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Details about Matei Demetrescu

Homepage:https://www.statistik.tu-dortmund.de/econometrics.html
Workplace:TU Dortmund, Fakultät Statistik

Access statistics for papers by Matei Demetrescu.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pde359


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Working Papers

2024

  1. Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads

2023

  1. Tests of no cross-sectional error dependence in panel quantile regressions
    Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen Downloads

2022

  1. Cross-Sectional Error Dependence in Panel Quantile Regressions
    Working Papers, Banco de Portugal, Economics and Research Department Downloads
  2. Extensions to IVX Methods of Inference for Return Predictability
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (4)
    Also in Working Papers, Banco de Portugal, Economics and Research Department (2021) Downloads View citations (4)

    See also Journal Article Extensions to IVX methods of inference for return predictability, Journal of Econometrics, Elsevier (2023) Downloads (2023)
  3. Transformed Regression-based Long-Horizon Predictability Tests
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (1)
    See also Journal Article Transformed regression-based long-horizon predictability tests, Journal of Econometrics, Elsevier (2023) Downloads (2023)

2021

  1. Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2019

  1. Testing for Episodic Predictability in Stock Returns
    Working Papers, Banco de Portugal, Economics and Research Department Downloads View citations (3)
    Also in Essex Finance Centre Working Papers, University of Essex, Essex Business School (2019) Downloads View citations (1)

    See also Journal Article Testing for episodic predictability in stock returns, Journal of Econometrics, Elsevier (2022) Downloads View citations (2) (2022)

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 Predictive regressions under asymmetric loss: Factor augmentation and model selection, International Journal of Forecasting, Elsevier (2019) Downloads View citations (3) (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 (2)

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 Kiel) 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)
    See also Journal Article Residual-augmented IVX predictive regression, Journal of Econometrics, Elsevier (2022) Downloads View citations (2) (2022)

2015

  1. Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association Downloads
  2. Testing heteroskedastic time series for normality
    VfS 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 Inference on the long-memory properties of time series with non-stationary volatility, Economics Letters, Elsevier (2016) Downloads (2016)

2012

  1. IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance
    VfS 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 IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE, Journal of Time Series Analysis, Wiley Blackwell (2014) Downloads View citations (2) (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 The power of unit root tests against nonlinear local alternatives, Journal of Time Series Analysis, Wiley Blackwell (2013) Downloads View citations (3) (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 (6)
    See also Journal Article Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term, Econometrics Journal, Royal Economic Society (2009) View citations (6) (2009)

Journal Articles

2023

  1. Extensions to IVX methods of inference for return predictability
    Journal of Econometrics, 2023, 237, (2) Downloads
    See also Working Paper Extensions to IVX Methods of Inference for Return Predictability, Essex Finance Centre Working Papers (2022) Downloads View citations (4) (2022)
  2. Monitoring Value-at-Risk and Expected Shortfall Forecasts
    Management Science, 2023, 69, (5), 2954-2971 Downloads View citations (1)
  3. Transformed regression-based long-horizon predictability tests
    Journal of Econometrics, 2023, 237, (2) Downloads
    See also Working Paper Transformed Regression-based Long-Horizon Predictability Tests, Essex Finance Centre Working Papers (2022) Downloads View citations (1) (2022)

2022

  1. Autoregressive spectral estimates under ignored changes in the mean
    Journal of Time Series Analysis, 2022, 43, (2), 329-340 Downloads
  2. Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
    Journal of Business & Economic Statistics, 2022, 40, (1), 382-397 Downloads View citations (1)
  3. Residual-augmented IVX predictive regression
    Journal of Econometrics, 2022, 227, (2), 429-460 Downloads View citations (2)
    See also Working Paper Residual-augmented IVX predictive regression, Working Papers (2016) Downloads View citations (1) (2016)
  4. Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters
    Journal of Applied Econometrics, 2022, 37, (5), 1010-1030 Downloads
  5. Testing for episodic predictability in stock returns
    Journal of Econometrics, 2022, 227, (1), 85-113 Downloads View citations (2)
    See also Working Paper Testing for Episodic Predictability in Stock Returns, Working Papers (2019) Downloads View citations (3) (2019)
  6. Testing for no cointegration in vector autoregressions with estimated degree of fractional integration
    Economic Modelling, 2022, 108, (C) Downloads View citations (1)

2021

  1. FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS
    Econometric Theory, 2021, 37, (4), 769-793 Downloads View citations (5)
  2. Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions
    Econometric Reviews, 2021, 40, (2), 177-196 Downloads
  3. Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence
    Journal of Applied Econometrics, 2021, 36, (1), 151-161 Downloads View citations (1)

2020

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

2019

  1. Predictive regressions under asymmetric loss: Factor augmentation and model selection
    International Journal of Forecasting, 2019, 35, (1), 80-99 Downloads View citations (3)
    See also Working Paper Predictive regressions under asymmetric loss: factor augmentation and model selection, Bank of England working papers (2018) Downloads (2018)
  2. Testing for constant correlation of filtered series under structural change
    The Econometrics Journal, 2019, 22, (1), 10-33 Downloads View citations (7)

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 (4)
  2. Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models
    Journal of Applied Econometrics, 2016, 31, (1), 4-31 Downloads View citations (5)
  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 Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility, Hannover Economic Papers (HEP) (2014) Downloads View citations (3) (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 (24)
  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 (4)
  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 IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance, VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century (2012) Downloads View citations (1) (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 (2)
  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 The Power of Unit Root Tests Against Nonlinear Local Alternatives, CREATES Research Papers (2012) Downloads View citations (4) (2012)

2012

  1. A simple nonstationary-volatility robust panel unit root test
    Economics Letters, 2012, 117, (1), 10-13 Downloads View citations (14)

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 (12)
  2. Pitfalls of post-model-selection testing: experimental quantification
    Empirical Economics, 2011, 40, (2), 359-372 Downloads View citations (18)
  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 (6)
  2. On the Dickey–Fuller test with White standard errors
    Statistical Papers, 2010, 51, (1), 11-25 Downloads View citations (8)
  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 (7)
  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 View citations (6)
    See also Working Paper Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term, Economics Working Papers (2008) Downloads View citations (6) (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 (60)

2007

  1. Effect of neglected deterministic seasonality on unit root tests
    Statistical Papers, 2007, 48, (3), 385-402 Downloads View citations (11)
  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 (3)
  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 (66)
  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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