Details about Daniel Ventosa-Santaulària

Access statistics for papers by Daniel Ventosa-Santaulària.

Last updated 2023-03-14. Update your information in the RePEc Author Service.

Short-id: pve35

Working Papers

2019

1. Public investment and economic activity in Mexico, 1925-1981
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (1)
   See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) (2020)

2018

2. Why Does the Peso-Dollar Exchange Rate Show a Depreciation Trend?: The Role of Productivity Differentials
   IDB Publications (Working Papers), Inter-American Development Bank
   See also Journal Article in Economic Modelling (2019)

2015

3. Unbalanced Regressions and the Predictive Equation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2013

4. Changes in persistence, spurious regressions and the Fisher hypothesis
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2017)
5. Polynomial Regressions and Nonsense Inference
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article in Econometrics (2013)
6. The Real Exchange Rate, Regime Changes and Volatility Shifts
   Working papers, CIDE, División de Economía
   See also Journal Article in Applied Economics (2015)

2012

7. Appendix for the PPP hypothesis and structural breaks: the case of Mexico
   MPRA Paper, University Library of Munich, Germany View citations (2)
8. Is the real effective exchange rate biased against the PPP hypothesis?
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in Economics Bulletin (2014)

2011

9. A Simple Test for Spurious Regressions
   Working Papers, Banco de México View citations (1)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011)

2010

10. Spurious Long-Horizon Regression in Econometrics
    Working Papers, Banco de México
11. Testing for a Deterministic Trend when there is Evidence of Unit-Root
    Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (7)
    See also Journal Article in Journal of Time Series Econometrics (2011)

2009

12. Spurious Instrumental Variables
    Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (1)
    MPRA Paper, University Library of Munich, Germany (2007) View citations (1)

2008

13. Spurious Regression
    MPRA Paper, University Library of Munich, Germany View citations (13)
    See also Journal Article in Journal of Probability and Statistics (2009)

2007

14. Income Convergence: The Dickey-Fuller Test under the Simultaneous Presence of Stochastic and Deterministic Trends
    Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (2)
15. Inflation and breaks: the validity of the Dickey-Fuller test
    Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance
    Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (1)
16. Spurious Regression and Trending Variables
    Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance View citations (13)
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (15)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2007)
17. Trade Liberalization and Regional Income Convergence in Mexico: a Time-Series Analysis
    Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (1)

2006

18. Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks
    Working Papers, Banco de México View citations (5)
19. Spurious Regression and Econometric Trends
    Working Papers, Banco de México
    Also in Computing in Economics and Finance 2006, Society for Computational Economics (2006) View citations (1)

2005

20. Non Linear Moving-Average Conditional Heteroskedasticity
    Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance
21. Spurious regression under broken trend stationarity
    MPRA Paper, University Library of Munich, Germany View citations (9)
    Also in Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance (2005) View citations (9)
    Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (10)
    See also Journal Article in Journal of Time Series Analysis (2006)
22. Spurious regression under deterministic and stochastic trends
    Department of Economics and Finance Working Papers, Universidad de Guanajuato, Department of Economics and Finance
    Also in MPRA Paper, University Library of Munich, Germany (2005) View citations (2)
23. Non Linear Moving-Average Conditional Heteroskedasticity
    MPRA Paper, University Library of Munich, Germany

Undated

24. A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchange Rate
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (1)

Journal Articles

2022

1. Spurious multivariate regressions under fractionally integrated processes
   Communications in Statistics - Theory and Methods, 2022, 51, (7), 2034-2056

2021

2. (In)Effective tax enforcement and demand for cash
   Journal of Macroeconomics, 2021, 70, (C)
3. Recessions and potential GDP: The case of Mexico
   Bulletin of Economic Research, 2021, 73, (2), 179-195
4. Remittances at record highs in Latin America: Time to revisit the Dutch disease
   Economics Bulletin, 2021, 41, (3), 2133-2146

2020

5. Public investment and economic activity in Mexico, 1925-1981
   Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2020, 14, 1-24 View citations (1)
   See also Working Paper (2019)
6. Saturation levels of mobile telecommunications markets and optimal termination rates
   Estudios Económicos, 2020, 35, (2), 331-355
7. The Role of Cognitive and Personality Characteristics in Timely Microcredit Repayment: Evidence from a Survey Conducted by Provident, Mexico. (El papel de las características cognitivas y de personalidad en el pago oportuno de microcréditos: Evidencia de una encuesta realizada por Provident, México)
   Ensayos Revista de Economia, 2020, XXXIX, (1), 1-20

2019

8. Mexico’s inter-regional inequality: a convergent process?
   Empirical Economics, 2019, 56, (5), 1683-1705
9. The VIX, the Variance Premium, and Expected Returns
   The Journal of Financial Econometrics, 2019, 17, (4), 517-558 View citations (7)
10. Why does the peso-dollar exchange rate show a depreciation trend? The role of productivity differentials
    Economic Modelling, 2019, 80, (C), 158-170
    See also Working Paper (2018)

2017

11. Changes in persistence, spurious regressions and the Fisher hypothesis
    Studies in Nonlinear Dynamics & Econometrics, 2017, 21, (3), 28
    See also Working Paper (2013)
12. Energy-growth long-term relationship under structural breaks. Evidence from Canada, 17 Latin American economies and the USA
    Energy Economics, 2017, 61, (C), 121-134 View citations (13)
13. On the persistence of prices in Mexico: a fractional integration approach
    Applied Economics, 2017, 49, (60), 6014-6023

2016

14. A comment on ‘resolving spurious regressions and serially correlated errors’
    Empirical Economics, 2016, 51, (3), 1289-1298
15. A simple solution for spurious regressions
    Communications in Statistics - Theory and Methods, 2016, 45, (19), 5561-5583

2015

16. Long-run monetary neutrality under stochastic and deterministic trends
    Economic Modelling, 2015, 47, (C), 372-382 View citations (3)
17. The real exchange rate, regime changes and volatility shifts
    Applied Economics, 2015, 47, (24), 2445-2454 View citations (2)
    See also Working Paper (2013)

2014

18. Granger Causality and Unit Roots
    Journal of Statistical and Econometric Methods, 2014, 3, (1), 7 View citations (3)
19. Is The Real Effective Exchange Rate Biased Against the PPP Hypothesis?
    Economics Bulletin, 2014, 34, (1), 395-399 View citations (3)
    See also Working Paper (2012)
20. Long-Memory and the Sea Level-Temperature Relationship: A Fractional Cointegration Approach
    PLOS ONE, 2014, 9, (11), 1-12

2013

21. A comment on ‘Testing the validity of quasi-PPP hypothesis: evidence from a recent panel unit-root test with structural breaks’
    Applied Economics Letters, 2013, 20, (2), 111-113 View citations (2)
22. Long-run relationship with shifts between Mexican current account revenues and expenditures
    Economics Bulletin, 2013, 33, (2), 1317-1327 View citations (2)
23. Polynomial Regressions and Nonsense Inference
    Econometrics, 2013, 1, (3), 1-13
    See also Working Paper (2013)
24. The PPP hypothesis and structural breaks: the case of Mexico
    Empirical Economics, 2013, 45, (3), 1351-1359 View citations (6)

2012

25. A comment on ‘Is the spurious regression problem spurious?’
    Economics Letters, 2012, 115, (2), 229-231 View citations (3)
26. Regional Output Convergence in Mexico
    Latin American Journal of Economics-formerly Cuadernos de Economía, 2012, 49, (2), 217-236 View citations (2)
27. Spurious Forecasts?
    Journal of Forecasting, 2012, 31, (3), 245-259
28. The effect of structural breaks on the Engle-Granger test for cointegration
    Estudios Económicos, 2012, 27, (1), 99-132 View citations (1)

2011

29. Paradoja Feldstein-Horioka: el caso de México (1950-2007)
    Estudios Económicos, 2011, 26, (2), 293-313
30. Revenue Elasticity of the Main federal Taxes in Mexico
    Latin American Journal of Economics-formerly Cuadernos de Economía, 2011, 48, (1), 89-111 View citations (2)
31. Spurious regression and lurking variables
    Statistics & Probability Letters, 2011, 81, (12), 2004-2010 View citations (1)
32. Testing for a Deterministic Trend When There is Evidence of Unit Root
    Journal of Time Series Econometrics, 2011, 2, (2), 1-26 View citations (3)
    See also Working Paper (2010)
33. The Failure of Orthogonality under Nonstationarity: Should We Care About It?
    Journal of Probability and Statistics, 2011, 2011, 1-15

2010

34. Per Capita Output Convergence: The Dickey-Fuller Test Under the Simultaneous Presence of Stochastic and Deterministic Trends
    Annals of Economics and Statistics, 2010, (99-100), 429-445 View citations (2)
35. Testing for an irrelevant regressor in a simple cointegration analysis
    Economics Bulletin, 2010, 30, (2), 1333-1345

2009

36. Bilateral Relationship between Consumption and GDP in Mexico and the USA: A Comment
    Applied Econometrics and International Development, 2009, 9, (1)
37. Broken mean stationarity and the validity of the Dickey-Fuller test: the case of controlled inflation
    Brazilian Review of Econometrics, 2009, 29, (1)
38. Liberación comercial y convergencia regional del ingreso en México
    El Trimestre Económico, 2009, LXXVI (1), (301), 215-235 View citations (7)
39. Regresión espuria en especificaciones dinámicas
    Ensayos Revista de Economia, 2009, XXVIII, (1), 1-20
40. Spurious Regression
    Journal of Probability and Statistics, 2009, 2009, 1-27
    See also Working Paper (2008)

2008

41. Elasticidad ingreso de los impuestos federales en México. Efectos en la recaudación federal participable
    El Trimestre Económico, 2008, LXXV (2), (298), 519-531 View citations (5)
42. Granger-Causality in the presence of structural breaks
    Economics Bulletin, 2008, 3, (61), 1-14 View citations (10)
43. Varianza condicional de medias móviles no-lineales
    Ensayos Revista de Economia, 2008, XXVII, (2), 29-48

2007

44. Spurious Regression and Trending Variables*
    Oxford Bulletin of Economics and Statistics, 2007, 69, (3), 439-444 View citations (15)
    See also Working Paper (2007)

2006

45. Spurious Regression Under Broken‐Trend Stationarity
    Journal of Time Series Analysis, 2006, 27, (5), 671-684 View citations (14)
    See also Working Paper (2005)