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Jean-Yves Pitarakis

Personal Details

First Name:Jean-Yves
Middle Name:
Last Name:Pitarakis
Suffix:
RePEc Short-ID:ppi10
https://sites.google.com/view/jpitarakis
University of Southampton School of Social Sciences Economics Department Southampton, SO17 1BJ United-Kingdom
Terminal Degree: Department of Economics; Boston University (from RePEc Genealogy)

Affiliation

Economics Division
University of Southampton

Southampton, United Kingdom
http://www.economics.soton.ac.uk/

(+44) 23 80592537
(+44) 23 80593858
Highfield, Southampton SO17 1BJ
RePEc:edi:desotuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Pitarakis, Jean-Yves & Gonzalo, Jesús, 2020. "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics 31553, Universidad Carlos III de Madrid. Departamento de Economía.
  2. Jean-Yves Pitarakis, 2020. "A Novel Approach to Predictive Accuracy Testing in Nested Environments," Papers 2008.08387, arXiv.org.
  3. Pitarakis, Jean-Yves & Gonzalo, Jesús, 2020. "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics 31554, Universidad Carlos III de Madrid. Departamento de Economía.
  4. Pitarakis, Jean-Yves & Gonzalo, Jesús & Da Silva Neto, Anibal Emiliano, 2020. "Uncovering regimes in out of sample forecast errors from predictive regressions," UC3M Working papers. Economics 31555, Universidad Carlos III de Madrid. Departamento de Economía.
  5. Gonzalo, Jesús & Pitarakis, Jean-Yves, 2019. "Predictive Regressions," UC3M Working papers. Economics 28554, Universidad Carlos III de Madrid. Departamento de Economía.
  6. Pitarakis, Jean-Yves, 2012. "Functional cointegration: definition and nonparametric estimation," MPRA Paper 38846, University Library of Munich, Germany.
  7. Pitarakis, Jean-Yves, 2012. "Jointly testing linearity and nonstationarity within threshold autoregressions," MPRA Paper 38845, University Library of Munich, Germany.
  8. Pitarakis, Jean-Yves & Gonzalo, Jesús, 2012. "Estimation and inference in threshold type regime switching models," UC3M Working papers. Economics we1204, Universidad Carlos III de Madrid. Departamento de Economía.
  9. Pitarakis, Jean-Yves, 2011. "Joint Detection of Structural Change and Nonstationarity in Autoregressions," MPRA Paper 29189, University Library of Munich, Germany.
  10. Pitarakis, Jean-Yves & Gonzalo, Jesús, 2010. "Regime specific predictability in predictive regressions," UC3M Working papers. Economics we097844, Universidad Carlos III de Madrid. Departamento de Economía.
  11. Pitarakis, Jean-Yves & Gonzalo, Jesús, 2006. "Threshold effects in cointegrating relationships," UC3M Working papers. Economics we20060621, Universidad Carlos III de Madrid. Departamento de Economía.
  12. Jean-Yves Pitarakis, 2004. "Model Selection Uncertainty and Detection of Threshold Effecs," Econometrics 0409013, University Library of Munich, Germany.
  13. Jean-Yves Pitarakis, 2003. "Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification," Econometrics 0312004, University Library of Munich, Germany.
  14. Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, University Library of Munich, Germany.
  15. GONZALO , Jesus & PITARAKIS , Jean-Yves, 1995. "On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependent Errors," LIDAM Discussion Papers CORE 1995034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  16. GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994. "Comovements in Large Systems," LIDAM Discussion Papers CORE 1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Articles

  1. Jean-Yves Pitarakis, 2017. "A Simple Approach for Diagnosing Instabilities in Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(5), pages 851-874, October.
  2. Jesùs Gonzalo & Jean-Yves Pitarakis, 2017. "Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 202-217, April.
  3. Banerjee Anurag & Pitarakis Jean-Yves, 2014. "Functional cointegration: definition and nonparametric estimation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 1-14, December.
  4. Pitarakis, Jean-Yves, 2014. "A joint test for structural stability and a unit root in autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 577-587.
  5. Pitarakis, Jean-Yves, 2012. "Jointly testing linearity and nonstationarity within threshold autoregressions," Economics Letters, Elsevier, vol. 117(2), pages 411-413.
  6. Jesús Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
  7. Jean-Yves Pitarakis, 2008. "Comment on: Threshold Autoregressions With a Unit Root," Econometrica, Econometric Society, vol. 76(5), pages 1207-1217, September.
  8. Pitarakis Jean-Yves, 2006. "Model Selection Uncertainty and Detection of Threshold Effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-30, March.
  9. Jesús Gonzalo & Jean‐Yves Pitarakis, 2006. "Threshold Effects in Cointegrating Relationships," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 813-833, December.
  10. Jean-Yves Pitarakis, 2004. "Least squares estimation and tests of breaks in mean and variance under misspecification," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 32-54, June.
  11. Jean-Yves Pitarakis & George Tridimas, 2003. "Joint Dynamics of Legal and Economic Integration in the European Union," European Journal of Law and Economics, Springer, vol. 16(3), pages 357-368, November.
  12. Jesús Gonzalo & Jean‐Yves Pitarakis, 2002. "Lag length estimation in large dimensional systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 401-423, July.
  13. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
  14. Pitarakis, Jean-Yves & Tridimas, George, 1999. "Total expenditure endogeneity in a system of demand for public consumption expenditures in the UK," Economic Modelling, Elsevier, vol. 16(2), pages 279-291, April.
  15. Pitarakis, Jean-Yves, 1998. "On the bias of the OLS estimator in a nonstationary dynamic panel data model," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 145-150, June.
  16. Jean-Yves Pitarakis & George Tridimas, 1998. "The allocation of public consumption expenditure in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 5(3), pages 197-200.
  17. Pitarakis, Jean-Yves, 1998. "Moment Generating Functions And Further Exact Results For Seasonal Autoregressions," Econometric Theory, Cambridge University Press, vol. 14(6), pages 770-782, December.
  18. Gonzalo, Jesus & Pitarakis, Jean-Yves, 1998. "On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(1), pages 71-88, February.
  19. Gonzalo, Jesus & Pitarakis, Jean-Yves, 1998. "Specification via model selection in vector error correction models," Economics Letters, Elsevier, vol. 60(3), pages 321-328, September.

Chapters

  1. Jesús Gonzalo & Jean-Yves Pitarakis, 2013. "Estimation and inference in threshold type regime switching models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205, Edward Elgar Publishing.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (13) 2001-09-10 2004-01-25 2004-09-30 2007-03-03 2010-01-30 2011-03-19 2012-05-22 2012-05-22 2019-07-22 2020-09-07 2021-01-04 2021-01-04 2021-01-04. Author is listed
  2. NEP-ETS: Econometric Time Series (10) 2004-01-08 2004-09-30 2007-03-03 2011-03-19 2012-05-22 2012-05-22 2020-09-07 2021-01-04 2021-01-04 2021-01-04. Author is listed
  3. NEP-FOR: Forecasting (2) 2011-03-19 2021-01-04
  4. NEP-ORE: Operations Research (2) 2021-01-04 2021-01-04
  5. NEP-AGR: Agricultural Economics (1) 2012-06-13
  6. NEP-HIS: Business, Economic & Financial History (1) 2012-06-13
  7. NEP-RMG: Risk Management (1) 2004-01-08

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