Office hours:

By appointment

Lectures:

For current lectures see Univis

Brief profile:

Biosketch

I studied engineering and business administration at the "Politehnica" University in Bucharest and graduated in 2000 as best of my class. After a brief period at the Technical University in Darmstadt as a research and teaching assistant, I started to work on my PhD under the supervision of Uwe Hassler at the Goethe University in Frankfurt. 

In 2005, I obtained my PhD in econom(etr)ics; the PhD thesis consists of four papers dealing with misspecifications in models with seasonal deterministics and issues in forecasting under asymmetric loss functions. Having chosen to pursue an academic career, I went on as a post-doc researcher in Frankfurt. During this period I started focussing on panels with cross-unit dependence. 

During the academic year 2007-2008, I was a Max Weber fellow at the European University Institute in Florence. My mentor during the stay in Tuscany was Helmut Lütkepohl. In summer 2008, I returned to Frankfurt on a position as junior professor for applied econometrics, and moved to the University of Bonn in 2010, where I was a professor at the Hausdorff Center for Mathematics. I joined the University of Kiel in April 2014. 

Teaching

I believe a student's understanding of applied statistics and econometrics can benefit a lot from treating econometric models and methods with mathematical rigor. Rigor, however, is just means to an end, namely the successful application of statistical methods.  Please consult the teaching section for more details on specific courses; see above for courses I'm teaching this semester.

Research focuses

Panel data with cross-sectional dependence; to a lesser extent, forecssting. While my research interests lie mainly with the development of econometric methods, I try to apply them meaningfully to real-world problems.

Third-party funding

• DFG: "Zeitvariierende Dynamik in Paneldaten mit stochastischen Trends," gemeinsam mit Christoph Hanck (Uni Duisburg-Essen); 2016-2018, Projektmitarbeiterin:  Danvee Floro, M.Sc.
• DFG: "Zeitvariierende Volatilität in Paneldaten mit stochastischen Trends," gemeinsam mit Christoph Hanck (Uni Duisburg-Essen); 2014-2016, abgeschlossen. (Ehemalige Projektmitarbeiterin:  Danvee Floro, M.Sc.)
• DFG: "Approximation und Aggregation bei der Modellierung und Vorhersage persistenter Zeitreihen,'' gemeinsam mit Uwe Hassler (Uni Frankfurt); 2012-2015, abgeschlossen. (Ehemaliger Projektmitarbeiter: Nazarii Salish)

Editor

Statistics: A Journal of Theoretical and Applied Statistics (co-editor)

Computational Statistics

Selected publications (see CV for complete list):

• Demetrescu, M., I. Georgiev, P.M.M. Rodrigues and A.M.R. Taylor (2020), Testing for Episodic Predictability in Stock Returns. Journal of Econometrics forthcoming. 
• Demetrescu, M. and U. Homm (2016), Tests for No Cross-Sectional Error Correlation in Large-N Panel Data Models. Journal of Applied Econometrics 31 (1), 4-31.
• Demetrescu, M. and U. Hassler (2016), (When) Do Long Autoregressions Account for Neglected Changes in Parameters? Econometric Theory 32(6), 1317-1348.
• Breitung, J. and M. Demetrescu (2015), Instrumental Variable and Variable Addition Based Inference in Predictive Regressions. Journal of Econometrics 187 (1), 358-375. Companion  working paper. 

• Demetrescu, M. and C. Hanck  (2012), Unit Root Testing in Heteroskedastic Panels using the Cauchy Estimator. Journal of Business and Economic Statistics 30 (2), 256-264.

• Demetrescu, M., V. Kuzin and U. Hassler (2008), Long Memory Testing in the Time Domain. Econometric Theory 24 (1), 176-215. Companion working paper

Working papers

• Nonlinear Predictability of Stock Returns? Parametric vs. nonparametric inference in predictive regressions, with B. Hillmann
• Robust Inference under Time-Varying Volatility: A Real-Time Evaluation of Professional Forecasters, with C. Hanck and R. Kruse  (we're currently revising)
• Inference on the Asymmetry of Loss Functions with Persistent Instruments, with C. Roling
• Testing for constant correlation of filtered series under structural change, with D. Wied; published as "Testing for constant correlation of filtered series under structural change", The Econometrics Journal 22(1) 2019, 10–33.
• Finite-sample size control of IVX-based tests in predictive regressions, with M. Hosseinkouchack
• Robust fixed-b testing under time-varying volatility, with C. Hanck and R. Kruse
• Residual-augmented IVX predictive regression, with P.M.M. Rodrigues (we're currently revising)
• Homogenous vs. Heterogenous Transition Functions in Smooth Transition Regressions: An LM-Type Test, with J. Leppin and S. Reitz (we're currently revising)
• Bias Corrections for Exponentially Transformed Forecasts: Are they worth the effort? with V. Golosnoy and A. Titova; published as Bias corrections for exponentially transformed forecasts: Are they worth the effort?, International Journal of Forecasting forthcoming.
• Testing the Fractionally Integrated Hypothesis using M Estimation, with P.M.M. Rodrigues and A. Rubia
• On the Long-Memory Properties of Modulated Processes, with P. Sibbertsen; published as "Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility"; Economics Letters 144 2016, 80–84
• Nonstationary-Volatility Robust Non-Cointegration Tests with an Application to Cross-Dependent Panels, with C. Hanck; published as "Multiple Testing for No Cointegration under Nonstationary Volatility"; Oxford Bulletin of Economics and Statistics  80(3) 2018, 485-513
• Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss, with C. Roling (we're currently revising)
• Regression-Based Fractional Cointegration Testing under Estimated Degree of Integration, with V. Kuzin and N. Salish (we're currently revising)
• Factor-Based Forecasting under Asymmetric Loss, with S. Hacioglu Hoke; published as "Predictive regressions under asymmetric loss: Factor augmentation and model selection;" International Journal of Forecasting 35(1) 2019, 80-99

Work in progress & other

• IVX-Based Panel Predictive Regressions for Stock Returns, With C. Hanck
• Cross-Sectional Error Dependence in Panel Quantile Regressions, with M. Hosseinkouchak
• On the use of VAR models with ignored changes in mean and variance, with N. Salish
• Identification and estimation of dynamic factor models, with J. Breitung
• Monitoring Value-at-Risk and Expected Shortfall Forecasts, with Y. Hoga
• Spurious Long-Range Dependence in Realized Volatilities? A panel examination, with C. Pigorsch and A.I. Tarcolea
• Long Autoregressions under Asymmetric Loss, with A. Titova
• Testing the Marginal Normality of Heteroskedastic Series, with R. Kruse
• Do persistent predictors predict stock returns directionally? with C. Leschinski
• Fractional Integration and Cointegration Testing Using the Sample Mean (not working on it anymore)
• Corrigendum to "Testing predictive regression models with nonstationary regressors" (Zongwu Cai and Yunfei Wang, Journal of Econometrics 178, 4-14)

Further information:

Curriculum vitae