Access Statistics for Matei Demetrescu

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Cross-Sectional Error Dependence in Panel Quantile Regressions 0 2 5 43 0 9 19 67
Extensions to IVX Methods of Inference for Return Predictability 0 0 0 50 0 0 0 83
Extensions to IVX methods of inference for return predictability 0 0 0 17 0 0 4 58
Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility 0 0 0 20 0 0 1 58
Fixed-b Inference in the Presence of Time-Varying Volatility 0 0 0 41 0 1 1 147
Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test 0 0 0 23 0 1 5 140
IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance 0 0 0 39 1 1 2 101
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 0 51 0 0 1 82
Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models 0 0 0 126 0 0 4 50
Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach 2 5 15 37 2 5 19 41
Predictive regressions under asymmetric loss: factor augmentation and model selection 0 0 0 39 0 0 7 78
Residual-augmented IVX predictive regression 0 0 0 48 0 1 3 140
Testing for Episodic Predictability in Stock Returns 0 0 0 28 0 0 2 108
Testing for Episodic Predictability in Stock Returns 0 0 0 55 0 0 4 100
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 1 3 319
Testing heteroskedastic time series for normality 0 0 0 43 0 0 3 86
Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility 0 0 0 33 0 0 2 55
Tests of no cross-sectional error dependence in panel quantile regressions 1 2 5 16 1 6 14 33
The Power of Unit Root Tests Against Nonlinear Local Alternatives 0 0 0 63 0 0 1 126
Transformed Regression-based Long-Horizon Predictability Tests 0 0 1 47 0 0 5 54
Total Working Papers 3 9 26 958 4 25 100 1,926

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(Structural) VAR models with ignored changes in mean and volatility 0 0 0 0 3 3 9 10
(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? 1 2 2 14 1 2 3 40
A simple nonstationary-volatility robust panel unit root test 0 0 0 15 0 0 2 75
An extension of the Gauss-Newton algorithm for estimation under asymmetric loss 0 0 0 21 0 0 2 99
Asymptotic normal tests for integration in panels with cross-dependent units 0 0 0 17 0 0 1 90
Autoregressive spectral estimates under ignored changes in the mean 0 0 0 1 0 0 0 8
Bias correction for the regression-based LM fractional integration test 0 0 0 7 0 0 1 59
Bias corrections for exponentially transformed forecasts: Are they worth the effort? 0 0 0 11 0 0 5 48
Combining Significance of Correlated Statistics with Application to Panel Data* 0 1 1 95 0 2 3 448
Determining the Parameters of a Multinomial Distribution: The Fiducial Approach 0 0 0 5 0 0 1 35
Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models 0 0 1 4 1 1 2 37
Effect of neglected deterministic seasonality on unit root tests 0 0 0 8 0 0 2 49
Enhancing the local power of IVX-based tests in predictive regressions 0 0 0 23 1 1 2 67
Extensions to IVX methods of inference for return predictability 0 0 0 0 0 1 3 5
FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS 0 0 1 5 0 0 3 13
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions 0 0 0 4 0 0 2 19
IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE 0 0 0 2 0 0 0 26
Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts 0 0 0 17 0 0 1 53
Inference on the long-memory properties of time series with non-stationary volatility 1 1 1 8 2 2 2 31
Instrumental variable and variable addition based inference in predictive regressions 0 0 1 53 1 1 5 141
Is U.S. real output growth non-normal? A tale of time-varying location and scale 0 0 1 1 0 0 3 3
Joint forecasts of Dow Jones stocks under general multivariate loss function 0 0 0 17 0 0 1 132
LONG MEMORY TESTING IN THE TIME DOMAIN 0 1 4 72 0 2 7 185
Loss Reduction in Point Estimation Problems 0 0 0 1 1 1 1 14
Monitoring Value-at-Risk and Expected Shortfall Forecasts 2 3 12 37 2 3 18 59
Multiple Testing for No Cointegration under Nonstationary Volatility 0 0 0 3 0 0 2 30
Nonlinear IV panel unit root testing under structural breaks in the error variance 0 0 0 3 0 0 0 42
Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions 0 0 1 2 0 1 3 14
On the Dickey–Fuller test with White standard errors 0 0 0 29 0 1 3 96
Optimal forecast intervals under asymmetric loss 0 0 0 28 0 1 4 110
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes 0 0 0 25 0 0 0 83
Panel unit root testing and the martingale difference hypothesis for German stocks 0 0 0 49 0 1 1 224
Pitfalls of post-model-selection testing: experimental quantification 0 0 2 37 1 1 6 120
Predictive regressions under asymmetric loss: Factor augmentation and model selection 0 0 0 7 0 0 5 39
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests 0 0 0 11 0 0 1 48
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence 0 0 0 6 0 1 2 28
Residual-augmented IVX predictive regression 1 1 1 4 1 1 3 16
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances 0 0 0 7 1 1 2 24
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters 0 0 0 2 0 0 2 10
Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten 0 0 2 22 0 0 2 119
Testing for constant correlation of filtered series under structural change 0 0 1 4 0 0 1 15
Testing for episodic predictability in stock returns 0 0 0 5 0 0 2 27
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration 0 0 0 5 1 1 3 21
Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost 0 0 0 15 0 0 3 69
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 0 3 191
Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss 0 0 0 0 0 1 1 1
The power of unit root tests against nonlinear local alternatives 0 0 1 12 0 0 1 45
Transformed regression-based long-horizon predictability tests 0 0 0 1 1 1 6 8
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator 0 0 1 6 1 1 4 40
Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? 0 0 0 16 0 2 3 99
What liquidity do hypothetical price impact curves measure? 0 0 0 0 0 0 2 2
Total Journal Articles 5 9 33 775 18 33 144 3,267

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Statistics updated 2025-08-05