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Details about Alvaro Escribano

E-mail:
Homepage:http://www.eco.uc3m.es/personal/alvaroe/index_en.html
Phone:34-91-6249854
Postal address:Department of Economics University Carlos III of Madrid Madrid 126 28903 Madrid Spain
Workplace:Departamento de Economía (Department of Economics), Universidad Carlos III de Madrid (Carlos III University of Madrid), (more information at EDIRC)

Access statistics for papers by Alvaro Escribano.

Last updated 2017-03-24. Update your information in the RePEc Author Service.

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Working Papers

2016

  1. Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2016) Downloads
  2. Score-driven dynamic patent count panel data models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    See also Journal Article in Economics Letters (2016)

2015

  1. Dynamic conditional score patent count panel data models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

2014

  1. Propensity to patent, R&D and market competition: dynamic spillovers of innovation leaders and followers
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

2013

  1. Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2016)
  2. Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2013) Downloads View citations (3)

2012

  1. Patents, secret innovations and firm's rate of return: differential effects of the innovation leader
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
  2. Robust investment climate effects on alternative firm-level productivity measures
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

2011

  1. Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations
    Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales Downloads View citations (2)
  2. Catching up in total factor productivity through the business cycle: Evidence from Spanish manufacturing firms
    Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales Downloads View citations (3)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) Downloads View citations (11)
  3. EU Patent System: to be or not to be?
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

2010

  1. An evaluation of public aids towards renewable energy sources in Spain
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  2. Assessing the impact of infrastructure quality on firm productivity in Africa: cross-country comparisons based on investment climate surveys from 1999 to 2005
    Policy Research Working Paper Series, The World Bank Downloads View citations (2)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads View citations (1)
  3. Empirical econometric evaluation of alternative methods of dealing with missing values in investment climate surveys
    Policy Research Working Paper Series, The World Bank Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads
  4. Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors
    Post-Print, HAL Downloads View citations (5)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)
  5. The power log-GARCH model
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (6)

2009

  1. Automated financial multi-path GETS modelling
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

2008

  1. Investment climate and firm’s economic performance: econometric methodology and application to Turkey's investment climate survey
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
  2. Investment climate assessment based on demean Olley and Pakes decompositions: methodology and application to Turkey's investment climate survey
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (6)
  3. Robust methodology for investment climate assessment on productivity: application to investment climate surveys from Central America
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (5)

2005

  1. Assessing the impact of the investment climate on productivity using firm-level data: methodology and the cases of Guatemala, Honduras, and Nicaragua
    Policy Research Working Paper Series, The World Bank Downloads View citations (38)

2004

  1. A range unit root test
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)

2003

  1. Cointegration tests based on record counting statistics
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. IMPROVED TESTING AND SPECIFICATION OF SMOOTH TRANSITION REGRESSION MODELS
    Working Papers, University of California, Davis, Department of Economics Downloads View citations (2)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1997) Downloads View citations (3)
    Department of Economics, California Davis - Department of Economics Downloads View citations (32)
  3. Range unit root tests
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (2)

2002

  1. Effects of Applying Linear and Nonlinear Filters on Tests for Unit Roots with Additive Outliers
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
  2. Homenaje a Juan Urrutia
    DE - Documentos de Trabajo. Economía. DE, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  3. Modeling electricity prices: international evidence
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (57)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2011)

2001

  1. Nonlinear error correction models
    Documentos de trabajo conjunto ULL-ULPGC, Facultad de Ciencias Económicas de la ULPGC Downloads View citations (25)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1997) Downloads View citations (2)

2000

  1. A model free cointegration approach for pairs of I(d) variables
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
  3. BLM: bidimensional approach to measure liquidity
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads View citations (1)
  4. Dynamic asymmetries in bid-ask responses to innovations in the trading process
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
  5. Outliers robust ECM cointegration test based on the trend components
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article in Spanish Economic Review (2004)
  6. Syncronicity between macroeconomic time series: an exploratory analysis
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

1999

  1. A new instrumental variable approach for estimation and testing in fractional cointegrating regressions
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1999) Downloads
  2. How does liquidity behave? A multidimensional analysis of NYSE stocks
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa Downloads

1998

  1. A characterization of cointegrating relationships using induced-order statistics
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (2006)
  3. Cointegration testing using the ranges
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  4. Detrending procedures and cointegration testing: ECM tests under structural breaks
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  5. Nonlinearities and outliers: robust specification of STAR models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  6. The Spanish 1898 disaster: the drift towards national-protectionism
    IFCS - Working Papers in Economic History.WH, Universidad Carlos III de Madrid. Instituto Figuerola Downloads View citations (1)
    See also Journal Article in Revista de Historia Económica (1998)

1997

  1. Análisis comparativo y predictivo de recientes funciones de exportación e importación en España
    DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Information-theoretic analysis of seral dependence and cointegration
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1998)
  3. Nonlinear cointegration with mixing errors
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (6)
  4. Searching for linear and nonlinear cointegration: a new approach
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  5. Testing nonlinearity: decision rules for selecting between logistic and exponential star models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (1994) Downloads View citations (1)

    See also Journal Article in Spanish Economic Review (2001)

1996

  1. Nonlinear cointegration and nonlinear error correction
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (7)

1995

  1. Estudio comparado sobre funciones de exportación e importación en España
    DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Evaluación del PcGive Professional 8: el punto de vista de un usuario
    DES - Documentos de Trabajo. Estadística y Econometría. DS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. Investigating the relationship between gold and silver prices
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  4. Nonlinear time series models: consistency and asymptotic normality of nls under new conditions
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)

1993

  1. Asymmetric and time-varying error-correction: an application to labour demand in the UK
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
  2. Cointegration and common factors
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

1991

  1. Nonlinear error correction, asymmetric adjusment and cointegration
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
    See also Journal Article in Economic Modelling (1998)

1987

  1. Co-integration, time co-trends and error-correction systems: an alternative approach
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
  2. Error-correction systems: nonlinear adjustments to linear long-run relationships
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (10)

Journal Articles

2016

  1. Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
    Computational Statistics & Data Analysis, 2016, 100, (C), 582-594 Downloads View citations (2)
    See also Working Paper (2013)
  2. Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers
    Journal of Econometrics, 2016, 191, (1), 145-163 Downloads View citations (3)
  3. Score-driven dynamic patent count panel data models
    Economics Letters, 2016, 149, (C), 116-119 Downloads
    See also Working Paper (2016)

2014

  1. Does recession drive convergence in firms’ productivity? Evidence from Spanish manufacturing firms
    Journal of Productivity Analysis, 2014, 41, (3), 339-349 Downloads View citations (3)

2012

  1. Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications
    Oxford Bulletin of Economics and Statistics, 2012, 74, (5), 716-735 Downloads View citations (7)

2011

  1. Modelling Electricity Prices: International Evidence
    Oxford Bulletin of Economics and Statistics, 2011, 73, (5), 622-650 Downloads View citations (45)
    See also Working Paper (2002)

2010

  1. Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors
    Journal of Econometrics, 2010, 159, (1), 14-32 Downloads View citations (6)
    See also Working Paper (2010)

2009

  1. Managing external knowledge flows: The moderating role of absorptive capacity
    Research Policy, 2009, 38, (1), 96-105 Downloads View citations (73)

2008

  1. Testing for cointegration using induced-order statistics
    Computational Statistics, 2008, 23, (1), 131-151 Downloads

2007

  1. The Econometrics of Industrial Organization
    Journal of Applied Econometrics, 2007, 22, (7), 1153-1156 Downloads View citations (1)

2006

  1. Asymmetries in bid and ask responses to innovations in the trading process
    Empirical Economics, 2006, 30, (4), 913-946 Downloads View citations (17)
  2. Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2006, 15, (1), 179-208 Downloads
    See also Working Paper (1998)
  3. Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
    Journal of Time Series Analysis, 2006, 27, (4), 545-576 Downloads View citations (17)

2004

  1. Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis
    Journal of Banking & Finance, 2004, 28, (1), 107-128 Downloads View citations (5)
  2. NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878 2000)
    Macroeconomic Dynamics, 2004, 8, (01), 76-116 Downloads View citations (9)
  3. On the bi-dimensionality of liquidity
    The European Journal of Finance, 2004, 10, (6), 542-566 Downloads View citations (3)
  4. Outliers - robust ECM cointegration tests based on the trend components
    Spanish Economic Review, 2004, 6, (4), 243-266 Downloads View citations (3)
    See also Working Paper (2000)

2002

  1. INSTRUMENTAL VARIABLE INTERPRETATION OF COINTEGRATION WITH INFERENCE RESULTS FOR FRACTIONAL COINTEGRATION
    Econometric Theory, 2002, 18, (03), 646-672 Downloads View citations (4)

2001

  1. Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models
    Spanish Economic Review, 2001, 3, (3), 193-209 Downloads View citations (21)
    See also Working Paper (1997)

2000

  1. Cointegration Testing under Structural Breaks: A Robust Extended Error Correction Model
    Oxford Bulletin of Economics and Statistics, 2000, 62, (1), 23-52 Downloads View citations (7)

1999

  1. Predicción y análisis de funciones de exportación e importación en España
    Investigaciones Economicas, 1999, 23, (1), 55-94 Downloads View citations (1)

1998

  1. Information-Theoretic Analysis of Serial Dependence and Cointegration
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (3), 1-24 Downloads View citations (7)
    See also Working Paper (1997)
  2. Non-linear error correction, asymmetric adjustment and cointegration
    Economic Modelling, 1998, 15, (2), 197-216 Downloads View citations (21)
    See also Working Paper (1991)
  3. The Spanish 1898 Disaster: The Drift towards Natonal-Protectionism
    Revista de Historia Económica, 1998, 16, (01), 265-290 Downloads
    See also Working Paper (1998)

1996

  1. Editor's introduction: Asymmetries and nonlinearities in dynamic economic models
    Journal of Econometrics, 1996, 74, (1), 1-2 Downloads

1995

  1. PcGive Professional 8: A Review
    Journal of Applied Econometrics, 1995, 10, (1), 79-86 Downloads
 
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