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Unit root testing in heteroscedastic panels using the Cauchy estimator

Demetrescu, Matei; Hanck, Christoph - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 256-264

Persistent link: https://www.econbiz.de/10009657345

A simple nonstationary-volatility robust panel unit root test

Demetrescu, Matei; Hanck, Christoph - In: Economics letters 117 (2012) 1, pp. 10-13

Persistent link: https://www.econbiz.de/10009697993

IV-based cointegration testing in dependent panels with time-varying variance

Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit time-varying volatility. Worse yet, distortions...

Persistent link: https://www.econbiz.de/10009672473

Unit root testing in heteroskedastic panels using the Cauchy estimator

Demetrescu, Matei; Hanck, Christoph - 2010 - Preliminary version: February 27, 2010

Persistent link: https://www.econbiz.de/10008904998

Multiple testing for no cointegration under nonstationary volatility

Demetrescu, Matei; Hanck, Christoph - In: Oxford bulletin of economics and statistics 80 (2018) 3, pp. 485-513

Persistent link: https://www.econbiz.de/10011969530

Robust inference for near-unit root processes with time-varying error variances

Demetrescu, Matei; Hanck, Christoph - In: Econometric reviews 35 (2016) 5/7, pp. 751-781

Persistent link: https://www.econbiz.de/10011589896

Robust inference under time-varying volatility : a real-time evaluation of professional forecasters

Demetrescu, Matei; Hanck, Christoph; Kruse-Becher, Robinson - In: Journal of applied econometrics 37 (2022) 5, pp. 1010-1030

Persistent link: https://www.econbiz.de/10013464645

Fractional integration and cointegration testing using the sample mean

Demetrescu, Matei - 2008

Persistent link: https://www.econbiz.de/10003963300

Enhancing the local power of IVX-based tests in predictive regressions

Demetrescu, Matei - In: Economics letters 124 (2014) 2, pp. 269-273

Persistent link: https://www.econbiz.de/10010493640

What liquidity do hypothetical price impact curves measure?

Demetrescu, Matei - In: Applied financial economics letters 2 (2006) 5, pp. 301-303

Persistent link: https://www.econbiz.de/10003369890