Matei Demetrescu

Institution: TU Dortmund, Fakultät Statistik

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://www.statistik.tu-dortmund.de/econometrics.html

First Publication: 2006

Most Recent: 2025

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	A (2x)	B (1x)	C (½x)	Total	Percentile
Last 5 Years	7.40	5.38	0.34	13.12	97%
Last 10 Years	7.40	11.10	0.84	19.34	97%
All Time	11.44	13.45	2.35	27.25	95%

Publication Statistics

Raw Publications 26

Coauthorship-Adjusted Count 23.90

Publications (26)

Year	Article	Journal	Tier	Authors
2025	Is U.S. real output growth non-normal? A tale of time-varying location and scale	Journal of Economic Dynamics and Control	B	2
2024	(Structural) VAR models with ignored changes in mean and volatility	International Journal of Forecasting	B	2
2023	Extensions to IVX methods of inference for return predictability	Journal of Econometrics	A	4
2023	Transformed regression-based long-horizon predictability tests	Journal of Econometrics	A	3
2023	Monitoring Value-at-Risk and Expected Shortfall Forecasts	Management Science	B	2
2022	Testing for no cointegration in vector autoregressions with estimated degree of fractional integration	Economic Modeling	C	3
2022	Testing for episodic predictability in stock returns	Journal of Econometrics	A	4
2022	Residual-augmented IVX predictive regression	Journal of Econometrics	A	2
2022	Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions	Journal of Business & Economic Statistics	A	2
2022	Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters	Journal of Applied Econometrics	B	3
2021	FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS	Econometric Theory	B	2
2021	Reevaluating the prudence of economic forecasts in the EU: The role of instrument persistence	Journal of Applied Econometrics	B	3
2020	Bias corrections for exponentially transformed forecasts: Are they worth the effort?	International Journal of Forecasting	B	3
2019	Predictive regressions under asymmetric loss: Factor augmentation and model selection	International Journal of Forecasting	B	2
2019	Testing for constant correlation of filtered series under structural change	The Econometrics Journal	B	2
2018	Multiple Testing for No Cointegration under Nonstationary Volatility	Oxford Bulletin of Economics and Statistics	B	2
2016	(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?	Econometric Theory	B	2
2016	Inference on the long-memory properties of time series with non-stationary volatility	Economics Letters	C	2
2016	Directed Tests of No Cross‐Sectional Correlation in Large‐N Panel Data Models	Journal of Applied Econometrics	B	2
2015	Instrumental variable and variable addition based inference in predictive regressions	Journal of Econometrics	A	2
2014	Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts	Oxford Bulletin of Economics and Statistics	B	2
2014	Enhancing the local power of IVX-based tests in predictive regressions	Economics Letters	C	1
2012	A simple nonstationary-volatility robust panel unit root test	Economics Letters	C	2
2011	Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator	Journal of Business & Economic Statistics	A	2
2008	LONG MEMORY TESTING IN THE TIME DOMAIN	Econometric Theory	B	3
2006	Combining Significance of Correlated Statistics with Application to Panel Data*	Oxford Bulletin of Economics and Statistics	B	3