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 1 5 45 4 7 21 78
Extensions to IVX Methods of Inference for Return Predictability 0 0 0 50 0 4 6 89
Extensions to IVX methods of inference for return predictability 0 0 0 17 3 24 29 87
Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility 0 0 0 20 1 7 13 71
Fixed-b Inference in the Presence of Time-Varying Volatility 0 0 0 41 0 4 6 152
Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test 0 0 0 23 1 11 15 154
IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance 0 0 0 39 2 9 15 115
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 1 1 2 53 2 9 14 96
Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models 0 1 2 128 0 6 10 60
Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach 0 0 7 37 1 5 25 58
Predictive regressions under asymmetric loss: factor augmentation and model selection 0 0 1 40 0 6 12 90
Residual-augmented IVX predictive regression 0 0 0 48 3 13 21 160
Testing for Episodic Predictability in Stock Returns 0 0 0 28 1 13 15 123
Testing for Episodic Predictability in Stock Returns 0 0 0 55 3 19 24 124
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 1 5 7 325
Testing heteroskedastic time series for normality 0 0 0 43 2 8 14 100
Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility 0 0 1 34 0 4 9 64
Tests of no cross-sectional error dependence in panel quantile regressions 1 2 6 19 5 16 33 56
The Power of Unit Root Tests Against Nonlinear Local Alternatives 0 0 0 63 0 6 6 132
Transformed Regression-based Long-Horizon Predictability Tests 0 0 0 47 1 6 15 66
Total Working Papers 2 5 24 969 30 182 310 2,200

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 1 1 1 0 7 17 23
(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? 0 0 2 14 0 5 9 47
A simple nonstationary-volatility robust panel unit root test 0 0 1 16 0 2 3 78
An extension of the Gauss-Newton algorithm for estimation under asymmetric loss 0 0 0 21 1 5 5 104
Asymptotic normal tests for integration in panels with cross-dependent units 0 0 0 17 0 0 2 92
Autoregressive spectral estimates under ignored changes in the mean 0 0 0 1 1 8 10 18
Bias correction for the regression-based LM fractional integration test 0 0 0 7 1 6 9 68
Bias corrections for exponentially transformed forecasts: Are they worth the effort? 0 2 2 13 0 5 11 59
Combining Significance of Correlated Statistics with Application to Panel Data* 0 0 1 95 0 5 9 455
Determining the Parameters of a Multinomial Distribution: The Fiducial Approach 0 0 0 5 0 2 4 39
Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models 0 0 0 4 1 2 5 41
Effect of neglected deterministic seasonality on unit root tests 0 0 0 8 0 5 11 59
Enhancing the local power of IVX-based tests in predictive regressions 0 0 0 23 0 6 13 79
Extensions to IVX methods of inference for return predictability 0 0 0 0 2 7 12 16
FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS 0 0 1 5 1 3 5 17
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions 1 1 1 5 1 5 7 25
IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE 0 0 0 2 0 4 8 34
Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts 0 0 1 18 0 5 10 63
Inference on the long-memory properties of time series with non-stationary volatility 1 1 2 9 2 6 10 39
Instrumental variable and variable addition based inference in predictive regressions 0 0 0 53 1 6 13 152
Is U.S. real output growth non-normal? A tale of time-varying location and scale 0 0 0 1 3 9 10 13
Joint forecasts of Dow Jones stocks under general multivariate loss function 0 0 0 17 0 1 3 135
LONG MEMORY TESTING IN THE TIME DOMAIN 0 0 1 72 0 5 9 191
Loss Reduction in Point Estimation Problems 0 0 0 1 3 5 7 20
Monitoring Value-at-Risk and Expected Shortfall Forecasts 1 4 16 48 2 13 34 87
Multiple Testing for No Cointegration under Nonstationary Volatility 0 0 0 3 0 3 5 35
Nonlinear IV panel unit root testing under structural breaks in the error variance 0 0 0 3 0 7 10 52
Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions 0 0 1 3 0 4 8 21
On the Dickey–Fuller test with White standard errors 0 0 0 29 0 6 14 108
Optimal forecast intervals under asymmetric loss 0 0 0 28 0 2 5 114
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes 0 0 0 25 2 6 9 92
Panel unit root testing and the martingale difference hypothesis for German stocks 0 0 0 49 0 7 12 235
Pitfalls of post-model-selection testing: experimental quantification 0 0 0 37 0 4 7 126
Predictive regressions under asymmetric loss: Factor augmentation and model selection 0 0 0 7 1 6 8 47
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests 0 0 0 11 0 3 8 56
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence 0 0 0 6 1 8 12 39
Residual-augmented IVX predictive regression 0 0 1 4 1 6 9 24
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances 0 0 0 7 1 4 6 29
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters 0 0 0 2 0 4 8 18
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 22 0 4 6 125
Testing for constant correlation of filtered series under structural change 0 0 0 4 0 5 5 20
Testing for episodic predictability in stock returns 1 1 1 6 3 13 18 45
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration 0 0 0 5 0 3 11 31
Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost 0 0 0 15 1 6 12 81
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 1 2 5 196
Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss 0 1 1 1 0 5 11 11
The power of unit root tests against nonlinear local alternatives 0 0 0 12 1 8 9 54
Transformed regression-based long-horizon predictability tests 0 0 0 1 0 3 8 14
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator 0 0 0 6 0 2 9 48
Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? 0 0 0 16 0 8 15 112
What liquidity do hypothetical price impact curves measure? 0 0 0 0 0 4 5 7
Total Journal Articles 4 11 33 796 31 260 471 3,694

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