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
Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility 0 0 1 16 1 1 14 46
Fixed-b Inference in the Presence of Time-Varying Volatility 0 1 2 41 0 3 43 134
Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test 0 1 3 19 10 17 51 81
IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance 0 0 2 39 1 2 8 90
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 1 3 51 0 2 5 75
Predictive regressions under asymmetric loss: factor augmentation and model selection 0 0 1 35 1 1 10 35
Residual-augmented IVX predictive regression 0 2 7 40 2 9 31 91
Testing for Episodic Predictability in Stock Returns 0 3 13 19 4 11 46 65
Testing for Episodic Predictability in Stock Returns 0 0 7 45 2 3 24 63
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 1 138 2 2 7 305
Testing heteroskedastic time series for normality 0 1 4 37 4 7 20 66
Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility 0 0 1 30 0 1 16 41
The Power of Unit Root Tests Against Nonlinear Local Alternatives 0 0 0 62 0 0 2 117
Total Working Papers 0 9 45 572 27 59 277 1,209


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 9 1 1 2 27
A simple nonstationary-volatility robust panel unit root test 1 1 1 9 1 1 7 55
An extension of the Gauss-Newton algorithm for estimation under asymmetric loss 0 0 0 19 0 0 3 92
Asymptotic normal tests for integration in panels with cross-dependent units 0 0 0 17 1 1 7 86
Bias correction for the regression-based LM fractional integration test 0 0 0 7 0 1 4 57
Bias corrections for exponentially transformed forecasts: Are they worth the effort? 0 1 1 1 0 4 4 4
Combining Significance of Correlated Statistics with Application to Panel Data* 0 2 4 81 0 4 11 416
Determining the Parameters of a Multinomial Distribution: The Fiducial Approach 0 0 1 2 0 0 2 28
Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models 0 0 0 3 0 1 6 27
Effect of neglected deterministic seasonality on unit root tests 0 0 0 8 0 2 4 42
Enhancing the local power of IVX-based tests in predictive regressions 0 0 0 17 0 1 4 53
IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE 0 0 0 1 0 0 4 20
Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts 0 1 1 11 0 1 3 44
Inference on the long-memory properties of time series with non-stationary volatility 0 0 1 7 0 0 4 27
Instrumental variable and variable addition based inference in predictive regressions 0 0 7 41 1 2 20 103
Joint forecasts of Dow Jones stocks under general multivariate loss function 0 0 0 16 0 0 6 126
LONG MEMORY TESTING IN THE TIME DOMAIN 0 1 5 65 1 2 10 167
Loss Reduction in Point Estimation Problems 0 0 0 1 0 0 1 12
Multiple Testing for No Cointegration under Nonstationary Volatility 0 0 1 3 2 3 10 26
Nonlinear IV panel unit root testing under structural breaks in the error variance 0 0 0 3 0 0 6 38
On the Dickey–Fuller test with White standard errors 0 0 0 28 0 0 6 82
Optimal forecast intervals under asymmetric loss 0 0 1 27 0 2 7 94
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes 0 0 0 22 0 3 6 76
Panel unit root testing and the martingale difference hypothesis for German stocks 0 0 1 49 1 1 11 207
Pitfalls of post-model-selection testing: experimental quantification 0 0 1 28 0 0 3 87
Predictive regressions under asymmetric loss: Factor augmentation and model selection 0 0 1 5 1 3 11 21
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests 0 0 3 11 0 1 8 38
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances 0 0 2 6 0 0 4 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 1 1 15 1 2 15 107
Testing for constant correlation of filtered series under structural change 0 0 1 3 0 0 2 9
Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost 0 0 0 13 0 3 5 59
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 1 38 0 0 3 185
The power of unit root tests against nonlinear local alternatives 0 0 0 11 1 1 4 40
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator 0 0 0 3 0 0 3 28
Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? 0 0 0 13 1 1 6 82
Total Journal Articles 1 7 35 593 12 41 212 2,585


Statistics updated 2020-09-04