Jean-Yves Pitarakis
Personal Details
First Name: | Jean-Yves |
Middle Name: | |
Last Name: | Pitarakis |
Suffix: | |
RePEc Short-ID: | ppi10 |
[This author has chosen not to make the email address public] | |
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 Kingdomhttp://www.economics.soton.ac.uk/
RePEc:edi:desotuk (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Jean-Yves Pitarakis, 2023. "Direct Multi-Step Forecast based Comparison of Nested Models via an Encompassing Test," Papers 2312.16099, arXiv.org.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2023.
"Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates,"
Papers
2302.02866, arXiv.org, revised Oct 2023.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2024. "Out-of-sample predictability in predictive regressions with many predictor candidates," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1166-1178.
- Pitarakis, Jean-Yves, 2020. "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics 31554, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pitarakis, Jean-Yves, 2020.
"Uncovering regimes in out of sample forecast errors from predictive regressions,"
UC3M Working papers. Economics
31555, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021. "Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
- Pitarakis, Jean-Yves, 2020.
"Spurious relationships in high dimensional systems with strong or mild persistence,"
UC3M Working papers. Economics
31553, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2021. "Spurious relationships in high-dimensional systems with strong or mild persistence," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1480-1497.
- Jean-Yves Pitarakis, 2020. "A Novel Approach to Predictive Accuracy Testing in Nested Environments," Papers 2008.08387, arXiv.org, revised Oct 2023.
- Pitarakis, Jean-Yves, 2019. "Predictive Regressions," UC3M Working papers. Economics 28554, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pitarakis, Jean-Yves, 2012.
"Functional cointegration: definition and nonparametric estimation,"
MPRA Paper
38846, University Library of Munich, Germany.
- Banerjee Anurag & Pitarakis Jean-Yves, 2014. "Functional cointegration: definition and nonparametric estimation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 507-520, December.
- Pitarakis, Jean-Yves, 2012.
"Estimation and inference in threshold type regime switching models,"
UC3M Working papers. Economics
we1204, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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.
- Pitarakis, Jean-Yves, 2012.
"Jointly testing linearity and nonstationarity within threshold autoregressions,"
MPRA Paper
38845, University Library of Munich, Germany.
- Pitarakis, Jean-Yves, 2012. "Jointly testing linearity and nonstationarity within threshold autoregressions," Economics Letters, Elsevier, vol. 117(2), pages 411-413.
- Pitarakis, Jean-Yves, 2011. "Joint Detection of Structural Change and Nonstationarity in Autoregressions," MPRA Paper 29189, University Library of Munich, Germany.
- Pitarakis, Jean-Yves, 2010.
"Regime specific predictability in predictive regressions,"
UC3M Working papers. Economics
we097844, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
- Pitarakis, Jean-Yves, 2006.
"Threshold effects in cointegrating relationships,"
UC3M Working papers. Economics
we20060621, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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.
- Jean-Yves Pitarakis, 2004.
"Model Selection Uncertainty and Detection of Threshold Effecs,"
Econometrics
0409013, University Library of Munich, Germany.
- 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.
- Jean-Yves Pitarakis, 2003.
"Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification,"
Econometrics
0312004, University Library of Munich, Germany.
- 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.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001.
"Lag Length Estimation in Large Dimensional Systems,"
Econometrics
0108002, University Library of Munich, Germany.
- 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.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, University Library of Munich, Germany.
- 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).
- Pitarakis, Jean-Yves, 1995. "On the exact moments of non-standard asymptotic distributions in non stationary autoregressions with dependent errors," DES - Working Papers. Statistics and Econometrics. WS 4513, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gonzalo, J. & Pitaris, J.Y., 1995. "On the Exact Moments of Non-Standard Asymptotic Distributions in Non Stationary Autoregressions with Dependant Errors," Papers 35, Boston University - Department of Economics.
- 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).
- Pitarakis, Jean-Yves, 1995. "Comovements in large systems," DES - Working Papers. Statistics and Econometrics. WS 5825, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
Articles
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2024.
"Out-of-sample predictability in predictive regressions with many predictor candidates,"
International Journal of Forecasting, Elsevier, vol. 40(3), pages 1166-1178.
- Pitarakis, Jean-Yves, 2020. "Out of sample predictability in predictive regressions with many predictor candidates," UC3M Working papers. Economics 31554, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2023. "Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates," Papers 2302.02866, arXiv.org, revised Oct 2023.
- Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021.
"Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
- Pitarakis, Jean-Yves, 2020. "Uncovering regimes in out of sample forecast errors from predictive regressions," UC3M Working papers. Economics 31555, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2021.
"Spurious relationships in high-dimensional systems with strong or mild persistence,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1480-1497.
- Pitarakis, Jean-Yves, 2020. "Spurious relationships in high dimensional systems with strong or mild persistence," UC3M Working papers. Economics 31553, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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.
- 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.
- Banerjee Anurag & Pitarakis Jean-Yves, 2014.
"Functional cointegration: definition and nonparametric estimation,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 507-520, December.
- Pitarakis, Jean-Yves, 2012. "Functional cointegration: definition and nonparametric estimation," MPRA Paper 38846, University Library of Munich, Germany.
- 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.
- Pitarakis, Jean-Yves, 2012.
"Jointly testing linearity and nonstationarity within threshold autoregressions,"
Economics Letters, Elsevier, vol. 117(2), pages 411-413.
- Pitarakis, Jean-Yves, 2012. "Jointly testing linearity and nonstationarity within threshold autoregressions," MPRA Paper 38845, University Library of Munich, Germany.
- 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.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010. "Regime Specific Predictability in Predictive Regressions," MPRA Paper 29190, University Library of Munich, Germany.
- Pitarakis, Jean-Yves, 2010. "Regime specific predictability in predictive regressions," UC3M Working papers. Economics we097844, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jean-Yves Pitarakis, 2008. "Comment on: Threshold Autoregressions With a Unit Root," Econometrica, Econometric Society, vol. 76(5), pages 1207-1217, September.
- 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.
- Jean-Yves Pitarakis, 2004. "Model Selection Uncertainty and Detection of Threshold Effecs," Econometrics 0409013, University Library of Munich, Germany.
- 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.
- Pitarakis, Jean-Yves, 2006. "Threshold effects in cointegrating relationships," UC3M Working papers. Economics we20060621, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- 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.
- Jean-Yves Pitarakis, 2003. "Least Squares Estimation and Tests of Breaks in Mean and Variance under Misspecification," Econometrics 0312004, University Library of Munich, Germany.
- 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.
- 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.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108003, University Library of Munich, Germany.
- Jesus Gonzalo & Jean-Yves Pitarakis, 2001. "Lag Length Estimation in Large Dimensional Systems," Econometrics 0108002, University Library of Munich, Germany.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
Chapters
- 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.
- Pitarakis, Jean-Yves, 2012. "Estimation and inference in threshold type regime switching models," UC3M Working papers. Economics we1204, Universidad Carlos III de Madrid. Departamento de EconomÃa.
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 17 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.- NEP-ECM: Econometrics (14) 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 2024-01-15. Author is listed
- NEP-ETS: Econometric Time Series (11) 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 2023-03-06. Author is listed
- NEP-FOR: Forecasting (3) 2011-03-19 2021-01-04 2024-01-15
- NEP-ORE: Operations Research (2) 2021-01-04 2021-01-04
- NEP-AGR: Agricultural Economics (1) 2012-06-13
- NEP-HIS: Business, Economic and Financial History (1) 2012-06-13
- NEP-RMG: Risk Management (1) 2004-01-08
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