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Details about Carlos Velasco

E-mail:
Homepage:http://www.eco.uc3m.es/personal/info_contacto/cavelas.html
Postal address:Departamento de Economia Universidad Carlos III de Madrid Calle Madrid 126 28903 Getafe (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 Carlos Velasco.

Last updated 2017-03-02. Update your information in the RePEc Author Service.

Short-id: pve103


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Working Papers

2015

  1. Efficient inference on fractionally integrated panel data models with fixed effects
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2013) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2013) Downloads

    See also Journal Article in Journal of Econometrics (2015)
  2. Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2017)

2014

  1. Delayed Overshooting: It's an 80s Puzzle
    Staff Papers, Korea Institute for International Economic Policy Downloads View citations (2)
  2. Delayed Overshooting: It’s an 80s Puzzle
    CDMA Working Paper Series, Centre for Dynamic Macroeconomic Analysis Downloads View citations (1)
  3. Fractional Cointegration Rank Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2015)

2013

  1. New Goodness-of-fit Diagnostics for Conditional Discrete Response Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

2012

  1. Model Adequacy Checks for Discrete Choice Dynamic Models
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (1)

2011

  1. Do Foreign Excess Return Regressions Convey Valid Information?
    Working Papers, Research Institute for Market Economy, Sogang University Downloads
  2. On the Properties of Regression Tests of Asset Return Predictability
    Working Papers, Research Institute for Market Economy, Sogang University Downloads View citations (1)
  3. Tests for m-dependence Based on Sample Splitting Methods
    Working Papers, Research Institute for Market Economy, Sogang University Downloads
    See also Journal Article in Journal of Econometrics (2013)
  4. The Forward Discount Puzzle: Identi cation of Economic Assumptions
    Working Papers, Research Institute for Market Economy, Sogang University Downloads View citations (5)

2010

  1. A distribution-free transform of the residuals sample autocorrelations with application to model checking
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  2. Specification tests of parametric dynamic conditional quantiles
    Post-Print, HAL Downloads View citations (12)
    Also in Caepr Working Papers, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington (2008) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)

2009

  1. A new class of distribution-free tests for time series models specification
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2007) Downloads View citations (1)

2008

  1. A Wald Test for the Cointegration Rank in Nonstationary Fractional Systems
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads
    See also Journal Article in Journal of Econometrics (2009)
  2. Class Attendance and Academic Performance among Spanish Economics Students
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads

2006

  1. Distribution-free Tests of Fractional Cointegration
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (7)
    See also Journal Article in Econometric Theory (2008)
  2. Testing the Martingale Difference Hypothesis Using Integrated Regression Functions
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2006)

2005

  1. Distribution Free Goodness-of-Fit Tests for Linear Processes
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (6)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) Downloads View citations (9)
  2. Efficient wald tests for fractional unit roots
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (5)
    See also Journal Article in Econometrica (2007)

2004

  1. A simple and general test for white noise
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads
  2. Optimal Fractional Dickey-Fuller Tests for Unit Roots
    Working Papers, Centro de Investigacion Economica, ITAM Downloads View citations (2)

2003

  1. Generalized spectral tests for the martingale difference hypothesis
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2006)

2002

  1. Residual Log-Periodogram Inference for Long-Run Relationships
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2006)

2001

  1. Edgeworth expansions for spectral density estimates and studentized sample mean
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (6)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads

    See also Journal Article in Econometric Theory (2001)

2000

  1. Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
  2. FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (2)
  3. Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
  4. Whittle pseudo-maximum likelihood estimation for nonstationary time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (59)

1998

  1. Gaussian semiparametric estimation of non-stationary time series
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  2. Local cross validation for spectrum bandwidth choice
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
  3. Non-Gaussian log-periodogram regression
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article in Econometric Theory (2000)
  4. Non-stationary log-periodogram regression
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (1999)

1996

  1. Autocorrelation-Robust Inference - (Now published in 'Handbook of Statistics', vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Journal Articles

2017

  1. Estimation of fractionally integrated panels with fixed effects and cross-section dependence
    Journal of Econometrics, 2017, 196, (2), 248-258 Downloads
    See also Working Paper (2015)

2015

  1. A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
    Journal of Time Series Analysis, 2015, 36, (1), 39-60 Downloads
  2. Efficient inference on fractionally integrated panel data models with fixed effects
    Journal of Econometrics, 2015, 185, (2), 435-452 Downloads View citations (3)
    See also Working Paper (2015)
  3. Fractional Cointegration Rank Estimation
    Journal of Business & Economic Statistics, 2015, 33, (2), 241-254 Downloads
    See also Working Paper (2014)
  4. Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study
    The Journal of Economic Education, 2015, 46, (3), 239-259 Downloads

2013

  1. Comments on: Model-free model-fitting and predictive distributions
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2013, 22, (2), 237-239 Downloads
  2. On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios
    Journal of Financial Econometrics, 2013, 12, (1), 151-173 Downloads
  3. Tests for m-dependence based on sample splitting methods
    Journal of Econometrics, 2013, 173, (2), 143-159 Downloads
    See also Working Paper (2011)

2011

  1. An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking
    Journal of the American Statistical Association, 2011, 106, (495), 946-958 Downloads View citations (5)
  2. BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL
    Econometric Theory, 2011, 27, (05), 1083-1116 Downloads View citations (1)
  3. Comments on: Subsampling weakly dependent time series and application to extremes
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2011, 20, (3), 480-482 Downloads

2010

  1. Distribution-free tests for time series models specification
    Journal of Econometrics, 2010, 155, (2), 128-137 Downloads View citations (2)
  2. Specification tests of parametric dynamic conditional quantiles
    Journal of Econometrics, 2010, 159, (1), 209-221 Downloads View citations (13)
    See also Working Paper (2010)

2009

  1. A Wald test for the cointegration rank in nonstationary fractional systems
    Journal of Econometrics, 2009, 151, (2), 178-189 Downloads View citations (7)
    See also Working Paper (2008)
  2. Comments on: A review on empirical likelihood methods for regression
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2009, 18, (3), 455-457 Downloads View citations (1)
  3. Distribution-free specification tests for dynamic linear models
    Econometrics Journal, 2009, 12, (s1), S105-S134 Downloads View citations (1)

2008

  1. DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
    Econometric Theory, 2008, 24, (01), 216-255 Downloads View citations (6)
    See also Working Paper (2006)
  2. Fractional cointegration in the presence of linear trends
    Journal of Time Series Analysis, 2008, 29, (6), 1088-1103 Downloads
  3. Power comparison among tests for fractional unit roots
    Economics Letters, 2008, 99, (1), 152-154 Downloads View citations (2)

2007

  1. Efficient Wald Tests for Fractional Unit Roots
    Econometrica, 2007, 75, (2), 575-589 Downloads View citations (46)
    See also Working Paper (2005)
  2. The Periodogram of fractional processes-super-1
    Journal of Time Series Analysis, 2007, 28, (4), 600-627 Downloads View citations (1)

2006

  1. Generalized spectral tests for the martingale difference hypothesis
    Journal of Econometrics, 2006, 134, (1), 151-185 Downloads View citations (47)
    See also Working Paper (2003)
  2. Optimal Fractional Dickey-Fuller tests
    Econometrics Journal, 2006, 9, (3), 492-510 Downloads View citations (9)
  3. Residual log-periodogram inference for long-run relationships
    Journal of Econometrics, 2006, 130, (1), 165-207 Downloads View citations (27)
    See also Working Paper (2002)
  4. Testing the martingale difference hypothesis using integrated regression functions
    Computational Statistics & Data Analysis, 2006, 51, (4), 2278-2294 Downloads View citations (2)
    See also Working Paper (2006)

2005

  1. Sign tests for long-memory time series
    Journal of Econometrics, 2005, 128, (2), 215-251 Downloads View citations (5)
  2. Trimming and Tapering Semi-Parametric Estimates in Asymmetric Long Memory Time Series
    Journal of Time Series Analysis, 2005, 26, (4), 581-611 Downloads View citations (6)

2004

  1. A SIMPLE TEST OF NORMALITY FOR TIME SERIES
    Econometric Theory, 2004, 20, (04), 671-689 Downloads View citations (4)
  2. Consistent Testing of Cointegrating Relationships
    Econometrica, 2004, 72, (6), 1809-1844 Downloads View citations (19)

2003

  1. Gaussian Semi-parametric Estimation of Fractional Cointegration
    Journal of Time Series Analysis, 2003, 24, (3), 345-378 Downloads View citations (46)

2002

  1. Trend stationarity versus long-range dependence in time series analysis
    Journal of Econometrics, 2002, 108, (1), 25-42 Downloads View citations (8)

2001

  1. EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
    Econometric Theory, 2001, 17, (03), 497-539 Downloads View citations (21)
    See also Working Paper (2001)

2000

  1. Long Memory in Stock-Market Trading Volume
    Journal of Business & Economic Statistics, 2000, 18, (4), 410-27 View citations (73)
  2. NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
    Econometric Theory, 2000, 16, (01), 44-79 Downloads View citations (38)
    See also Working Paper (1998)

1999

  1. Non-stationary log-periodogram regression
    Journal of Econometrics, 1999, 91, (2), 325-371 Downloads View citations (128)
    See also Working Paper (1998)
 
Page updated 2017-03-30