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
Extensions to IVX Methods of Inference for Return Predictability 0 0 3 46 1 2 14 75
Extensions to IVX methods of inference for return predictability 1 1 3 15 2 3 10 43
Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility 0 0 1 19 0 0 2 53
Fixed-b Inference in the Presence of Time-Varying Volatility 0 0 0 41 1 2 3 145
Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test 0 0 0 22 0 1 3 129
IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance 0 0 0 39 0 1 2 97
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 0 51 0 0 0 80
Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models 0 0 1 123 0 1 10 36
Predictive regressions under asymmetric loss: factor augmentation and model selection 1 1 1 38 2 2 4 58
Residual-augmented IVX predictive regression 0 0 0 48 0 1 4 135
Testing for Episodic Predictability in Stock Returns 0 0 1 26 0 0 3 102
Testing for Episodic Predictability in Stock Returns 0 1 4 52 0 3 10 92
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 138 0 0 2 314
Testing heteroskedastic time series for normality 0 0 1 43 0 0 2 83
Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility 1 1 1 32 1 1 2 52
The Power of Unit Root Tests Against Nonlinear Local Alternatives 0 0 0 63 0 0 3 125
Transformed Regression-based Long-Horizon Predictability Tests 0 0 6 44 1 3 14 43
Total Working Papers 3 4 22 840 8 20 88 1,662

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? 0 0 1 11 0 1 3 35
A simple nonstationary-volatility robust panel unit root test 0 0 1 13 0 0 2 67
An extension of the Gauss-Newton algorithm for estimation under asymmetric loss 0 0 0 21 0 0 0 97
Asymptotic normal tests for integration in panels with cross-dependent units 0 0 0 17 0 0 0 89
Autoregressive spectral estimates under ignored changes in the mean 0 0 0 1 0 0 3 6
Bias correction for the regression-based LM fractional integration test 0 0 0 7 0 0 0 58
Bias corrections for exponentially transformed forecasts: Are they worth the effort? 0 2 2 9 0 4 9 35
Combining Significance of Correlated Statistics with Application to Panel Data* 1 1 2 92 1 3 6 438
Determining the Parameters of a Multinomial Distribution: The Fiducial Approach 0 0 0 4 0 0 1 33
Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models 0 0 0 3 0 0 2 34
Effect of neglected deterministic seasonality on unit root tests 0 0 0 8 0 0 1 47
Enhancing the local power of IVX-based tests in predictive regressions 0 0 0 21 0 1 1 63
FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS 0 0 2 3 0 0 4 8
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions 0 0 1 3 0 0 4 15
IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE 0 0 0 1 0 0 1 24
Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts 0 0 0 14 0 0 0 48
Inference on the long-memory properties of time series with non-stationary volatility 0 0 0 7 0 0 0 29
Instrumental variable and variable addition based inference in predictive regressions 0 0 3 51 0 0 7 130
Joint forecasts of Dow Jones stocks under general multivariate loss function 0 0 0 16 0 1 2 130
LONG MEMORY TESTING IN THE TIME DOMAIN 0 0 0 68 0 0 0 178
Loss Reduction in Point Estimation Problems 0 0 0 1 0 0 0 13
Multiple Testing for No Cointegration under Nonstationary Volatility 0 0 0 3 0 0 0 28
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 0 1 0 2 3 6
On the Dickey–Fuller test with White standard errors 0 0 0 29 1 2 2 92
Optimal forecast intervals under asymmetric loss 0 0 1 28 0 0 2 104
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes 0 0 0 25 0 0 0 82
Panel unit root testing and the martingale difference hypothesis for German stocks 0 0 0 49 0 1 4 221
Pitfalls of post-model-selection testing: experimental quantification 0 1 2 33 0 2 10 107
Predictive regressions under asymmetric loss: Factor augmentation and model selection 0 0 0 7 0 0 1 31
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests 0 0 0 11 0 0 1 47
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence 0 0 0 5 0 1 2 21
Residual-augmented IVX predictive regression 0 0 2 2 1 1 6 9
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances 0 0 1 7 0 0 1 22
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters 0 0 2 2 0 1 6 6
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 0 17 1 1 1 112
Testing for constant correlation of filtered series under structural change 0 0 0 3 0 0 1 14
Testing for episodic predictability in stock returns 0 0 3 3 0 1 13 18
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration 0 2 3 5 0 6 9 17
Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost 0 0 1 14 0 0 1 64
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 0 0 188
The power of unit root tests against nonlinear local alternatives 0 0 0 11 0 0 0 43
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator 0 0 0 4 0 0 0 35
Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? 0 0 1 15 0 0 1 92
Total Journal Articles 1 6 28 686 4 28 110 2,978

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Statistics updated 2023-06-05