Details about Jean-Yves Pitarakis

Access statistics for papers by Jean-Yves Pitarakis.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: ppi10

Working Papers

2025

1. Detecting Sparse Cointegration
   Papers, arXiv.org
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2025)
2. Serial-Dependence and Persistence Robust Inference in Predictive Regressions
   Papers, arXiv.org

2023

3. A Novel Approach to Predictive Accuracy Testing in Nested Environments
   Papers, arXiv.org View citations (5)
4. Direct Multi-Step Forecast based Comparison of Nested Models via an Encompassing Test
   Papers, arXiv.org
5. Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates
   Papers, arXiv.org View citations (1)
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2020)
   See also Journal Article Out-of-sample predictability in predictive regressions with many predictor candidates, International Journal of Forecasting, Elsevier (2024) (2024)

2020

6. Spurious relationships in high dimensional systems with strong or mild persistence
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   See also Journal Article Spurious relationships in high-dimensional systems with strong or mild persistence, International Journal of Forecasting, Elsevier (2021) View citations (1) (2021)
7. Uncovering regimes in out of sample forecast errors from predictive regressions
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   See also Journal Article Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2021) (2021)

2019

8. Predictive Regressions
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

2012

9. Estimation and inference in threshold type regime switching models
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)
   See also Chapter Estimation and inference in threshold type regime switching models, Chapters, Edward Elgar Publishing (2013) View citations (1) (2013)
10. Functional cointegration: definition and nonparametric estimation
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Functional cointegration: definition and nonparametric estimation, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2014) (2014)
11. Jointly testing linearity and nonstationarity within threshold autoregressions
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Jointly testing linearity and nonstationarity within threshold autoregressions, Economics Letters, Elsevier (2012) View citations (2) (2012)

2011

12. Joint Detection of Structural Change and Nonstationarity in Autoregressions
    MPRA Paper, University Library of Munich, Germany View citations (2)

2010

13. Regime Specific Predictability in Predictive Regressions
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2010) View citations (6)
    See also Journal Article Regime-Specific Predictability in Predictive Regressions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) (2011)

2006

14. Threshold effects in cointegrating relationships
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (42)
    See also Journal Article Threshold Effects in Cointegrating Relationships*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) View citations (55) (2006)

2004

15. Model Selection Uncertainty and Detection of Threshold Effecs
    Econometrics, University Library of Munich, Germany
    See also Journal Article Model Selection Uncertainty and Detection of Threshold Effects, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2006) View citations (8) (2006)

2003

16. Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification
    Econometrics, University Library of Munich, Germany
    See also Journal Article Least squares estimation and tests of breaks in mean and variance under misspecification, Econometrics Journal, Royal Economic Society (2004) View citations (37) (2004)

2001

17. Lag Length Estimation in Large Dimensional Systems
    Econometrics, University Library of Munich, Germany View citations (11)
    Also in Econometrics, University Library of Munich, Germany (2001)
    See also Journal Article Lag length estimation in large dimensional systems, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (18) (2002)

1995

18. Comovements in large systems
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (9)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1994) View citations (8)
19. On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1995)

Journal Articles

2024

1. Out-of-sample predictability in predictive regressions with many predictor candidates
   International Journal of Forecasting, 2024, 40, (3), 1166-1178
   See also Working Paper Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates, Papers (2023) View citations (1) (2023)

2021

2. Spurious relationships in high-dimensional systems with strong or mild persistence
   International Journal of Forecasting, 2021, 37, (4), 1480-1497 View citations (1)
   See also Working Paper Spurious relationships in high dimensional systems with strong or mild persistence, UC3M Working papers. Economics (2020) (2020)
3. Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions
   Oxford Bulletin of Economics and Statistics, 2021, 83, (3), 713-741
   See also Working Paper Uncovering regimes in out of sample forecast errors from predictive regressions, UC3M Working papers. Economics (2020) (2020)

2017

4. A Simple Approach for Diagnosing Instabilities in Predictive Regressions
   Oxford Bulletin of Economics and Statistics, 2017, 79, (5), 851-874 View citations (8)
5. Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
   Journal of Business & Economic Statistics, 2017, 35, (2), 202-217 View citations (12)

2014

6. A joint test for structural stability and a unit root in autoregressions
   Computational Statistics & Data Analysis, 2014, 76, (C), 577-587 View citations (3)
7. Functional cointegration: definition and nonparametric estimation
   Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (5), 507-520
   See also Working Paper Functional cointegration: definition and nonparametric estimation, MPRA Paper (2012) (2012)

2012

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

2011

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

2008

10. Comment on: Threshold Autoregressions With a Unit Root
    Econometrica, 2008, 76, (5), 1207-1217 View citations (14)

2006

11. Model Selection Uncertainty and Detection of Threshold Effects
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 30 View citations (8)
    See also Working Paper Model Selection Uncertainty and Detection of Threshold Effecs, Econometrics (2004) (2004)
12. Threshold Effects in Cointegrating Relationships*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 813-833 View citations (55)
    See also Working Paper Threshold effects in cointegrating relationships, UC3M Working papers. Economics (2006) View citations (42) (2006)

2004

13. Least squares estimation and tests of breaks in mean and variance under misspecification
    Econometrics Journal, 2004, 7, (1), 32-54 View citations (37)
    See also Working Paper Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification, Econometrics (2003) (2003)

2003

14. Joint Dynamics of Legal and Economic Integration in the European Union
    European Journal of Law and Economics, 2003, 16, (3), 357-368 View citations (11)

2002

15. Estimation and model selection based inference in single and multiple threshold models
    Journal of Econometrics, 2002, 110, (2), 319-352 View citations (145)
16. Lag length estimation in large dimensional systems
    Journal of Time Series Analysis, 2002, 23, (4), 401-423 View citations (18)
    See also Working Paper Lag Length Estimation in Large Dimensional Systems, Econometrics (2001) View citations (11) (2001)

1999

17. Total expenditure endogeneity in a system of demand for public consumption expenditures in the UK
    Economic Modelling, 1999, 16, (2), 279-291 View citations (4)

1998

18. MOMENT GENERATING FUNCTIONS AND FURTHER EXACT RESULTS FOR SEASONAL AUTOREGRESSIONS
    Econometric Theory, 1998, 14, (6), 770-782 View citations (1)
19. 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 (11)
20. On the bias of the OLS estimator in a nonstationary dynamic panel data model
    Statistics & Probability Letters, 1998, 38, (2), 145-150
21. Specification via model selection in vector error correction models
    Economics Letters, 1998, 60, (3), 321-328 View citations (56)
22. The allocation of public consumption expenditure in the UK
    Applied Economics Letters, 1998, 5, (3), 197-200 View citations (3)

Chapters

2013

1. Estimation and inference in threshold type regime switching models
   Chapter 8 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 189-205 View citations (1)
   See also Working Paper Estimation and inference in threshold type regime switching models, Universidad Carlos III de Madrid. Departamento de Economía (2012) View citations (3) (2012)