (Institute for Statistics and Econometrics), Christian-Albrechts-Universität Kiel (University of Kiel), (more information at EDIRC)

Access statistics for papers by Matei Demetrescu.

Last updated 2020-08-11. Update your information in the RePEc Author Service.

Short-id: pde359


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Working Papers

2019

  1. Testing for Episodic Predictability in Stock Returns
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (1)
    Also in Working Papers, Banco de Portugal, Economics and Research Department (2019) Downloads View citations (1)

2018

  1. Predictive regressions under asymmetric loss: factor augmentation and model selection
    Bank of England working papers, Bank of England Downloads
    See also Journal Article in International Journal of Forecasting (2019)
  2. Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (1)

2017

  1. Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test
    Kiel Working Papers, Kiel Institute for the World Economy (IfW) Downloads

2016

  1. Fixed-b Inference in the Presence of Time-Varying Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. Residual-augmented IVX predictive regression
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (1)

2015

  1. Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility
    Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads
  2. Testing heteroskedastic time series for normality
    Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads

2014

  1. Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (3)
    See also Journal Article in Economics Letters (2016)

2012

  1. IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance
    Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association Downloads View citations (1)
    See also Journal Article in Journal of Time Series Analysis (2014)
  2. The Power of Unit Root Tests Against Nonlinear Local Alternatives
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Journal of Time Series Analysis (2013)

2008

  1. Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
    Economics Working Papers, European University Institute Downloads View citations (4)
    See also Journal Article in Econometrics Journal (2009)

Journal Articles

2020

  1. Bias corrections for exponentially transformed forecasts: Are they worth the effort?
    International Journal of Forecasting, 2020, 36, (3), 761-780 Downloads

2019

  1. Predictive regressions under asymmetric loss: Factor augmentation and model selection
    International Journal of Forecasting, 2019, 35, (1), 80-99 Downloads View citations (1)
    See also Working Paper (2018)
  2. Testing for constant correlation of filtered series under structural change
    Econometrics Journal, 2019, 22, (1), 10-33 Downloads View citations (1)

2018

  1. Multiple Testing for No Cointegration under Nonstationary Volatility
    Oxford Bulletin of Economics and Statistics, 2018, 80, (3), 485-513 Downloads

2016

  1. (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
    Econometric Theory, 2016, 32, (6), 1317-1348 Downloads View citations (2)
  2. Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models
    Journal of Applied Econometrics, 2016, 31, (1), 4-31 Downloads
  3. Inference on the long-memory properties of time series with non-stationary volatility
    Economics Letters, 2016, 144, (C), 80-84 Downloads
    See also Working Paper (2014)
  4. Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances
    Econometric Reviews, 2016, 35, (5), 751-781 Downloads View citations (1)

2015

  1. Instrumental variable and variable addition based inference in predictive regressions
    Journal of Econometrics, 2015, 187, (1), 358-375 Downloads View citations (9)
  2. Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests
    Journal of Time Series Econometrics, 2015, 7, (2), 143-179 Downloads View citations (1)

2014

  1. Enhancing the local power of IVX-based tests in predictive regressions
    Economics Letters, 2014, 124, (2), 269-273 Downloads View citations (1)
  2. IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE
    Journal of Time Series Analysis, 2014, 35, (5), 393-406 Downloads View citations (2)
    See also Working Paper (2012)
  3. Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts
    Oxford Bulletin of Economics and Statistics, 2014, 76, (2), 287-297 Downloads View citations (6)

2013

  1. Nonlinear IV panel unit root testing under structural breaks in the error variance
    Statistical Papers, 2013, 54, (4), 1043-1066 Downloads View citations (1)
  2. The power of unit root tests against nonlinear local alternatives
    Journal of Time Series Analysis, 2013, 34, (1), 40-61 Downloads View citations (3)
    See also Working Paper (2012)

2012

  1. A simple nonstationary-volatility robust panel unit root test
    Economics Letters, 2012, 117, (1), 10-13 Downloads View citations (9)

2011

  1. Asymptotic normal tests for integration in panels with cross-dependent units
    AStA Advances in Statistical Analysis, 2011, 95, (2), 187-204 Downloads View citations (7)
  2. Pitfalls of post-model-selection testing: experimental quantification
    Empirical Economics, 2011, 40, (2), 359-372 Downloads View citations (17)
  3. Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator
    Journal of Business & Economic Statistics, 2011, 30, (2), 256-264 Downloads View citations (7)

2010

  1. Joint forecasts of Dow Jones stocks under general multivariate loss function
    Computational Statistics & Data Analysis, 2010, 54, (11), 2360-2371 Downloads View citations (4)
  2. On the Dickey–Fuller test with White standard errors
    Statistical Papers, 2010, 51, (1), 11-25 Downloads View citations (6)
  3. Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost
    Journal of Applied Statistics, 2010, 37, (8), 1381-1397 Downloads View citations (2)

2009

  1. Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes
    Journal of Time Series Econometrics, 2009, 1, (2), 1-30 Downloads View citations (6)
  2. Panel unit root testing and the martingale difference hypothesis for German stocks
    Economics Bulletin, 2009, 29, (3), 1749-1759 Downloads
  3. Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
    Econometrics Journal, 2009, 12, (3), 414-435 Downloads View citations (6)
    See also Working Paper (2008)

2008

  1. Bias correction for the regression-based LM fractional integration test
    AStA Advances in Statistical Analysis, 2008, 92, (1), 91-99 Downloads View citations (1)
  2. LONG MEMORY TESTING IN THE TIME DOMAIN
    Econometric Theory, 2008, 24, (1), 176-215 Downloads View citations (55)

2007

  1. Effect of neglected deterministic seasonality on unit root tests
    Statistical Papers, 2007, 48, (3), 385-402 Downloads View citations (10)
  2. Optimal forecast intervals under asymmetric loss
    Journal of Forecasting, 2007, 26, (4), 227-238 Downloads View citations (3)
  3. Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?
    Economics Bulletin, 2007, 7, (15), 1-8 Downloads

2006

  1. An extension of the Gauss-Newton algorithm for estimation under asymmetric loss
    Computational Statistics & Data Analysis, 2006, 50, (2), 379-401 Downloads View citations (2)
  2. Combining Significance of Correlated Statistics with Application to Panel Data*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 647-663 Downloads View citations (57)
  3. Loss Reduction in Point Estimation Problems
    Stochastics and Quality Control, 2006, 21, (2), 209-217 Downloads

2005

  1. Determining the Parameters of a Multinomial Distribution: The Fiducial Approach
    Stochastics and Quality Control, 2005, 20, (2), 177-189 Downloads
  2. Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2005, 225, (4), 413-426 Downloads View citations (6)
 
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