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 4 44 3 4 17 71
Extensions to IVX Methods of Inference for Return Predictability 0 0 0 50 0 2 2 85
Extensions to IVX methods of inference for return predictability 0 0 0 17 3 5 9 63
Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility 0 0 0 20 3 6 6 64
Fixed-b Inference in the Presence of Time-Varying Volatility 0 0 0 41 0 1 2 148
Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test 0 0 0 23 2 3 6 143
IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance 0 0 0 39 2 4 7 106
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 1 52 1 3 5 87
Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models 0 1 1 127 1 4 7 54
Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach 0 0 8 37 2 9 24 53
Predictive regressions under asymmetric loss: factor augmentation and model selection 0 1 1 40 2 6 6 84
Residual-augmented IVX predictive regression 0 0 0 48 0 6 9 147
Testing for Episodic Predictability in Stock Returns 0 0 0 55 2 5 6 105
Testing for Episodic Predictability in Stock Returns 0 0 0 28 1 2 3 110
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 1 4 320
Testing heteroskedastic time series for normality 0 0 0 43 3 6 6 92
Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility 1 1 1 34 1 5 6 60
Tests of no cross-sectional error dependence in panel quantile regressions 0 1 5 17 2 5 18 40
The Power of Unit Root Tests Against Nonlinear Local Alternatives 0 0 0 63 0 0 0 126
Transformed Regression-based Long-Horizon Predictability Tests 0 0 0 47 4 6 10 60
Total Working Papers 1 5 21 964 32 83 153 2,018

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 5 12 16
(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? 0 0 2 14 1 1 4 42
A simple nonstationary-volatility robust panel unit root test 0 1 1 16 0 1 2 76
An extension of the Gauss-Newton algorithm for estimation under asymmetric loss 0 0 0 21 0 0 1 99
Asymptotic normal tests for integration in panels with cross-dependent units 0 0 0 17 1 2 3 92
Autoregressive spectral estimates under ignored changes in the mean 0 0 0 1 1 2 2 10
Bias correction for the regression-based LM fractional integration test 0 0 0 7 2 3 4 62
Bias corrections for exponentially transformed forecasts: Are they worth the effort? 0 0 0 11 2 5 8 54
Combining Significance of Correlated Statistics with Application to Panel Data* 0 0 1 95 1 2 4 450
Determining the Parameters of a Multinomial Distribution: The Fiducial Approach 0 0 0 5 1 2 3 37
Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models 0 0 1 4 2 2 4 39
Effect of neglected deterministic seasonality on unit root tests 0 0 0 8 4 5 7 54
Enhancing the local power of IVX-based tests in predictive regressions 0 0 0 23 6 6 8 73
Extensions to IVX methods of inference for return predictability 0 0 0 0 1 3 5 9
FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS 0 0 1 5 1 1 4 14
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions 0 0 0 4 0 0 3 20
IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE 0 0 0 2 1 4 4 30
Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts 1 1 1 18 2 4 6 58
Inference on the long-memory properties of time series with non-stationary volatility 0 0 1 8 2 2 4 33
Instrumental variable and variable addition based inference in predictive regressions 0 0 0 53 1 4 7 146
Is U.S. real output growth non-normal? A tale of time-varying location and scale 0 0 1 1 1 1 4 4
Joint forecasts of Dow Jones stocks under general multivariate loss function 0 0 0 17 0 2 3 134
LONG MEMORY TESTING IN THE TIME DOMAIN 0 0 1 72 1 1 5 186
Loss Reduction in Point Estimation Problems 0 0 0 1 0 1 2 15
Monitoring Value-at-Risk and Expected Shortfall Forecasts 4 5 17 44 7 12 27 74
Multiple Testing for No Cointegration under Nonstationary Volatility 0 0 0 3 0 2 4 32
Nonlinear IV panel unit root testing under structural breaks in the error variance 0 0 0 3 1 3 3 45
Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions 0 0 2 3 0 2 5 17
On the Dickey–Fuller test with White standard errors 0 0 0 29 4 6 8 102
Optimal forecast intervals under asymmetric loss 0 0 0 28 0 2 4 112
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes 0 0 0 25 1 2 3 86
Panel unit root testing and the martingale difference hypothesis for German stocks 0 0 0 49 0 2 5 228
Pitfalls of post-model-selection testing: experimental quantification 0 0 1 37 0 1 5 122
Predictive regressions under asymmetric loss: Factor augmentation and model selection 0 0 0 7 0 2 4 41
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests 0 0 0 11 1 4 6 53
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence 0 0 0 6 1 2 4 31
Residual-augmented IVX predictive regression 0 0 1 4 0 1 3 18
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances 0 0 0 7 0 0 3 25
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters 0 0 0 2 1 4 5 14
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 2 2 2 121
Testing for constant correlation of filtered series under structural change 0 0 0 4 0 0 0 15
Testing for episodic predictability in stock returns 0 0 0 5 2 5 6 32
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration 0 0 0 5 7 7 10 28
Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost 0 0 0 15 4 6 8 75
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 2 4 194
Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss 0 0 0 0 2 3 6 6
The power of unit root tests against nonlinear local alternatives 0 0 0 12 1 1 1 46
Transformed regression-based long-horizon predictability tests 0 0 0 1 1 3 5 11
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator 0 0 0 6 4 6 8 46
Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? 0 0 0 16 1 3 7 104
What liquidity do hypothetical price impact curves measure? 0 0 0 0 1 1 2 3
Total Journal Articles 5 7 31 785 75 143 257 3,434

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Statistics updated 2026-01-09