9
H index
9
i10 index
269
Citations
Maastricht University (1% share) | 9 H index 9 i10 index 269 Citations RESEARCH PRODUCTION: 17 Articles 38 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Stephan Smeekes. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 4 |
Econometric Reviews | 4 |
Econometric Theory | 2 |
Journal of Time Series Analysis | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 17 |
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) | 8 |
Research Memorandum / Maastricht University, Graduate School of Business and Economics (GSBE) | 7 |
Year | Title of citing document |
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2022 | . Full description at Econpapers || Download paper |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper |
2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper |
2022 | Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780. Full description at Econpapers || Download paper |
2022 | Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149. Full description at Econpapers || Download paper |
2022 | First-order integer-valued autoregressive processes with Generalized Katz innovations. (2022). Casarin, Roberto ; Carallo, Giulia ; Bassetti, Federico. In: Papers. RePEc:arx:papers:2202.02029. Full description at Econpapers || Download paper |
2022 | A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions. (2022). Jentsch, Carsten ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2204.01373. Full description at Econpapers || Download paper |
2022 | A Simple Bootstrap Method for Panel Data Inferences. (2022). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2205.00577. Full description at Econpapers || Download paper |
2022 | A restricted eigenvalue condition for unit-root non-stationary data. (2022). Wijler, Etienne. In: Papers. RePEc:arx:papers:2208.12990. Full description at Econpapers || Download paper |
2022 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper |
2023 | Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2023). M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Papers. RePEc:arx:papers:2303.16149. Full description at Econpapers || Download paper |
2022 | Estimating dynamic systemic risk measures. (2022). Zakoian, Jean-Michel ; Francq, Christian ; Cantin, Loic. In: Working Papers. RePEc:crs:wpaper:2022-11. Full description at Econpapers || Download paper |
2022 | Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors. (2022). Zhang, Yanfen ; Li, Muyi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:165:y:2022:i:c:s0167947321001559. Full description at Econpapers || Download paper |
2022 | On LASSO for predictive regression. (2022). Shi, Zhentao ; Gao, Zhan ; Lee, Ji Hyung. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:2:p:322-349. Full description at Econpapers || Download paper |
2022 | Predictive analytics for customer repurchase: Interdisciplinary integration of buy till you die modeling and machine learning. (2022). Liang, Ting-Peng ; Chou, Yen-Chun ; Chuang, Howard Hao-Chun. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:2:p:635-651. Full description at Econpapers || Download paper |
2023 | Improving automotive garage operations by categorical forecasts using a large number of variables. (2023). Naim, Mohamed M ; di Cairano-Gilfedder, Carla ; Liu, Ying ; Syntetos, Aris A ; Wang, Shixuan. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:2:p:893-908. Full description at Econpapers || Download paper |
2023 | Using covariates to improve the efficacy of univariate bubble detection methods. (2023). Taylor, Robert ; Korkos, Ioannis ; Kellard, Neil ; Robert, A M ; Astill, Sam. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:342-366. Full description at Econpapers || Download paper |
2022 | Co-integration theory-based cluster time-varying load optimization control model of regional integrated energy system. (2022). Ding, Ning ; Huang, Huang ; Zheng, Yadi ; Zhang, Anan. In: Energy. RePEc:eee:energy:v:260:y:2022:i:c:s0360544222019818. Full description at Econpapers || Download paper |
2021 | Granger causality detection in high-dimensional systems using feedforward neural networks. (2021). Olmo, Jose ; Mancini, Tullio ; Calvo-Pardo, Hector . In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:920-940. Full description at Econpapers || Download paper |
2023 | Interactive R&D spillovers: An estimation strategy based on forecasting-driven model selection. (2023). Simioni, Michel ; Musolesi, Antonio ; Gioldasis, Georgios. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:144-169. Full description at Econpapers || Download paper |
2022 | Measuring 25 years of global equity market co-movement using a time-varying spatial model. (2022). Prange, Philipp ; Peter, Franziska J ; Thomas, . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001115. Full description at Econpapers || Download paper |
2022 | Asymmetric influences on Latin American stock markets: A quantile approach. (2022). Ceretta, Paulo Sergio ; Kruel, Maximiliano. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000238. Full description at Econpapers || Download paper |
2022 | Can unemployment forecasts based on Google Trends help government design better policies? An investigation based on Spain and Portugal. (2022). Cifuentes-Faura, Javier ; Simionescu, Mihaela. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:44:y:2022:i:1:p:1-21. Full description at Econpapers || Download paper |
2023 | Discerning trends in international metal prices in the presence of nonstationary volatility. (2023). Ghoshray, Atanu ; Addison, Tony. In: Resource and Energy Economics. RePEc:eee:resene:v:71:y:2023:i:c:s0928765522000513. Full description at Econpapers || Download paper |
2022 | Testing for Granger causality in quantiles between the wage share in income and productive capacity utilization. (2022). Lima, Gilberto Tadeu ; Marques, Andre M. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:62:y:2022:i:c:p:290-312. Full description at Econpapers || Download paper |
2022 | Statistical disclosure and economic growth: What is the nexus?. (2022). Hodelin, Reynaldo Senra. In: World Development. RePEc:eee:wdevel:v:160:y:2022:i:c:s0305750x22002261. Full description at Econpapers || Download paper |
2022 | Environmental Pollution, Terrorism, and Mortality Rate in China, India, Russia, and Türkiye. (2022). Bildirici, Melike E ; Gen, Sema Yilmaz ; Castanho, Rui Alexandre. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:19:p:12649-:d:933824. Full description at Econpapers || Download paper |
2022 | Identifying and interpreting the factors in factor models via sparsity : Different approaches. (2022). Doz, Catherine ; Despois, Thomas. In: PSE Working Papers. RePEc:hal:psewpa:halshs-03626503. Full description at Econpapers || Download paper |
2022 | Identifying and interpreting the factors in factor models via sparsity : Different approaches. (2022). Doz, Catherine ; Despois, Thomas. In: Working Papers. RePEc:hal:wpaper:halshs-03626503. Full description at Econpapers || Download paper |
2021 | Asymptotics for Time-Varying Vector MA(?) Processes. (2021). GAO, Jiti ; Peng, Bin ; Yan, Yayi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-22. Full description at Econpapers || Download paper |
2021 | Time Series Forecasting Using a Mixture of Stationary and Nonstationary Predictors. (2021). Gao, Jiti ; Hannadige, Sium Bodha ; Silvapulle, Param. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-6. Full description at Econpapers || Download paper |
2022 | A Simple Bootstrap Method for Panel Data Inferences. (2022). Yan, Yayi ; Peng, Bin ; Gao, Jiti. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2022-7. Full description at Econpapers || Download paper |
2022 | A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation. (2022). Linton, Oliver ; Gao, Jiti ; Peng, Bin. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2022-9. Full description at Econpapers || Download paper |
2022 | Deformation characteristics of solid-state benzene as a step towards understanding planetary geology. (2022). Greer, Julia R ; Hodyss, Robert ; Malaska, Michael J ; Gao, Huajian ; Zhong, Lei ; Edwards, Bryce W ; Zhang, Xuan. In: Nature Communications. RePEc:nat:natcom:v:13:y:2022:i:1:d:10.1038_s41467-022-35647-x. Full description at Econpapers || Download paper |
2021 | Conditional asymmetry in Power ARCH($\infty$) models. (2021). Royer, Julien. In: MPRA Paper. RePEc:pra:mprapa:109118. Full description at Econpapers || Download paper |
2022 | Impact of Energy Efficiency on CO2 Emissions: Empirical Evidence from Developing Countries. (2022). Sinha, Avik ; Zafar, Muhammad Wasif ; Kalugina, Olga A ; Khan, Javeria Rehman ; Mirza, Faisal Mehmood. In: MPRA Paper. RePEc:pra:mprapa:111923. Full description at Econpapers || Download paper |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:534. Full description at Econpapers || Download paper |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca . In: CEIS Research Paper. RePEc:rtv:ceisrp:534shoc. Full description at Econpapers || Download paper |
2022 | Machine Learning Dynamic Switching Approach to Forecasting in the Presence of Structural Breaks. (2022). Castle, Jennifer ; Pinto, Jeronymo Marcondes. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:18:y:2022:i:2:d:10.1007_s41549-022-00066-w. Full description at Econpapers || Download paper |
2022 | Forecasting the Japanese macroeconomy using high-dimensional data. (2022). Sueishi, Naoya ; Nakajima, Yoshiki. In: The Japanese Economic Review. RePEc:spr:jecrev:v:73:y:2022:i:2:d:10.1007_s42973-020-00041-z. Full description at Econpapers || Download paper |
2022 | On the impact of serial dependence on penalized regression methods. (2022). Giovannelli, Alessandro ; Chiaromonte, Francesca ; Tonini, Simone. In: LEM Papers Series. RePEc:ssa:lemwps:2022/21. Full description at Econpapers || Download paper |
2022 | Common Drivers of Commodity Futures?. (2022). Walther, Thomas ; Nguyen, Duc Khuong ; Klein, Tony ; Dudda, Tom. In: Working Papers. RePEc:use:tkiwps:2207. Full description at Econpapers || Download paper |
2022 | Robust inference under time?varying volatility: A real?time evaluation of professional forecasters. (2022). Krusebecher, Robinson ; Hanck, Christoph ; Demetrescu, Matei. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:1010-1030. Full description at Econpapers || Download paper |
2022 | How is machine learning useful for macroeconomic forecasting?. (2022). Surprenant, Stephane ; Stevanovic, Dalibor ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:920-964. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Inference for Impulse Responses under Model Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Inference for Impulse Responses under Model Uncertainty.(2017) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2019 | A Justification of Conditional Confidence Intervals In: Papers. [Full Text][Citation analysis] | paper | 5 |
2017 | A Justification of Conditional Confidence Intervals.(2017) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2019 | Autoregressive Wild Bootstrap Inference for Nonparametric Trends In: Papers. [Full Text][Citation analysis] | paper | 5 |
2020 | Autoregressive wild bootstrap inference for nonparametric trends.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2017 | Autoregressive Wild Bootstrap Inference for Nonparametric Trends.(2017) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2020 | A Residual Bootstrap for Conditional Value-at-Risk In: Papers. [Full Text][Citation analysis] | paper | 9 |
2020 | An Automated Approach Towards Sparse Single-Equation Cointegration Modelling In: Papers. [Full Text][Citation analysis] | paper | 5 |
2021 | An automated approach towards sparse single-equation cointegration modelling.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2020 | A dynamic factor model approach to incorporate Big Data in state space models for official statistics In: Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | A dynamic factor model approach to incorporate Big Data in state space models for official statistics.(2021) In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2019 | A General Framework for Prediction in Time Series Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure In: Papers. [Full Text][Citation analysis] | paper | 6 |
2020 | A statistical analysis of time trends in atmospheric ethane In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | A statistical analysis of time trends in atmospheric ethane.(2020) In: Climatic Change. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2019 | High-Dimensional Forecasting in the Presence of Unit Roots and Cointegration In: Papers. [Full Text][Citation analysis] | paper | 2 |
2022 | Lasso Inference for High-Dimensional Time Series In: Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | bootUR: An R Package for Bootstrap Unit Root Tests In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Min(d)ing the President: A text analytic approach to measuring tax news In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Local Projection Inference in High Dimensions In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Sparse High-Dimensional Vector Autoregressive Bootstrap In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Inference in Non-stationary High-Dimensional VARs In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | High-Dimensional Causality for Climatic Attribution In: Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Bootstrap Unit?Root Tests: Comparison and Extensions In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 32 |
2006 | Bootstrap unit root tests: comparison and extensions.(2006) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
2015 | Recent developments in bootstrap methods for dependent data In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2014 | On the Applicability of the Sieve Bootstrap in Time Series Panels In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 7 |
2011 | On the applicability of the sieve bootstrap in time series panels.(2011) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2010 | A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL In: Econometric Theory. [Full Text][Citation analysis] | article | 13 |
2007 | A sieve bootstrap test for cointegration in a conditional error correction model.(2007) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2012 | BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY In: Econometric Theory. [Full Text][Citation analysis] | article | 11 |
2010 | Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2010 | Bootstrap union tests for unit roots in the presence of nonstationary volatility.(2010) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2012 | Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
2015 | Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.(2015) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2011 | Lag length selection for unit root tests in the presence of nonstationary volatility.(2011) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2011 | Cross-sectional dependence robust block bootstrap panel unit root tests In: Journal of Econometrics. [Full Text][Citation analysis] | article | 56 |
2008 | Cross-sectional dependence robust block bootstrap panel unit root tests.(2008) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | paper | |
2016 | Testing for Granger causality in large mixed-frequency VARs In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
2015 | Testing for Granger Causality in Large Mixed-Frequency VARs.(2015) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2015 | Testing for Granger causality in large mixed-frequency VARs.(2015) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2018 | Macroeconomic forecasting using penalized regression methods In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 35 |
2016 | Macroeconomic Forecasting Using Penalized Regression Methods.(2016) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
2017 | Risk Measure Inference In: Post-Print. [Citation analysis] | paper | 12 |
2015 | Risk Measure Inference.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2017 | Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2013 | Detrending Bootstrap Unit Root Tests In: Econometric Reviews. [Full Text][Citation analysis] | article | 6 |
2009 | Detrending bootstrap unit root tests.(2009) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2019 | Robust block bootstrap panel predictability tests In: Econometric Reviews. [Full Text][Citation analysis] | article | 4 |
2013 | Robust block bootstrap panel predictability tests.(2013) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2023 | GLS estimation and confidence sets for the date of a single break in models with trends In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
2021 | Time-varying state correlations in state space models and their estimation via indirect inference In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing In: Research Memorandum. [Full Text][Citation analysis] | paper | 7 |
2011 | Bootstrap sequential tests to determine the stationary units in a panel In: Research Memorandum. [Full Text][Citation analysis] | paper | 17 |
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