Prof. Dr. Matei Demetrescu

Chair in Statistics and Empirical Economics Research

Raum 304
Phone: +049 431 880-3810
Telefax: +049 431 880-7605

Office hours:

By appointment


For current lectures see Univis

Univis Course


Brief profile:


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. 


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)



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

Computational Statistics


Selected publications (see CV for complete list):

Working papers

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)