Details about Matei Demetrescu

Access statistics for papers by Matei Demetrescu.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pde359

Working Papers

2025

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

2023

2. 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

2022

3. Cross-Sectional Error Dependence in Panel Quantile Regressions
   Working Papers, Banco de Portugal, Economics and Research Department
4. Extensions to IVX Methods of Inference for Return Predictability
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (6)
   Also in Working Papers, Banco de Portugal, Economics and Research Department (2021) View citations (4)
   See also Journal Article Extensions to IVX methods of inference for return predictability, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
5. Transformed Regression-based Long-Horizon Predictability Tests
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
   See also Journal Article Transformed regression-based long-horizon predictability tests, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)

2021

6. 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

2019

7. Testing for Episodic Predictability in Stock Returns
   Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
   Also in Working Papers, Banco de Portugal, Economics and Research Department (2019) View citations (3)
   See also Journal Article Testing for episodic predictability in stock returns, Journal of Econometrics, Elsevier (2022) View citations (4) (2022)

2018

8. Predictive regressions under asymmetric loss: factor augmentation and model selection
   Bank of England working papers, Bank of England
   See also Journal Article Predictive regressions under asymmetric loss: Factor augmentation and model selection, International Journal of Forecasting, Elsevier (2019) View citations (3) (2019)
9. Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility
   Working Papers, Banco de Portugal, Economics and Research Department View citations (2)

2017

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

2016

11. Fixed-b Inference in the Presence of Time-Varying Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
12. Residual-augmented IVX predictive regression
    Working Papers, Banco de Portugal, Economics and Research Department View citations (1)
    See also Journal Article Residual-augmented IVX predictive regression, Journal of Econometrics, Elsevier (2022) View citations (3) (2022)

2015

13. 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
14. Testing heteroskedastic time series for normality
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association

2014

15. Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (3)
    See also Journal Article Inference on the long-memory properties of time series with non-stationary volatility, Economics Letters, Elsevier (2016) (2016)

2012

16. 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 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) View citations (2) (2014)
17. The Power of Unit Root Tests Against Nonlinear Local Alternatives
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University 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) View citations (3) (2013)

2008

18. Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term
    Economics Working Papers, European University Institute 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

2025

1. Is U.S. real output growth non-normal? A tale of time-varying location and scale
   Journal of Economic Dynamics and Control, 2025, 171, (C)
2. Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss
   Econometrics and Statistics, 2025, 33, (C), 80-104

2024

3. (Structural) VAR models with ignored changes in mean and volatility
   International Journal of Forecasting, 2024, 40, (2), 840-854

2023

4. Extensions to IVX methods of inference for return predictability
   Journal of Econometrics, 2023, 237, (2) View citations (1)
   See also Working Paper Extensions to IVX Methods of Inference for Return Predictability, Essex Finance Centre Working Papers (2022) View citations (6) (2022)
5. Monitoring Value-at-Risk and Expected Shortfall Forecasts
   Management Science, 2023, 69, (5), 2954-2971 View citations (3)
6. Transformed regression-based long-horizon predictability tests
   Journal of Econometrics, 2023, 237, (2) View citations (2)
   See also Working Paper Transformed Regression-based Long-Horizon Predictability Tests, Essex Finance Centre Working Papers (2022) View citations (1) (2022)

2022

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

2021

13. FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS
    Econometric Theory, 2021, 37, (4), 769-793 View citations (6)
14. Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions
    Econometric Reviews, 2021, 40, (2), 177-196
15. Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence
    Journal of Applied Econometrics, 2021, 36, (1), 151-161 View citations (1)

2020

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

2019

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

2018

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

2016

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

2015

24. Instrumental variable and variable addition based inference in predictive regressions
    Journal of Econometrics, 2015, 187, (1), 358-375 View citations (27)
25. Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests
    Journal of Time Series Econometrics, 2015, 7, (2), 143-179 View citations (1)

2014

26. Enhancing the local power of IVX-based tests in predictive regressions
    Economics Letters, 2014, 124, (2), 269-273 View citations (4)
27. IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE
    Journal of Time Series Analysis, 2014, 35, (5), 393-406 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) View citations (1) (2012)
28. Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts
    Oxford Bulletin of Economics and Statistics, 2014, 76, (2), 287-297 View citations (6)

2013

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

2012

31. A simple nonstationary-volatility robust panel unit root test
    Economics Letters, 2012, 117, (1), 10-13 View citations (16)

2011

32. Asymptotic normal tests for integration in panels with cross-dependent units
    AStA Advances in Statistical Analysis, 2011, 95, (2), 187-204 View citations (12)
33. Pitfalls of post-model-selection testing: experimental quantification
    Empirical Economics, 2011, 40, (2), 359-372 View citations (18)
34. Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator
    Journal of Business & Economic Statistics, 2011, 30, (2), 256-264 View citations (7)

2010

35. Joint forecasts of Dow Jones stocks under general multivariate loss function
    Computational Statistics & Data Analysis, 2010, 54, (11), 2360-2371 View citations (6)
36. On the Dickey–Fuller test with White standard errors
    Statistical Papers, 2010, 51, (1), 11-25 View citations (9)
37. 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 View citations (2)

2009

38. Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes
    Journal of Time Series Econometrics, 2009, 1, (2), 30 View citations (7)
39. Panel unit root testing and the martingale difference hypothesis for German stocks
    Economics Bulletin, 2009, 29, (3), 1749-1759
40. 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) View citations (6) (2008)

2008

41. Bias correction for the regression-based LM fractional integration test
    AStA Advances in Statistical Analysis, 2008, 92, (1), 91-99 View citations (1)
42. LONG MEMORY TESTING IN THE TIME DOMAIN
    Econometric Theory, 2008, 24, (1), 176-215 View citations (62)

2007

43. Effect of neglected deterministic seasonality on unit root tests
    Statistical Papers, 2007, 48, (3), 385-402 View citations (11)
44. Optimal forecast intervals under asymmetric loss
    Journal of Forecasting, 2007, 26, (4), 227-238 View citations (3)
45. Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?
    Economics Bulletin, 2007, 7, (15), 1-8

2006

46. An extension of the Gauss-Newton algorithm for estimation under asymmetric loss
    Computational Statistics & Data Analysis, 2006, 50, (2), 379-401 View citations (3)
47. Combining Significance of Correlated Statistics with Application to Panel Data*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (5), 647-663 View citations (68)
48. Loss Reduction in Point Estimation Problems
    Stochastics and Quality Control, 2006, 21, (2), 209-217
49. What liquidity do hypothetical price impact curves measure?
    Applied Financial Economics Letters, 2006, 2, (5), 301-303

2005

50. Determining the Parameters of a Multinomial Distribution: The Fiducial Approach
    Stochastics and Quality Control, 2005, 20, (2), 177-189
51. 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 View citations (6)