8
H index
7
i10 index
351
Citations
Jean-Yves Pitarakis : Citation Profile
University of Southampton | RESEARCH PRODUCTION: 21 Articles 21 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1994 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Yves Pitarakis. | Is cited by:
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Main data
Where Jean-Yves Pitarakis has published?
| Journals with more than one article published | # docs |
|---|---|
| Oxford Bulletin of Economics and Statistics | 3 |
| Journal of Business & Economic Statistics | 2 |
| Economics Letters | 2 |
| Studies in Nonlinear Dynamics & Econometrics | 2 |
Recent works citing Jean-Yves Pitarakis (2023 and 2022)
| Year | Title of citing document |
|---|---|
| 2022 | Partial Sum Processes of Residual-Based and Wald-type Break-Point Statistics in Time Series Regression Models. (2022). Katsouris, Christis. In: Papers. RePEc:arx:papers:2202.00141. Full description at Econpapers || Download paper |
| 2022 | Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150. Full description at Econpapers || Download paper |
| 2022 | Testing for a Threshold in Models with Endogenous Regressors. (2022). Boldea, Otilia ; Rothfelder, Mario P. In: Papers. RePEc:arx:papers:2207.10076. Full description at Econpapers || Download paper |
| 2022 | Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604. Full description at Econpapers || Download paper |
| 2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper |
| 2022 | Structural change tests under heteroskedasticity: Joint estimation versus two?steps methods. (2022). Yamamoto, Yohei ; Perron, Pierre. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:389-411. Full description at Econpapers || Download paper |
| 2022 | Welfare impact of asymmetric price transmission on rice consumers in Bangladesh. (2022). Balie, Jean ; Pede, Valerien O ; Rahman, Mohammad Chhiddikur. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1600-1617. Full description at Econpapers || Download paper |
| 2022 | Panel Threshold Regression with Unobserved Individual-Specific Threshold Effects. (2022). , Peter ; PEter, ; Hong, Shengjie ; Yu, Ping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2352. Full description at Econpapers || Download paper |
| 2022 | Nonparametric inference for quantile cointegrations with stationary covariates. (2022). Wang, Qiying ; Liang, Han-Ying ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:453-482. Full description at Econpapers || Download paper |
| 2023 | Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678. Full description at Econpapers || Download paper |
| 2022 | Building Knowledge in the Oil Market. (2022). Paraskevopoulos, Ioannis ; Corzo, Teresa ; Figuerola-Ferretti, Isabel ; Martn-Bujack, Karin. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:1:p:21582440211068491. Full description at Econpapers || Download paper |
| 2022 | Using structural break inference for forecasting time series. (2022). Osborn, Denise R ; Altansukh, Gantungalag. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:1:d:10.1007_s00181-021-02137-w. Full description at Econpapers || Download paper |
Works by Jean-Yves Pitarakis:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2023 | A Novel Approach to Predictive Accuracy Testing in Nested Environments In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Out of sample predictability in predictive regressions with many predictor candidates.(2020) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2002 | Lag length estimation in large dimensional systems In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 18 |
| 2001 | Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2001 | Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2006 | Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 50 |
| 2006 | Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
| 2017 | A Simple Approach for Diagnosing Instabilities in Predictive Regressions In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 2021 | Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2020 | Uncovering regimes in out of sample forecast errors from predictive regressions.(2020) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2006 | Model Selection Uncertainty and Detection of Threshold Effects In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2004 | Model Selection Uncertainty and Detection of Threshold Effecs.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | Functional cointegration: definition and nonparametric estimation In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Functional cointegration: definition and nonparametric estimation.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1994 | Comovements in Large Systems In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 12 |
| 1995 | Comovements in large systems.(1995) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1995 | On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 1995 | On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors.(1995) In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | Predictive Regressions In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Spurious relationships in high dimensional systems with strong or mild persistence In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
| 2021 | Spurious relationships in high-dimensional systems with strong or mild persistence.(2021) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2010 | Regime specific predictability in predictive regressions In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 6 |
| 2010 | Regime Specific Predictability in Predictive Regressions.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2011 | Regime-Specific Predictability in Predictive Regressions.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2012 | Estimation and inference in threshold type regime switching models In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Estimation and inference in threshold type regime switching models.(2013) In: Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | chapter | |
| 1998 | MOMENT GENERATING FUNCTIONS AND FURTHER EXACT RESULTS FOR SEASONAL AUTOREGRESSIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
| 2008 | Comment on: Threshold Autoregressions With a Unit Root In: Econometrica. [Full Text][Citation analysis] | article | 7 |
| 2004 | Least squares estimation and tests of breaks in mean and variance under misspecification In: Econometrics Journal. [Full Text][Citation analysis] | article | 33 |
| 2003 | Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification.(2003) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2014 | A joint test for structural stability and a unit root in autoregressions In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
| 1999 | Total expenditure endogeneity in a system of demand for public consumption expenditures in the UK In: Economic Modelling. [Full Text][Citation analysis] | article | 4 |
| 2012 | Jointly testing linearity and nonstationarity within threshold autoregressions In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2012 | Jointly testing linearity and nonstationarity within threshold autoregressions.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1998 | Specification via model selection in vector error correction models In: Economics Letters. [Full Text][Citation analysis] | article | 49 |
| 2002 | Estimation and model selection based inference in single and multiple threshold models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 127 |
| 1998 | On the bias of the OLS estimator in a nonstationary dynamic panel data model In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 1998 | On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors. In: International Economic Review. [Citation analysis] | article | 9 |
| 2003 | Joint Dynamics of Legal and Economic Integration in the European Union In: European Journal of Law and Economics. [Full Text][Citation analysis] | article | 11 |
| 2011 | Joint Detection of Structural Change and Nonstationarity in Autoregressions In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1998 | The allocation of public consumption expenditure in the UK In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2017 | Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated April, 29 2023. Contact: CitEc Team