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 1 7 15 81
Extensions to IVX Methods of Inference for Return Predictability 0 0 0 50 1 3 9 92
Extensions to IVX methods of inference for return predictability 0 1 1 18 1 8 34 92
Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility 0 0 0 20 2 3 15 73
Fixed-b Inference in the Presence of Time-Varying Volatility 0 0 0 41 1 3 9 155
Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test 0 0 0 23 0 8 21 161
IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance 0 0 0 39 1 6 19 119
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 1 2 53 2 7 19 101
Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models 0 0 2 128 0 3 13 63
Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach 0 0 5 37 0 1 22 58
Predictive regressions under asymmetric loss: factor augmentation and model selection 0 0 1 40 0 1 13 91
Residual-augmented IVX predictive regression 0 0 0 48 0 9 27 166
Testing for Episodic Predictability in Stock Returns 0 0 0 55 1 6 27 127
Testing for Episodic Predictability in Stock Returns 0 0 0 28 1 5 19 127
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 4 10 328
Testing heteroskedastic time series for normality 0 0 0 43 0 5 17 103
Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility 0 0 1 34 1 1 10 65
Tests of no cross-sectional error dependence in panel quantile regressions 0 1 4 19 1 9 29 60
The Power of Unit Root Tests Against Nonlinear Local Alternatives 0 0 0 63 0 1 7 133
Transformed Regression-based Long-Horizon Predictability Tests 0 1 1 48 1 6 17 71
Total Working Papers 0 4 19 971 14 96 352 2,266

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 6 22 29
(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? 0 0 2 14 0 2 11 49
A simple nonstationary-volatility robust panel unit root test 0 0 1 16 0 1 4 79
An extension of the Gauss-Newton algorithm for estimation under asymmetric loss 0 0 0 21 0 3 7 106
Asymptotic normal tests for integration in panels with cross-dependent units 0 0 0 17 0 4 6 96
Autoregressive spectral estimates under ignored changes in the mean 0 0 0 1 0 1 10 18
Bias correction for the regression-based LM fractional integration test 0 0 0 7 0 3 11 70
Bias corrections for exponentially transformed forecasts: Are they worth the effort? 0 0 2 13 0 2 13 61
Combining Significance of Correlated Statistics with Application to Panel Data* 0 0 0 95 0 2 10 457
Determining the Parameters of a Multinomial Distribution: The Fiducial Approach 0 0 0 5 0 0 4 39
Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models 0 0 0 4 0 3 7 43
Effect of neglected deterministic seasonality on unit root tests 0 0 0 8 0 1 11 60
Enhancing the local power of IVX-based tests in predictive regressions 0 0 0 23 0 4 17 83
Extensions to IVX methods of inference for return predictability 0 0 0 0 0 5 14 19
FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS 0 0 0 5 0 2 5 18
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions 0 1 1 5 0 2 7 26
IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE 0 0 0 2 1 3 11 37
Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts 0 0 1 18 0 5 15 68
Inference on the long-memory properties of time series with non-stationary volatility 0 1 2 9 2 6 14 43
Instrumental variable and variable addition based inference in predictive regressions 0 0 0 53 0 2 13 153
Is U.S. real output growth non-normal? A tale of time-varying location and scale 0 0 0 1 2 9 16 19
Joint forecasts of Dow Jones stocks under general multivariate loss function 0 0 0 17 0 3 6 138
LONG MEMORY TESTING IN THE TIME DOMAIN 0 0 0 72 0 2 9 193
Loss Reduction in Point Estimation Problems 0 0 0 1 0 6 10 23
Monitoring Value-at-Risk and Expected Shortfall Forecasts 0 2 14 49 3 12 40 97
Multiple Testing for No Cointegration under Nonstationary Volatility 0 0 0 3 0 1 6 36
Nonlinear IV panel unit root testing under structural breaks in the error variance 0 0 0 3 0 2 12 54
Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions 0 0 1 3 1 5 13 26
On the Dickey–Fuller test with White standard errors 0 0 0 29 0 2 14 110
Optimal forecast intervals under asymmetric loss 0 0 0 28 1 4 8 118
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes 0 0 0 25 1 8 15 98
Panel unit root testing and the martingale difference hypothesis for German stocks 0 0 0 49 1 6 17 241
Pitfalls of post-model-selection testing: experimental quantification 0 0 0 37 0 0 7 126
Predictive regressions under asymmetric loss: Factor augmentation and model selection 0 0 0 7 0 4 11 50
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests 0 0 0 11 0 7 15 63
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence 0 0 0 6 1 3 14 41
Residual-augmented IVX predictive regression 0 0 1 4 0 4 12 27
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances 0 0 0 7 1 2 7 30
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters 0 0 0 2 0 1 9 19
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 2 8 127
Testing for constant correlation of filtered series under structural change 0 0 0 4 0 1 6 21
Testing for episodic predictability in stock returns 0 1 1 6 1 8 23 50
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration 0 0 0 5 1 4 15 35
Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost 0 0 0 15 0 5 16 85
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 4 8 199
Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss 0 0 1 1 3 4 15 15
The power of unit root tests against nonlinear local alternatives 0 0 0 12 0 2 10 55
Transformed regression-based long-horizon predictability tests 0 0 0 1 0 5 12 19
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator 0 0 0 6 0 3 12 51
Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? 0 0 0 16 0 5 19 117
What liquidity do hypothetical price impact curves measure? 0 0 0 0 0 0 5 7
Total Journal Articles 0 5 28 797 21 181 602 3,844

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Statistics updated 2026-06-04