9
H index
8
i10 index
388
Citations
Jean-Yves Pitarakis : Citation Profile
University of Southampton | RESEARCH PRODUCTION: 22 Articles 22 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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30 years (1994 - 2024). 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:
| Cites to:
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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 |
| International Journal of Forecasting | 2 |
Recent works citing Jean-Yves Pitarakis (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | 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 |
| 2023 | 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 |
| 2023 | Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.00860. Full description at Econpapers || Download paper |
| 2023 | Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151. Full description at Econpapers || Download paper |
| 2024 | The Inflation Attention Threshold and Inflation Surges. (2023). Pfauti, Oliver. In: Papers. RePEc:arx:papers:2308.09480. Full description at Econpapers || Download paper |
| 2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper |
| 2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper |
| 2023 | Recent developments of the autoregressive distributed lag modelling framework. (2023). Cho, Jin Seo ; Shin, Yongcheol ; Greenwoodnimmo, Matthew. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:7-32. Full description at Econpapers || Download paper |
| 2023 | Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645. Full description at Econpapers || Download paper |
| 2023 | Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892. Full description at Econpapers || Download paper |
| 2023 | Penetrating sporadic return predictability. (2023). Xie, Xinling ; Tu, Yundong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002257. Full description at Econpapers || Download paper |
| 2024 | Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach. (2024). Hong, Yongmiao ; Linton, Oliver ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196. Full description at Econpapers || Download paper |
| 2024 | Predictive ability tests with possibly overlapping models. (2024). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000629. Full description at Econpapers || Download paper |
| 2023 | Threshold cointegration and asymmetries between dividends and earnings news. (2023). Sephton, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008061. Full description at Econpapers || Download paper |
| 2024 | Wage – price dynamics and financial market in a disequilibrium macro model: A Keynes – Kaldor – Minsky modeling of recession and inflation using VECM. (2024). Semmler, Willi ; Chen, PU. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:220:y:2024:i:c:p:433-452. Full description at Econpapers || Download paper |
| 2023 | Oil rents and non-oil economic growth in CIS oil exporters. The role of financial development. (2023). Suleymanov, Elchin ; Hasanov, Fakhri J ; Taskin, Dilvin ; Aliyev, Ruslan. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002313. 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 |
| 2023 | On the least squares estimation of multiple-threshold-variable autoregressive models. (2023). Li, Dong ; Zhang, Xinyu ; Tong, Howell. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:118377. Full description at Econpapers || Download paper |
| 2023 | The optimal environmental regulation policy combination for high-quality economic development based on spatial Durbin and threshold regression models. (2023). Wang, Liwen ; Wu, Hecheng ; Lu, Weixue. In: Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development. RePEc:spr:endesu:v:25:y:2023:i:7:d:10.1007_s10668-022-02372-w. Full description at Econpapers || Download paper |
| 2023 | Detecting Changes in Correlation Networks with Application to Functional Connectivity of fMRI Data. (2023). Jeong, Seok-Oh ; Lindquist, Kristen A ; Leinwand, Benjamin ; Baek, Changryong ; Pipiras, Vladas ; Gates, Katheleen M ; Hopfinger, Joseph. In: Psychometrika. RePEc:spr:psycho:v:88:y:2023:i:2:d:10.1007_s11336-023-09908-7. 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 | 2 |
| 2023 | Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 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 nother version. Agregated cites: 1 | paper | |
| 2024 | Out-of-sample predictability in predictive regressions with many predictor candidates.(2024) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | Direct Multi-Step Forecast based Comparison of Nested Models via an Encompassing Test In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2002 | Lag length estimation in large dimensional systems In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 19 |
| 2001 | Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2001 | Lag Length Estimation in Large Dimensional Systems.(2001) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2006 | Threshold Effects in Cointegrating Relationships* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 54 |
| 2006 | Threshold effects in cointegrating relationships.(2006) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 54 | paper | |
| 2017 | A Simple Approach for Diagnosing Instabilities in Predictive Regressions In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 5 |
| 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 nother 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 | 8 |
| 2004 | Model Selection Uncertainty and Detection of Threshold Effecs.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 nother 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 | 9 |
| 2004 | Least squares estimation and tests of breaks in mean and variance under misspecification In: Econometrics Journal. [Full Text][Citation analysis] | article | 36 |
| 2003 | Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification.(2003) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2014 | A joint test for structural stability and a unit root in autoregressions In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
| 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 | 2 |
| 2012 | Jointly testing linearity and nonstationarity within threshold autoregressions.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | 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 | 139 |
| 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 | 11 |
| 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 | 9 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team