Details about Carlos Velasco

Access statistics for papers by Carlos Velasco.

Last updated 2024-11-06. Update your information in the RePEc Author Service.

Short-id: pve103

Working Papers

2021

1. Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

2020

2. LM tests for joint breaks in the dynamics and level of a long-memory time series
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) (2022)

2018

3. Inference on trending panel data
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   See also Journal Article Inference on trending panel data, Journal of Econometrics, Elsevier (2018) (2018)
4. Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects, Journal of Time Series Analysis, Wiley Blackwell (2019) (2019)

2017

5. New Goodness-of-fit Diagnostics for Conditional Discrete Response Models
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2013) View citations (4)
   See also Journal Article New goodness-of-fit diagnostics for conditional discrete response models, Journal of Econometrics, Elsevier (2017) View citations (5) (2017)

2015

6. 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 View citations (11)
   Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2013)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2013)
   See also Journal Article Efficient inference on fractionally integrated panel data models with fixed effects, Journal of Econometrics, Elsevier (2015) View citations (16) (2015)
7. Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
   See also Journal Article Estimation of fractionally integrated panels with fixed effects and cross-section dependence, Journal of Econometrics, Elsevier (2017) View citations (21) (2017)

2014

8. Delayed Overshooting: It's an 80s Puzzle
   Staff Papers, Korea Institute for International Economic Policy View citations (15)
9. Fractional Cointegration Rank Estimation
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (2)
   See also Journal Article Fractional Cointegration Rank Estimation, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) View citations (4) (2015)

2012

10. Model Adequacy Checks for Discrete Choice Dynamic Models
    Working Papers, Center for Economic and Financial Research (CEFIR) View citations (2)
    Also in Working Papers, New Economic School (NES) (2012)

2011

11. Do Foreign Excess Return Regressions Convey Valid Information?
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
12. On the Properties of Regression Tests of Asset Return Predictability
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) View citations (1)
13. Tests for m-dependence Based on Sample Splitting Methods
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)
    See also Journal Article Tests for m-dependence based on sample splitting methods, Journal of Econometrics, Elsevier (2013) View citations (1) (2013)
14. The Forward Discount Puzzle: Identi cation of Economic Assumptions
    Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy) View citations (6)

2010

15. Specification tests of parametric dynamic conditional quantiles
    Post-Print, HAL View citations (25)
    Also in CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (2008) View citations (1)
    See also Journal Article Specification tests of parametric dynamic conditional quantiles, Journal of Econometrics, Elsevier (2010) View citations (29) (2010)

2009

16. Residual Log-Periodogram Inference for Long-Run-Relationships
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) View citations (6)
    Also in Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) View citations (6)
    Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics (2002) View citations (6)
    Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) (2002) View citations (6)
    See also Journal Article Residual log-periodogram inference for long-run relationships, Journal of Econometrics, Elsevier (2006) View citations (32) (2006)

2008

17. 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)
    See also Journal Article A Wald test for the cointegration rank in nonstationary fractional systems, Journal of Econometrics, Elsevier (2009) View citations (15) (2009)
18. Class Attendance and Academic Performance among Spanish Economics Students
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

2006

19. Distribution-free Tests of Fractional Cointegration
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (7)
    See also Journal Article DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION, Econometric Theory, Cambridge University Press (2008) View citations (14) (2008)
20. Testing the Martingale Difference Hypothesis Using Integrated Regression Functions
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (4)
    See also Journal Article Testing the martingale difference hypothesis using integrated regression functions, Computational Statistics & Data Analysis, Elsevier (2006) View citations (4) (2006)

2005

21. Distribution Free Goodness-of-Fit Tests for Linear Processes
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (30)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) View citations (30)
22. Efficient wald tests for fractional unit roots
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (5)
    See also Journal Article Efficient Wald Tests for Fractional Unit Roots, Econometrica, Econometric Society (2007) View citations (82) (2007)

2004

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

2001

25. 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 View citations (27)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
    See also Journal Article EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN, Econometric Theory, Cambridge University Press (2001) View citations (32) (2001)

2000

26. 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
27. FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (2)
28. 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 View citations (88)
29. Whittle pseudo-maximum likelihood estimation for nonstationary time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (122)

1996

30. 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

2023

1. Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
   Journal of Business & Economic Statistics, 2023, 41, (3), 819-832 View citations (2)

2022

2. LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series
   Journal of Business & Economic Statistics, 2022, 40, (2), 629-650
   See also Working Paper LM tests for joint breaks in the dynamics and level of a long-memory time series, CEPR Discussion Papers (2020) (2020)
3. Single step estimation of ARMA roots for nonfundamental nonstationary fractional models
   (Non-fundamentalness in structural econometric models: A review)
   The Econometrics Journal, 2022, 25, (2), 455-476 View citations (3)

2020

4. ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS
   Econometric Theory, 2020, 36, (2), 185-222
5. Recursive lower and dual upper bounds for Bermudan-style options
   European Journal of Operational Research, 2020, 280, (2), 730-740 View citations (2)

2019

6. Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects
   Journal of Time Series Analysis, 2019, 40, (4), 573-589
   See also Working Paper Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects, CREATES Research Papers (2018) (2018)

2018

7. Efficiency improvements for minimum distance estimation of causal and invertible ARMA models
   Economics Letters, 2018, 162, (C), 150-152 View citations (1)
8. Inference on trending panel data
   Journal of Econometrics, 2018, 206, (2), 282-304
   See also Working Paper Inference on trending panel data, LSE Research Online Documents on Economics (2018) (2018)
9. The optimal method for pricing Bermudan options by simulation
   Mathematical Finance, 2018, 28, (4), 1143-1180 View citations (3)

2017

10. Delayed Overshooting: Is It an '80s Puzzle?
    Journal of Political Economy, 2017, 125, (5), 1570 - 1598 View citations (41)
11. Estimation of fractionally integrated panels with fixed effects and cross-section dependence
    Journal of Econometrics, 2017, 196, (2), 248-258 View citations (21)
    See also Working Paper Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence, CREATES Research Papers (2015) View citations (7) (2015)
12. New goodness-of-fit diagnostics for conditional discrete response models
    Journal of Econometrics, 2017, 200, (1), 135-149 View citations (5)
    See also Working Paper New Goodness-of-fit Diagnostics for Conditional Discrete Response Models, Cowles Foundation Discussion Papers (2017) View citations (5) (2017)

2015

13. A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
    Journal of Time Series Analysis, 2015, 36, (1), 39-60
14. Efficient inference on fractionally integrated panel data models with fixed effects
    Journal of Econometrics, 2015, 185, (2), 435-452 View citations (16)
    See also Working Paper Efficient inference on fractionally integrated panel data models with fixed effects, LSE Research Online Documents on Economics (2015) View citations (11) (2015)
15. Fractional Cointegration Rank Estimation
    Journal of Business & Economic Statistics, 2015, 33, (2), 241-254 View citations (4)
    See also Working Paper Fractional Cointegration Rank Estimation, Tinbergen Institute Discussion Papers (2014) View citations (2) (2014)
16. Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study
    The Journal of Economic Education, 2015, 46, (3), 239-259 View citations (9)

2014

17. On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios
    Journal of Financial Econometrics, 2014, 12, (1), 151-173
    Also in Journal of Financial Econometrics, 2013, 12, (1), 151-173 (2013)

2013

18. 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
19. Tests for m-dependence based on sample splitting methods
    Journal of Econometrics, 2013, 173, (2), 143-159 View citations (1)
    See also Working Paper Tests for m-dependence Based on Sample Splitting Methods, Working Papers (2011) (2011)

2011

20. 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 View citations (11)
21. BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL
    Econometric Theory, 2011, 27, (5), 1083-1116 View citations (2)
22. 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

2010

23. Distribution-free tests for time series models specification
    Journal of Econometrics, 2010, 155, (2), 128-137 View citations (3)
24. Specification tests of parametric dynamic conditional quantiles
    Journal of Econometrics, 2010, 159, (1), 209-221 View citations (29)
    See also Working Paper Specification tests of parametric dynamic conditional quantiles, Post-Print (2010) View citations (25) (2010)

2009

25. A Wald test for the cointegration rank in nonstationary fractional systems
    Journal of Econometrics, 2009, 151, (2), 178-189 View citations (15)
    See also Working Paper A wald test for the cointegration rank in nonstationary fractional systems, Research Memorandum (2008) (2008)
26. 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 View citations (1)
27. Distribution-free specification tests for dynamic linear models
    Econometrics Journal, 2009, 12, (s1), S105-S134 View citations (1)

2008

28. DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
    Econometric Theory, 2008, 24, (1), 216-255 View citations (14)
    See also Working Paper Distribution-free Tests of Fractional Cointegration, Faculty Working Papers (2006) View citations (7) (2006)
29. Fractional cointegration in the presence of linear trends
    Journal of Time Series Analysis, 2008, 29, (6), 1088-1103
30. Power comparison among tests for fractional unit roots
    Economics Letters, 2008, 99, (1), 152-154 View citations (3)

2007

31. Efficient Wald Tests for Fractional Unit Roots
    Econometrica, 2007, 75, (2), 575-589 View citations (82)
    See also Working Paper Efficient wald tests for fractional unit roots, UC3M Working papers. Economics (2005) View citations (5) (2005)
32. The Periodogram of fractional processes1
    Journal of Time Series Analysis, 2007, 28, (4), 600-627 View citations (1)

2006

33. Generalized spectral tests for the martingale difference hypothesis
    Journal of Econometrics, 2006, 134, (1), 151-185 View citations (106)
34. Optimal Fractional Dickey-Fuller tests
    Econometrics Journal, 2006, 9, (3), 492-510 View citations (15)
35. Residual log-periodogram inference for long-run relationships
    Journal of Econometrics, 2006, 130, (1), 165-207 View citations (32)
    See also Working Paper Residual Log-Periodogram Inference for Long-Run-Relationships, Publications of Darmstadt Technical University, Institute for Business Studies (BWL) (2009) View citations (6) (2009)
36. Testing the martingale difference hypothesis using integrated regression functions
    Computational Statistics & Data Analysis, 2006, 51, (4), 2278-2294 View citations (4)
    See also Working Paper Testing the Martingale Difference Hypothesis Using Integrated Regression Functions, Faculty Working Papers (2006) View citations (4) (2006)

2005

37. Sign tests for long-memory time series
    Journal of Econometrics, 2005, 128, (2), 215-251 View citations (6)
38. Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series
    Journal of Time Series Analysis, 2005, 26, (4), 581-611 View citations (11)

2004

39. A SIMPLE TEST OF NORMALITY FOR TIME SERIES
    Econometric Theory, 2004, 20, (4), 671-689 View citations (21)
40. Consistent Testing of Cointegrating Relationships
    Econometrica, 2004, 72, (6), 1809-1844 View citations (31)

2003

41. Gaussian Semi‐parametric Estimation of Fractional Cointegration
    Journal of Time Series Analysis, 2003, 24, (3), 345-378 View citations (54)

2002

42. Trend stationarity versus long-range dependence in time series analysis
    Journal of Econometrics, 2002, 108, (1), 25-42 View citations (11)

2001

43. EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
    Econometric Theory, 2001, 17, (3), 497-539 View citations (32)
    See also Working Paper Edgeworth expansions for spectral density estimates and studentized sample mean, LSE Research Online Documents on Economics (2001) View citations (27) (2001)

2000

44. Local Cross‐validation for Spectrum Bandwidth Choice
    Journal of Time Series Analysis, 2000, 21, (3), 329-361
45. Long Memory in Stock-Market Trading Volume
    Journal of Business & Economic Statistics, 2000, 18, (4), 410-27 View citations (110)
46. NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION
    Econometric Theory, 2000, 16, (1), 44-79 View citations (55)

1999

47. Gaussian Semiparametric Estimation of Non‐stationary Time Series
    Journal of Time Series Analysis, 1999, 20, (1), 87-127 View citations (68)
48. Non-stationary log-periodogram regression
    Journal of Econometrics, 1999, 91, (2), 325-371 View citations (182)