Carlos Velasco : Citation Profile


Are you Carlos Velasco?

Universidad Carlos III de Madrid

12

H index

15

i10 index

746

Citations

RESEARCH PRODUCTION:

44

Articles

44

Papers

RESEARCH ACTIVITY:

   22 years (1996 - 2018). See details.
   Cites by year: 33
   Journals where Carlos Velasco has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 30 (3.87 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve103
   Updated: 2019-08-17    RAS profile: 2019-08-04    
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Relations with other researchers


Works with:

Łasak, Katarzyna (3)

Kim, Seong-Hoon (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Carlos Velasco.

Is cited by:

Gil-Alana, Luis (101)

Caporale, Guglielmo Maria (58)

Nielsen, Morten (36)

Plastun, Alex (20)

Phillips, Peter (19)

Rodríguez Caballero, Carlos (18)

Shimotsu, Katsumi (18)

DE TRUCHIS, Gilles (18)

Escanciano, Juan Carlos (16)

Hurvich, Clifford (14)

Łasak, Katarzyna (14)

Cites to:

Robinson, Peter (20)

Phillips, Peter (19)

Lobato, Ignacio (14)

Nielsen, Morten (12)

Campbell, John (11)

Hualde, Javier (10)

Hassler, Uwe (10)

Delgado, Miguel (9)

Johansen, Soren (9)

Escanciano, Juan Carlos (9)

Bierens, Herman (8)

Main data


Where Carlos Velasco has published?


Journals with more than one article published# docs
Journal of Econometrics13
Journal of Time Series Analysis8
Econometric Theory5
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Journal of Financial Econometrics2
Econometrica2
Econometrics Journal2
Economics Letters2

Working Papers Series with more than one paper published# docs
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía5
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística5
Working Papers / Research Institute for Market Economy, Sogang University4
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2

Recent works citing Carlos Velasco (2019 and 2018)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). de Magistris, Paolo Santucci ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

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2019Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Exchange Rate Undershooting: Evidence and Theory. (2019). Müller, Gernot ; Wolf, Martin ; Muller, Gernot ; Hettig, Thomas. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13597.

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2017Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2018HAR Testing for Spurious Regression in Trend. (2018). Phillips, Peter ; Wang, Xiaohu ; Zhang, Yonghui ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2153.

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2018On the Persistence of UK Inflation: A Long-Range Dependence Approach. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1731.

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2019Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems. (2019). Dumitrescu, Elena Ivona ; de Truchis, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-14.

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2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; de Truchis, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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2019An analysis of the Eurosystem/ECB projections. (2019). Lambrias, Kyriacos ; Kontogeorgos, Georgios. In: Working Paper Series. RePEc:ecb:ecbwps:20192291.

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2018Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14.

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2019Testing the white noise hypothesis of stock returns. (2019). Hill, Jonathan B ; Motegi, Kaiji. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:231-242.

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2018Adaptive market hypothesis and evolving predictability of bitcoin. (2018). Khuntia, Sashikanta ; Pattanayak, J K. In: Economics Letters. RePEc:eee:ecolet:v:167:y:2018:i:c:p:26-28.

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2018Model checks for nonlinear cointegrating regression. (2018). Zhu, Ke ; Wu, Dongsheng ; Wang, Qiying. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:261-284.

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2019Robust analysis of the martingale hypothesis. (2019). Gourieroux, Christian ; Jasiak, Joann. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:17-41.

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2018Oil price shocks and unemployment in Central and Eastern Europe. (2018). Gil-Alana, Luis ; Cuestas, Juan. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:1:p:164-173.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2018Gold and crude oil prices after the great moderation. (2018). Sephton, Peter ; Mann, Janelle. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:273-281.

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2018Does investor attention to energy stocks exhibit power law?. (2018). Ranjan, Ravi Prakash ; Bhattachharyya, Malay. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:573-582.

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2019Automobile components: Lithium and cobalt. Evidence of persistence. (2019). Gil-Alana, Luis A ; Monge, Manuel. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:489-495.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2019Can structural changes in the persistence of the forward premium explain the forward premium anomaly?. (2019). Cho, Dooyeon ; Chun, Sungju. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:225-235.

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2018Class attendance and academic performance: A subgroup analysis. (2018). Dey, Ishita. In: International Review of Economics Education. RePEc:eee:ireced:v:28:y:2018:i:c:p:29-40.

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2019Inflation targeting and the forward bias puzzle in emerging countries. (2019). Coulibaly, Dramane ; Kempf, Hubert. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:19-33.

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2018Effects of monetary policy shocks on exchange rate in small open Economies. (2018). Kim, Soyoung ; Lim, Kuntae . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:56:y:2018:i:c:p:324-339.

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2018Higher-order asymptotic theory of shrinkage estimation for general statistical models. (2018). Shiraishi, Hiroshi ; Yamashita, Takashi ; Taniguchi, Masanobu. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:166:y:2018:i:c:p:198-211.

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2019Lithium: Production and estimated consumption. Evidence of persistence. (2019). Monge, Manuel ; Gil-Alana, Luis A. In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:198-202.

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2018Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations. (2018). Reisen, Valderio Anselmo ; Abraham, Bovas ; Ziegelmann, Flavio Augusto ; Bondon, Pascal ; Fajardo, Fabio Alexander ; Sgrancio, Adriano Marcio ; da Conceio, Glaura ; Monte, Edson Zambon. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:146:y:2018:i:c:p:27-43.

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2017Record length requirement of long-range dependent teletraffic. (2017). Li, Ming. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:164-187.

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2018Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model. (2018). Tzavalis, Elias ; Karavias, Yiannis ; Symeonides, Spyridon D. In: Statistics & Probability Letters. RePEc:eee:stapro:v:135:y:2018:i:c:p:54-59.

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2018Can Trend Inflation Solve the Delayed Overshooting Puzzle?. (2018). Kara, Engin ; Cooke, Dudley. In: Globalization Institute Working Papers. RePEc:fip:feddgw:334.

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2019Adaptive Market Hypothesis: Evidence from the Vietnamese Stock Market. (2019). Quang, Hung Pham ; Tran, Dzung Phan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:81-:d:229435.

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2018Integration and Disintegration of EMU Government Bond Markets. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-625.

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2017Automatic Portmanteau Tests with Applications to Market Risk Management. (2017). Escanciano, Juan Carlos ; Du, Zaichao ; Zhu, Guangwei . In: Caepr Working Papers. RePEc:inu:caeprp:2017002.

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2018How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach. (2018). Vides, Jose Carlos ; Iglesias, Jesus ; Golpe, Antonio A. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:4:d:10.1007_s10663-017-9386-2.

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2019Time Trends and Persistence in the Global CO2 Emissions Across Europe. (2019). , Tommasotrani ; Trani, Tommaso ; Gil-Alana, Luis A. In: Environmental & Resource Economics. RePEc:kap:enreec:v:73:y:2019:i:1:d:10.1007_s10640-018-0257-5.

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2018Issues in the estimation of mis-specified models of fractionally integrated processes. (2018). Poskitt, Donald ; Nadarajah, K ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-18.

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2019Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach. (2019). Poskitt, Donald S ; Martin, Gael M ; Nadarajah, Kanchana. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-7.

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2019Resuscitating the co-fractional model of Granger (1986). (2001). Santucci de Magistris, Paolo ; Carlini, Federico . In: Discussion Papers. RePEc:not:notgts:19/01.

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2018Conditional Correlation on CEE Stock Markets. (2018). Istvn, Kralik Lrnd. In: Ovidius University Annals, Economic Sciences Series. RePEc:ovi:oviste:v:xviii:y:2018:i:2:p:130-136.

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2019Inflation in Argentina: Analysis of Persistence Using Fractional Integration. (2019). Gil-Alana, Luis A ; Isoardi, Mateo. In: Eastern Economic Journal. RePEc:pal:easeco:v:45:y:2019:i:2:d:10.1057_s41302-019-00133-8.

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2019Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach. (2019). Ogbonna, Ahamuefula ; Yaya, Olaoluwa S ; Mudida, Robert ; Gil-Alana, Luis A ; Osuolale, Kazeem. In: MPRA Paper. RePEc:pra:mprapa:93941.

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2019Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States. (2019). Sheng, Xin ; Cunado, Juncal ; Gupta, Rangan ; Tiwari, Aviral Kumar. In: Working Papers. RePEc:pre:wpaper:201952.

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2018Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility. (2018). Rodrigues, Paulo ; Demetrescu, Matei ; Rubia, Antonio. In: Working Papers. RePEc:ptu:wpaper:w201817.

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2018On the invertibility of seasonally adjusted series. (2018). Perez-Laborda, Alejandro ; Lovcha, Yuliya ; Gil-Alana, Luis. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0715-5.

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2018Likelihood based inference for an Identifiable Fractional Vector Error Correction Model. (2018). Carlini, Federico ; Lasak, Katarzyna . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180085.

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2017Learning to forecast, risk aversion, and microstructural aspects of financial stability. (2017). Biondo, Alessio Emanuele. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017104.

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Works by Carlos Velasco:


YearTitleTypeCited
2013Fractional cointegration rank estimation In: CREATES Research Papers.
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paper6
2015Fractional Cointegration Rank Estimation.(2015) In: Journal of Business & Economic Statistics.
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article
2014Fractional Cointegration Rank Estimation.(2014) In: Tinbergen Institute Discussion Papers.
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2015Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence In: CREATES Research Papers.
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paper8
2017Estimation of fractionally integrated panels with fixed effects and cross-section dependence.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 8
article
2018Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects In: CREATES Research Papers.
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paper0
2012Model Adequacy Checks for Discrete Choice Dynamic Models In: Working Papers.
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paper0
2012Model Adequacy Checks for Discrete Choice Dynamic Models.(2012) In: Working Papers.
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2011An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking In: Journal of the American Statistical Association.
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article5
2000Long Memory in Stock-Market Trading Volume. In: Journal of Business & Economic Statistics.
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article81
1999Gaussian Semiparametric Estimation of Non‐stationary Time Series In: Journal of Time Series Analysis.
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article6
1998Gaussian semiparametric estimation of non-stationary time series.(1998) In: DES - Working Papers. Statistics and Econometrics. WS.
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2000Local Cross‐validation for Spectrum Bandwidth Choice In: Journal of Time Series Analysis.
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article0
1998Local cross validation for spectrum bandwidth choice.(1998) In: DES - Working Papers. Statistics and Econometrics. WS.
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2003Gaussian Semi-parametric Estimation of Fractional Cointegration In: Journal of Time Series Analysis.
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article51
2005Trimming and Tapering Semi-Parametric Estimates in Asymmetric Long Memory Time Series In: Journal of Time Series Analysis.
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article9
2007The Periodogram of fractional processes-super-1 In: Journal of Time Series Analysis.
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article1
2008Fractional cointegration in the presence of linear trends In: Journal of Time Series Analysis.
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article0
2015A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS In: Journal of Time Series Analysis.
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article0
2019Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects In: Journal of Time Series Analysis.
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article0
2018The optimal method for pricing Bermudan options by simulation In: Mathematical Finance.
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article0
1996Autocorrelation-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.) In: STICERD - Econometrics Paper Series.
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2000Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539. In: STICERD - Econometrics Paper Series.
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2000Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) In: STICERD - Econometrics Paper Series.
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2005Distribution Free Goodness-of-Fit Tests for Linear Processes In: STICERD - Econometrics Paper Series.
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paper12
2005Distribution free goodness-of-fit tests for linear processes.(2005) In: LSE Research Online Documents on Economics.
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2013Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects In: STICERD - Econometrics Paper Series.
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2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: Journal of Econometrics.
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2013Efficient inference on fractionally integrated panel data models with fixed effects.(2013) In: LSE Research Online Documents on Economics.
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2015Efficient inference on fractionally integrated panel data models with fixed effects.(2015) In: LSE Research Online Documents on Economics.
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2004Optimal Fractional Dickey-Fuller Tests for Unit Roots In: Working Papers.
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2005Efficient wald tests for fractional unit roots In: UC3M Working papers. Economics.
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2007Efficient Wald Tests for Fractional Unit Roots.(2007) In: Econometrica.
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2007A new class of distribution-free tests for time series models specification In: UC3M Working papers. Economics.
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2009A new class of distribution-free tests for time series models specification.(2009) In: UC3M Working papers. Economics.
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2008Class Attendance and Academic Performance among Spanish Economics Students In: UC3M Working papers. Economics.
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paper1
2010A distribution-free transform of the residuals sample autocorrelations with application to model checking In: UC3M Working papers. Economics.
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paper0
1998Non-Gaussian log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
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paper42
2000NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION.(2000) In: Econometric Theory.
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1998Non-stationary log-periodogram regression In: DES - Working Papers. Statistics and Econometrics. WS.
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paper143
1999Non-stationary log-periodogram regression.(1999) In: Journal of Econometrics.
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2003Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS.
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2006Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics.
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2001EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN In: Econometric Theory.
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2000Edgeworth expansions for spectral density estimates and studentized sample mean.(2000) In: LSE Research Online Documents on Economics.
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2001Edgeworth expansions for spectral density estimates and studentized sample mean.(2001) In: LSE Research Online Documents on Economics.
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2004A SIMPLE TEST OF NORMALITY FOR TIME SERIES In: Econometric Theory.
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2008DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION In: Econometric Theory.
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2006Distribution-free Tests of Fractional Cointegration.(2006) In: Faculty Working Papers.
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2011BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL In: Econometric Theory.
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article2
2013New Goodness-of-fit Diagnostics for Conditional Discrete Response Models In: Cowles Foundation Discussion Papers.
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2017New Goodness-of-fit Diagnostics for Conditional Discrete Response Models.(2017) In: Cowles Foundation Discussion Papers.
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2017New goodness-of-fit diagnostics for conditional discrete response models.(2017) In: Journal of Econometrics.
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2004Consistent Testing of Cointegrating Relationships In: Econometrica.
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2004A simple and general test for white noise In: Econometric Society 2004 Latin American Meetings.
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2009Distribution-free specification tests for dynamic linear models In: Econometrics Journal.
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2006Optimal Fractional Dickey-Fuller tests In: Econometrics Journal.
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article10
2006Testing the martingale difference hypothesis using integrated regression functions In: Computational Statistics & Data Analysis.
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2006Testing the Martingale Difference Hypothesis Using Integrated Regression Functions.(2006) In: Faculty Working Papers.
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2018Efficiency improvements for minimum distance estimation of causal and invertible ARMA models In: Economics Letters.
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2008Power comparison among tests for fractional unit roots In: Economics Letters.
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article2
2002Trend stationarity versus long-range dependence in time series analysis In: Journal of Econometrics.
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article10
2005Sign tests for long-memory time series In: Journal of Econometrics.
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article4
2006Residual log-periodogram inference for long-run relationships In: Journal of Econometrics.
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article33
2002Residual Log-Periodogram Inference for Long-Run Relationships.(2002) In: Darmstadt Discussion Papers in Economics.
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2009A Wald test for the cointegration rank in nonstationary fractional systems In: Journal of Econometrics.
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2008A Wald Test for the Cointegration Rank in Nonstationary Fractional Systems.(2008) In: Research Memorandum.
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2010Distribution-free tests for time series models specification In: Journal of Econometrics.
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article2
2010Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics.
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2010Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print.
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2008Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers.
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2013Tests for m-dependence based on sample splitting methods In: Journal of Econometrics.
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2011Tests for m-dependence Based on Sample Splitting Methods.(2011) In: Working Papers.
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2018Inference on trending panel data In: Journal of Econometrics.
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2000Whittle pseudo-maximum likelihood estimation for nonstationary time series In: LSE Research Online Documents on Economics.
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2013On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios In: Journal of Financial Econometrics.
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2014On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios.(2014) In: Journal of Financial Econometrics.
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2014Delayed Overshooting: Its an 80s Puzzle In: Staff Papers.
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2014Delayed Overshooting: It’s an 80s Puzzle..(2014) In: CDMA Working Paper Series.
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2000FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS In: Computing in Economics and Finance 2000.
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paper2
2011Do Foreign Excess Return Regressions Convey Valid Information? In: Working Papers.
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2011On the Properties of Regression Tests of Asset Return Predictability In: Working Papers.
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2011The Forward Discount Puzzle: Identi cation of Economic Assumptions In: Working Papers.
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2009Comments on: A review on empirical likelihood methods for regression In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2011Comments on: Subsampling weakly dependent time series and application to extremes In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2013Comments on: Model-free model-fitting and predictive distributions In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2015Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study In: The Journal of Economic Education.
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2017Delayed Overshooting: Is It an 80s Puzzle? In: Journal of Political Economy.
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