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 0 2 45 0 3 17 84
Extensions to IVX Methods of Inference for Return Predictability 0 0 0 50 0 0 9 92
Extensions to IVX methods of inference for return predictability 1 1 2 19 2 6 40 98
Fixed effects, lagged dependent variables, and bracketing: Cautionary remarks 0 1 1 10 1 2 26 41
Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility 0 0 0 20 0 0 15 73
Fixed-b Inference in the Presence of Time-Varying Volatility 0 0 0 41 0 0 8 155
Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test 0 0 0 23 0 1 22 162
IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance 0 0 0 39 0 1 19 120
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 1 53 2 2 19 103
Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models 0 0 2 128 1 1 14 64
Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach 1 1 1 38 2 3 18 61
Predictive regressions under asymmetric loss: factor augmentation and model selection 0 0 1 40 0 1 14 92
Residual-augmented IVX predictive regression 0 0 0 48 0 2 27 168
Serial-correlation testing in error component models with moderately small T 3 8 27 27 6 17 37 37
Testing for Episodic Predictability in Stock Returns 0 0 0 28 1 2 21 129
Testing for Episodic Predictability in Stock Returns 0 0 0 55 1 2 29 129
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 0 9 328
Testing heteroskedastic time series for normality 0 0 0 43 0 0 17 103
Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility 0 1 2 35 0 1 11 66
Tests of no cross-sectional error dependence in panel quantile regressions 0 1 4 20 0 1 26 61
The Power of Unit Root Tests Against Nonlinear Local Alternatives 0 0 0 63 1 1 8 134
Transformed Regression-based Long-Horizon Predictability Tests 0 0 1 48 0 2 19 73
Total Working Papers 5 13 44 1,012 17 48 425 2,373

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 1 1 2 3 22 32
(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? 0 0 0 14 0 0 9 49
A simple nonstationary-volatility robust panel unit root test 0 0 1 16 0 2 6 81
An extension of the Gauss-Newton algorithm for estimation under asymmetric loss 0 0 0 21 0 0 7 106
Asymptotic normal tests for integration in panels with cross-dependent units 0 0 0 17 0 0 6 96
Autoregressive spectral estimates under ignored changes in the mean 0 0 0 1 0 0 10 18
Bias correction for the regression-based LM fractional integration test 0 0 0 7 1 2 13 72
Bias corrections for exponentially transformed forecasts: Are they worth the effort? 0 2 4 15 0 4 16 65
Combining Significance of Correlated Statistics with Application to Panel Data* 0 0 0 95 0 0 9 457
Determining the Parameters of a Multinomial Distribution: The Fiducial Approach 0 0 0 5 0 1 5 40
Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models 0 0 0 4 1 2 8 45
Effect of neglected deterministic seasonality on unit root tests 0 0 0 8 0 1 12 61
Enhancing the local power of IVX-based tests in predictive regressions 0 0 0 23 0 0 16 83
Extensions to IVX methods of inference for return predictability 0 0 0 0 0 0 13 19
FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS 0 0 0 5 0 1 6 19
Fixed Effects, Lagged Dependent Variables, and Bracketing: Cautionary Remarks 0 0 0 0 0 0 0 0
Gaussian Inference in Predictive Regressions for Stock Returns 0 0 2 3 1 1 8 13
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions 0 0 1 5 0 1 7 27
IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE 0 0 0 2 0 1 12 38
Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts 0 0 1 18 16 16 31 84
Inference on the long-memory properties of time series with non-stationary volatility 0 0 1 9 0 0 12 43
Instrumental variable and variable addition based inference in predictive regressions 0 0 0 53 2 3 15 156
Is U.S. real output growth non-normal? A tale of time-varying location and scale 0 0 0 1 1 2 18 21
Joint forecasts of Dow Jones stocks under general multivariate loss function 0 0 0 17 1 2 8 140
LONG MEMORY TESTING IN THE TIME DOMAIN 0 0 0 72 0 1 9 194
Loss Reduction in Point Estimation Problems 0 0 0 1 1 5 14 28
Monitoring Value-at-Risk and Expected Shortfall Forecasts 3 4 15 53 3 8 45 105
Multiple Testing for No Cointegration under Nonstationary Volatility 0 0 0 3 0 2 8 38
Nonlinear IV panel unit root testing under structural breaks in the error variance 0 0 0 3 0 0 12 54
Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions 0 0 1 3 0 0 12 26
On the Dickey–Fuller test with White standard errors 0 0 0 29 0 0 14 110
Optimal forecast intervals under asymmetric loss 0 0 0 28 1 1 9 119
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes 0 0 0 25 0 0 15 98
Panel unit root testing and the martingale difference hypothesis for German stocks 0 0 0 49 0 1 16 242
Partial Sums of Almost Overdifferenced, Near‐Stationary Processes With Time‐Varying Properties 0 0 0 0 0 0 0 0
Pitfalls of post-model-selection testing: experimental quantification 0 0 0 37 0 2 8 128
Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach 1 1 3 3 2 5 33 33
Predictive regressions under asymmetric loss: Factor augmentation and model selection 0 0 0 7 1 4 15 54
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests 0 0 0 11 0 0 14 63
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence 0 0 0 6 0 0 12 41
Residual-augmented IVX predictive regression 0 0 0 4 1 1 11 28
Robust Fixed-b Inference in the Presence of Time-Varying Volatility 0 0 1 1 0 2 7 7
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances 0 0 0 7 0 1 7 31
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters 0 0 0 2 1 1 10 20
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 1 9 128
Testing for constant correlation of filtered series under structural change 0 0 0 4 1 2 8 23
Testing for episodic predictability in stock returns 0 0 1 6 0 2 25 52
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration 0 0 0 5 0 1 15 36
Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost 0 0 0 15 0 0 16 85
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 2 9 201
Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss 0 0 1 1 1 2 14 17
The power of unit root tests against nonlinear local alternatives 0 0 0 12 0 1 11 56
Transformed regression-based long-horizon predictability tests 1 1 1 2 1 2 13 21
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator 0 0 0 6 0 1 12 52
Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? 0 0 0 16 3 3 20 120
What liquidity do hypothetical price impact curves measure? 0 0 0 0 1 1 6 8
Total Journal Articles 5 8 34 811 42 94 698 3,983

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