Search Results

FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS,
Mehdi Hosseinkouchack and Matei Demetrescu, in Econometric Theory (2021)

A simple nonstationary-volatility robust panel unit root test,
Matei Demetrescu and Christoph Hanck, in Economics Letters (2012)
Keywords: I(1) series; Time-varying volatility; Cross-dependent panel; Nonlinear IV;

Monitoring Value-at-Risk and Expected Shortfall Forecasts,
Yannick Hoga and Matei Demetrescu, in Management Science (2023)
Keywords: risk measures, backtests, sequential monitoring, exact distributions, forecasting

Testing heteroskedastic time series for normality,
Matei Demetrescu and Robinson Kruse, from Verein für Socialpolitik / German Economic Association (2015)

The Power of Unit Root Tests Against Nonlinear Local Alternatives,
Matei Demetrescu and Robinson Kruse, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: Nonlinear models, Stochastic trend, Near integration, Persistent nonlinearity, Local power

Joint forecasts of Dow Jones stocks under general multivariate loss function,
Tansel Alp and Matei Demetrescu, in Computational Statistics & Data Analysis (2010)

Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator,
Matei Demetrescu and Christoph Hanck, in Journal of Business & Economic Statistics (2011)

Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions,
Matei Demetrescu and Benjamin Hillmann, in Journal of Business & Economic Statistics (2022)

(Structural) VAR models with ignored changes in mean and volatility,
Matei Demetrescu and Nazarii Salish, in International Journal of Forecasting (2024)
Keywords: Structural breaks; High-order autoregression; Nonstationarity; Identification; Forecasting practice;

Instrumental variable and variable addition based inference in predictive regressions,
Jörg Breitung and Matei Demetrescu, in Journal of Econometrics (2015)
Keywords: Causality test; Persistence; Integration; Long memory; IV estimation;

Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances,
Matei Demetrescu and Christoph Hanck, in Econometric Reviews (2016)

(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?,
Matei Demetrescu and Uwe Hassler, in Econometric Theory (2016)

Autoregressive spectral estimates under ignored changes in the mean,
Matei Demetrescu and Mehdi Hosseinkouchack, in Journal of Time Series Analysis (2022)

The power of unit root tests against nonlinear local alternatives,
Matei Demetrescu and Robinson Kruse, in Journal of Time Series Analysis (2013)

Multiple Testing for No Cointegration under Nonstationary Volatility,
Matei Demetrescu and Christoph Hanck, in Oxford Bulletin of Economics and Statistics (2018)

Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten,
Uwe Hassler and Matei Demetrescu, in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) (2005)
Keywords: Annual growth rates, nonstationarity, Dickey-Fuller test, loss of power, Jährliche Wachstumsraten, Instationarität, Dickey-Fuller-Test, Güteverlust

Residual-augmented IVX predictive regression,
Matei Demetrescu and Paulo Rodrigues, in Journal of Econometrics (2022)
Keywords: Predictability; Persistence; Persistence change; Bias reduction;

Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests,
Benjamin Born and Matei Demetrescu, in Journal of Time Series Econometrics (2015)
Keywords: adaptive detrending, vector autoregressive process, long-run relation, LR-type test

Effect of neglected deterministic seasonality on unit root tests,
Matei Demetrescu and Uwe Hassler, in Statistical Papers (2007)
Keywords: Neglected seasonal means, Dickey-Fuller test, KPSS test,

Nonlinear IV panel unit root testing under structural breaks in the error variance,
Matei Demetrescu and Christoph Hanck, in Statistical Papers (2013)
Keywords: Panel unit roots, Nonlinear instrumental variables, Structural breaks, Heteroskedasticity, Eicker-White standard errors,

Bias correction for the regression-based LM fractional integration test,
Matei Demetrescu and Adina Tarcolea, in AStA Advances in Statistical Analysis (2008)
Keywords: Long memory testing, Small-sample behavior, Bias approximation,

Testing for constant correlation of filtered series under structural change,
Matei Demetrescu and Dominik Wied, in The Econometrics Journal (2019)
Keywords: Bootstrap, Estimation error, Partial sums, Structural break, Two-step procedure

Inference on the long-memory properties of time series with non-stationary volatility,
Matei Demetrescu and Philipp Sibbertsen, in Economics Letters (2016)
Keywords: Time-varying variance; Heteroskedasticity; Persistence; Fractional integration; Modulated process;

Residual-augmented IVX predictive regression,
Paulo Rodrigues and Matei Demetrescu, from Banco de Portugal, Economics and Research Department (2016)

Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility,
Paulo Rodrigues and Matei Demetrescu, from Banco de Portugal, Economics and Research Department (2018)

Testing for Episodic Predictability in Stock Returns,
Paulo Rodrigues and Matei Demetrescu, from Banco de Portugal, Economics and Research Department (2019)

Extensions to IVX methods of inference for return predictability,
Paulo Rodrigues and Matei Demetrescu, from Banco de Portugal, Economics and Research Department (2021)

Cross-Sectional Error Dependence in Panel Quantile Regressions,
Paulo Rodrigues and Matei Demetrescu, from Banco de Portugal, Economics and Research Department (2022)

Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility,
Matei Demetrescu and Philipp Sibbertsen, from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2014)
Keywords: Time-varying variance, Heteroskedasticity, Persistence, Fractional integration, Modulated process

Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence,
Matei Demetrescu, Christoph Roling and Anna Titova, in Journal of Applied Econometrics (2021)

Bias corrections for exponentially transformed forecasts: Are they worth the effort?,
Matei Demetrescu, Vasyl Golosnoy and Anna Titova, in International Journal of Forecasting (2020)
Keywords: Bias correction; Linear autoregression; Linex forecast; Log transformation; Volatility forecast;

Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility,
Christoph Hanck, Matei Demetrescu and Robinson Kruse, from Verein für Socialpolitik / German Economic Association (2015)

Fixed-b Inference in the Presence of Time-Varying Volatility,
Matei Demetrescu, Christoph Hanck and Robinson Kruse, from Department of Economics and Business Economics, Aarhus University (2016)
Keywords: Hypothesis testing, HAC estimation, HAR testing, Bandwidth, Robustness

IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance,
Christoph Hanck, Matei Demetrescu and Adina Tarcolea, from Verein für Socialpolitik / German Economic Association (2012)

Testing for no cointegration in vector autoregressions with estimated degree of fractional integration,
Matei Demetrescu, Vladimir Kusin and Nazarii Salish, in Economic Modelling (2022)
Keywords: Fractional VAR model; Persistence; Strong and weak cointegration; Weak exogeneity; Simultaneity; Nonparametric estimator; Long autoregression;

LONG MEMORY TESTING IN THE TIME DOMAIN,
Matei Demetrescu, Vladimir Kuzin and Uwe Hassler, in Econometric Theory (2008)

Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost,
Matei Demetrescu, Uwe Hassler and Adina Tarcolea, in Journal of Applied Statistics (2010)
Keywords: panel KPSS-type test, cross-correlation, inflation dynamics,

Combining Significance of Correlated Statistics with Application to Panel Data*,
Matei Demetrescu, Uwe Hassler and Adina Tarcolea, in Oxford Bulletin of Economics and Statistics (2006)

Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models,
Matei Demetrescu and Robinson Robinson Kruse-Becher, from Department of Economics and Business Economics, Aarhus University (2021)
Keywords: Distribution testing, Probability integral transformation, Local standardization, Nonparametric estimation, Heteroskedasticity and autocorrelation robust inference

Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts,
Matei Demetrescu and Mu-Chun Wang, in Oxford Bulletin of Economics and Statistics (2014)

Tests of no cross-sectional error dependence in panel quantile regressions,
Matei Demetrescu, Mehdi Hosseinkouchack and Paulo Rodrigues, from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen (2023)
Keywords: Cross-unit correlation, conditional quantile, factor model, exogeneity

Transformed regression-based long-horizon predictability tests,
Matei Demetrescu, Paulo Rodrigues and Robert Taylor, in Journal of Econometrics (2023)
Keywords: Long-horizon predictive regression; IVX estimation; (Un)conditional heteroskedasticity; Unknown regressor persistence; Endogeneity; Residual augmentation;

Loss Reduction in Point Estimation Problems,
Heike Hans-Dieter and Matei Demetrescu, in Stochastics and Quality Control (2006)
Keywords: Loss function, Cost-of-error function, Estimation risk, Risk-bias, Asymptotics, Resampling

Predictive regressions under asymmetric loss: Factor augmentation and model selection,
Matei Demetrescu and Sinem Hacioglu Hoke, in International Journal of Forecasting (2019)
Keywords: Predictive regressions; Many predictors; Cost-of-error function; Latent variables; Volatility;

Pitfalls of post-model-selection testing: experimental quantification,
Matei Demetrescu, Uwe Hassler and Vladimir Kuzin, in Empirical Economics (2011)
Keywords: Pre-test estimator, Model selection, Empirical size, C12, C51, C52,

Asymptotic normal tests for integration in panels with cross-dependent units,
Uwe Hassler, Matei Demetrescu and Adina Tarcolea, in AStA Advances in Statistical Analysis (2011)
Keywords: Heterogeneous panel, Cross-correlation, Augmented LM test, SUR and GLS,

Homogenous vs. heterogenous transition functions in smooth transition regressions: A LM-type test,
Matei Demetrescu, Julian Leppin and Stefan Reitz, from Kiel Institute for the World Economy (IfW Kiel) (2017)
Keywords: STR model, multivariate, nonlinear models, testing

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term,
Matei Demetrescu, Helmut Lütkepohl and Pentti Saikkonen, in Econometrics Journal (2009)

Predictive regressions under asymmetric loss: factor augmentation and model selection,
Matei Demetrescu and Sinem Hacioglu Hoke, from Bank of England (2018)
Keywords: Predictive regressions; many predictors; cost-of-error function; latent variables; volatility

Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term,
Matei Demetrescu, Helmut Luetkepohl and Pentti Saikkonen, from European University Institute (2008)
Keywords: Cointegration analysis, likelihood ratio test, vector autoregressive model, vector error correction model

Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters,
Matei Demetrescu, Christoph Hanck and Robinson Kruse‐Becher, in Journal of Applied Econometrics (2022)

IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE,
Matei Demetrescu, Christoph Hanck and Adina I. Tarcolea, in Journal of Time Series Analysis (2014)

Testing for Episodic Predictability in Stock Returns,
Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and AM Robert Taylor, from University of Essex, Essex Business School (2019)
Keywords: predictive regression; rolling and recursive IV estimation; persistence; endogeneity; conditional and unconditional heteroskedasticity

Extensions to IVX Methods of Inference for Return Predictability,
Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and AM Robert Taylor, from University of Essex, Essex Business School (2022)
Keywords: Predictive regression; IVX estimation; (Un)conditional heteroskedasticity; Subsample tests; Unknown regressor persistence; Endogeneity; Residual wild bootstrap

Transformed Regression-based Long-Horizon Predictability Tests,
Matei Demetrescu, Paulo Rodrigues and AM Robert Taylor, from University of Essex, Essex Business School (2022)
Keywords: long-horizon predictive regression; IVX estimation; (un)conditional heteroskedasticity; unknown regressor persistence; endogeneity; residual augmentation

Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2SLS Testing Approach,
Matei Demetrescu, Paulo Rodrigues and AM Robert Taylor, from University of Essex, Essex Business School (2024)
Keywords: Predictive regression, Conditional quantile, Unknown persistence, Endogeneity, Time-varying volatility

Testing for episodic predictability in stock returns,
Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and Robert Taylor, in Journal of Econometrics (2022)
Keywords: Predictive regression; Rolling and recursive IV estimation; Persistence; Endogeneity; Conditional and unconditional heteroskedasticity;

Extensions to IVX methods of inference for return predictability,
Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and Robert Taylor, in Journal of Econometrics (2023)
Keywords: Predictive regression; IVX estimation; (Un)conditional heteroskedasticity; Subsample tests; Unknown regressor persistence; Endogeneity; Residual wild bootstrap;

Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions,
Matei Demetrescu, Julian S. Leppin and Stefan Reitz, in Econometric Reviews (2021)

Determining the Parameters of a Multinomial Distribution: The Fiducial Approach,
Heike Hans-Dieter, Târcolea Constantin, Matei Demetrescu and Tarcolea Adina-Ioana, in Stochastics and Quality Control (2005)
Keywords: Fiducial approach, multinomial distribution, Dirichlet distribution

The Concept of Highest and Best Use in Valuation of Inventories,
Traian Cristian Demetrescu, in The Valuation Journal (2012)

A basic pre-condition of development,
Mihai C. Demetrescu, in Intereconomics – Review of European Economic Policy (1966 - 1988) (1970)
Keywords: Marketing

Entropy and Bioeconomics — The New Paradigm Nicholas Georgescu‐Roegen,
J.C. Dragan and M.C. Demetrescu, in International Journal of Social Economics (1988)

Desacralization of a National Day – religious and identity symbols in the commemorations of December 1st,
Antonia Matei, in Revista Romana de Jurnalism si Comunicare - Romanian Journal of Journalism and Communication (2013)
Keywords: Commemoration, media rituals, national identity, framing theory.

Competition and Economic Growth - An Econometric Analysis,
Cristiana Matei, in Hyperion Economic Journal (2018)
Keywords: Competition; Gross Domestic Product; Dynamic Panel Data

Blockchain Technology – Support for Collaborative Systems,
Gheorghe Matei, in Informatica Economica (2020)
Keywords: blockchain, Bitcoin, hash, peer-to-peer, proof-of-work, proof-of-stake, private key, public key

Column-Oriented Databases, an Alternative for Analytical Environment,
Gheorghe Matei, in Database Systems Journal (2010)
Keywords: column-oriented database, row-oriented database, data warehouse, Business Intelligence, symmetric multiprocessing, massively parallel processing.

THE MARK OF UNEXPECTED FINANCIAL CRISIS LEFT UPON CLOUD COMPUTING,
Matei Marian, in Revista Economica (2012)

Book Review,
Matei Alina, in Journal of Official Statistics (2021)

AN EXAMPLE-BASED, DIAGNOSTIC INVESTIGATION OF VALUE CREATION AND VALUE DESTRUCTION BY CORPORATE ACTIVISTS,
Matei Gaburici, in Journal of Public Administration, Finance and Law (2014)
Keywords: Shareholder value, value creation/ destruction, buyback, merger proposal, spin off, activism

Economic Growth Also Depends on the Quality of Workforce,
Cristiana Matei, in Manager Journal (2018)
Keywords: -

MANAGEMENTUL STRATEGIC AL RESURSELOR UMANE ÎN COMPANIILE VITICOLE MICI ŞI MIJLOCII,
Ștefan Matei, in Management Intercultural (2013)
Keywords: Companii viticole, Companii mici si mijlocii, Management strategic, Resurse umane, Implementare, Dezvoltare forte umane

Construirea de parteneriate strategice în marketingul produselor viticole,
Matei Ștefan, in Management Intercultural (2013)
Keywords: Vin , marketingul vinurilor , distribuitori , parteneriate , relație de afaceri , canal de marketing

Analiza mediului extern ce influenteaza activitatea companiilor viticole din zona Moldovei,
Stefan Matei, in Management Intercultural (2014)
Keywords: factori legislativie, factori socio- culturari, somaj, inflatie, preturi, curs valutar

MARKETING IMPLICATION IN WINE ECONOMY,
Ştefan Matei, in Management Intercultural (2014)
Keywords: Viticulture, Wine-Economy, Marketing, The Marketing Mix

ANALYSIS OF WINE SECTOR: DEVELOPMENTS AND PROSPECTS THE WORLD AND IN EUROPE,
Ştefan Matei, in Management Intercultural (2014)
Keywords: Wine sector, Viticulture, Production, Consumption, Commerce

CONCEPTUAL CLARIFICATION OF STRATEGIC HUMAN RESOURCE MANAGEMENT AND THE WAY IT IS IMPLEMENTED,
Ștefan Matei, in SEA - Practical Application of Science (2013)
Keywords: Management, Strategy, Human resource planning, Strategic thinking Business

STRATEGIES TO PROMOTE WINE PRODUCTS ON FOREIGN MARKETS THROUGH THE NETWORK DISTRIBUTION OF GOODS,
Stefan Matei, in SEA - Practical Application of Science (2013)
Keywords: Channels and trade marketing, Romanian Wine, Marketing strategy, Direct marketing, Indirect , arketing, Advertising, winegrowing products, International trade markets

Conceptual clarification of planning and strategic thinking in human resource management,
Matei Ștefan, in SEA - Practical Application of Science (2013)
Keywords: human resource, strategies, planning, evaluation, control, business environment

PROMOTION STRATEGIES IN WINE MARKETING,
Ştefan Matei, in SEA - Practical Application of Science (2014)
Keywords: Wine industry, Wine marketing, Promotion strategy, Promotional mix, Promotional

PROFILING THE WINE CONSUMER MARKET: CASE STUDIES ON USA AND ROMANIA,
Ştefan Matei, in SEA - Practical Application of Science (2014)
Keywords: Wine industry, Wine marketing, Consumer profiles, Market segmentation process

THE PROMOTIONAL MIX IN A MARKETING-ORIENTED WINY COMPANY,
Ştefan Matei, in SEA - Practical Application of Science (2014)
Keywords: Wine industry, Wine marketing, Promotional mix, 4Ps, 8Ps

COMMEMORATING A HISTORICAL DAY: JANUARY 24th IN THE ROMANIAN NEWSPAPERS,
Antonia Matei, in SEA - Practical Application of Science (2014)
Keywords: Commemoration, Commemorative journalism, The framing theory, Media frames

Tourism and social innovation in a pandemic context,
Carmen Matei, in Romanian Journal of Economics (2021)
Keywords: index; alternative; social innovation; quality of life; creative education

Book Review / Recenzie de carte: Silviu Neguţ & Marius-Cristian Neacşu, Geostrategia, Bucureşti, Editura Meteor Press, 2022,
Matei David, in Revista OEconomica (2022)

Analiza principalilor concurenti ai companiilor vini – viticole din zona de est a Romaniei,
Stefan Matei, in Management Intercultural (2014)
Keywords: producatori, strategii, clienti, piata, fidelizare, specializare

Does pandemic risk affect yield spreads in the EMU?,
Iuliana Matei, in International Economics (2022)
Keywords: Sovereign bond market;Debt;Pandemic risks;Heterogenous dynamic panel data models;Euro area

Prices and output co-movements: an empirical investigation for the CEECs,
Iuliana Matei, from HAL (2008)
Keywords: CEECs,European monetary integration,co-movements,AR models,CEECs.,Intégration monétaire européenne,co-mouvements,modèles AR,PECO.

Smart Contracts – Support for Successful Businesses,
Gheorghe Matei, in Informatica Economica (2022)
Keywords: Smart contracts, Blockchain, Hash code, Immutability, Consensus, Oracles

Finance as a driver of growth? Evidence from EU countries,
Iuliana Matei, in Revue d'économie politique (2014)
Keywords: bond markets, economic growth, panel vector error correction