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 3 40 1 3 12 57
Extensions to IVX Methods of Inference for Return Predictability 0 0 0 50 0 0 1 83
Extensions to IVX methods of inference for return predictability 0 0 0 17 0 4 7 58
Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility 0 0 1 20 0 0 3 58
Fixed-b Inference in the Presence of Time-Varying Volatility 0 0 0 41 0 0 0 146
Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test 0 0 0 23 1 2 5 139
IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance 0 0 0 39 0 1 1 100
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 0 51 0 0 1 82
Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models 0 0 2 126 1 3 6 50
Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach 0 1 15 30 1 4 22 33
Predictive regressions under asymmetric loss: factor augmentation and model selection 0 0 1 39 0 0 14 78
Residual-augmented IVX predictive regression 0 0 0 48 0 1 2 139
Testing for Episodic Predictability in Stock Returns 0 0 0 28 0 1 3 108
Testing for Episodic Predictability in Stock Returns 0 0 1 55 0 1 5 100
Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term 0 0 0 139 0 2 2 318
Testing heteroskedastic time series for normality 0 0 0 43 0 0 3 86
Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility 0 0 0 33 0 1 2 55
Tests of no cross-sectional error dependence in panel quantile regressions 0 1 5 13 0 1 10 23
The Power of Unit Root Tests Against Nonlinear Local Alternatives 0 0 0 63 0 0 1 126
Transformed Regression-based Long-Horizon Predictability Tests 0 0 1 47 0 1 3 51
Total Working Papers 0 2 29 945 4 25 103 1,890

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 0 2 6 6
(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? 0 0 0 12 0 0 1 38
A simple nonstationary-volatility robust panel unit root test 0 0 1 15 0 1 4 75
An extension of the Gauss-Newton algorithm for estimation under asymmetric loss 0 0 0 21 1 1 2 99
Asymptotic normal tests for integration in panels with cross-dependent units 0 0 0 17 0 1 1 90
Autoregressive spectral estimates under ignored changes in the mean 0 0 0 1 0 0 0 8
Bias correction for the regression-based LM fractional integration test 0 0 0 7 0 1 1 59
Bias corrections for exponentially transformed forecasts: Are they worth the effort? 0 0 1 11 0 2 6 48
Combining Significance of Correlated Statistics with Application to Panel Data* 0 0 0 94 0 0 4 446
Determining the Parameters of a Multinomial Distribution: The Fiducial Approach 0 0 0 5 0 1 1 35
Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models 1 1 1 4 1 1 2 36
Effect of neglected deterministic seasonality on unit root tests 0 0 0 8 0 1 1 48
Enhancing the local power of IVX-based tests in predictive regressions 0 0 0 23 1 1 1 66
Extensions to IVX methods of inference for return predictability 0 0 0 0 0 0 3 4
FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS 0 0 1 4 0 2 3 12
Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions 0 0 0 4 0 1 1 18
IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE 0 0 0 2 0 0 0 26
Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts 0 0 0 17 0 1 1 53
Inference on the long-memory properties of time series with non-stationary volatility 0 0 0 7 0 0 0 29
Instrumental variable and variable addition based inference in predictive regressions 0 0 1 53 0 0 3 139
Is U.S. real output growth non-normal? A tale of time-varying location and scale 0 1 1 1 0 3 3 3
Joint forecasts of Dow Jones stocks under general multivariate loss function 0 0 0 17 0 1 1 132
LONG MEMORY TESTING IN THE TIME DOMAIN 0 0 3 71 0 1 4 182
Loss Reduction in Point Estimation Problems 0 0 0 1 0 0 0 13
Monitoring Value-at-Risk and Expected Shortfall Forecasts 2 5 15 32 2 6 26 53
Multiple Testing for No Cointegration under Nonstationary Volatility 0 0 0 3 0 2 2 30
Nonlinear IV panel unit root testing under structural breaks in the error variance 0 0 0 3 0 0 0 42
Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions 0 1 1 2 0 1 4 13
On the Dickey–Fuller test with White standard errors 0 0 0 29 0 0 1 94
Optimal forecast intervals under asymmetric loss 0 0 0 28 0 1 3 109
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes 0 0 0 25 0 0 0 83
Panel unit root testing and the martingale difference hypothesis for German stocks 0 0 0 49 0 0 1 223
Pitfalls of post-model-selection testing: experimental quantification 0 1 2 37 1 2 7 119
Predictive regressions under asymmetric loss: Factor augmentation and model selection 0 0 0 7 0 2 7 39
Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests 0 0 0 11 0 1 1 48
Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence 0 0 0 6 0 0 3 27
Residual-augmented IVX predictive regression 0 0 0 3 0 0 2 15
Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances 0 0 0 7 0 1 1 23
Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters 0 0 0 2 0 1 2 10
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 4 22 0 0 5 119
Testing for constant correlation of filtered series under structural change 0 0 1 4 0 0 1 15
Testing for episodic predictability in stock returns 0 0 0 5 0 1 2 27
Testing for no cointegration in vector autoregressions with estimated degree of fractional integration 0 0 0 5 0 2 2 20
Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost 0 0 0 15 1 2 4 69
Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term 0 0 0 38 0 1 3 191
Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss 0 0 0 0 0 0 0 0
The power of unit root tests against nonlinear local alternatives 0 0 1 12 0 0 1 45
Transformed regression-based long-horizon predictability tests 0 0 1 1 0 0 6 6
Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator 0 0 1 6 0 1 3 39
Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy? 0 0 0 16 0 0 1 97
What liquidity do hypothetical price impact curves measure? 0 0 0 0 0 1 2 2
Total Journal Articles 3 9 35 763 7 46 139 3,223

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Statistics updated 2025-04-04