All Stories

  1. Efficient inference on fractionally integrated panel data models with fixed effects

    Article • Journal of Econometrics, April 2015, Elsevier

    Professor Carlos Velasco

  2. A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS

    Article • Journal of Time Series Analysis, September 2014, Wiley

    Professor Carlos Velasco

  3. Fractional Cointegration Rank Estimation

    Article • Journal of Business and Economic Statistics, July 2014, Taylor & Francis

    Professor Carlos Velasco

  4. Comments on: Model-free model-fitting and predictive distributions

    Article • Test, April 2013, Springer Science + Business Media

    Professor Carlos Velasco

  5. Tests for -dependence based on sample splitting methods

    Article • Journal of Econometrics, April 2013, Elsevier

    Professor Carlos Velasco

  6. Model Adequacy Checks for Discrete Choice Dynamic Models

    Article • August 2012, Springer Science + Business Media

    Professor Carlos Velasco

  7. Comments on: Subsampling weakly dependent time series and application to extremes

    Article • Test, November 2011, Springer Science + Business Media

    Professor Carlos Velasco

  8. BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL

    Article • Econometric Theory, April 2011, Cambridge University Press

    Professor Carlos Velasco

  9. Specification tests of parametric dynamic conditional quantiles

    Article • Journal of Econometrics, November 2010, Elsevier

    Professor Carlos Velasco

  10. Distribution-free tests for time series models specification

    Article • Journal of Econometrics, April 2010, Elsevier

    Professor Carlos Velasco

  11. Comments on: A review on empirical likelihood methods for regression

    Article • Test, November 2009, Springer Science + Business Media

    Professor Carlos Velasco

  12. A Wald test for the cointegration rank in nonstationary fractional systems

    Article • Journal of Econometrics, August 2009, Elsevier

    Professor Carlos Velasco

  13. Distribution-free specification tests for dynamic linear models

    Article • Econometrics Journal, January 2009, Oxford University Press (OUP)

    Professor Carlos Velasco

  14. Fractional cointegration in the presence of linear trends

    Article • Journal of Time Series Analysis, October 2008, Wiley

    Professor Carlos Velasco

  15. Power comparison among tests for fractional unit roots

    Article • Economics Letters, April 2008, Elsevier

    Professor Carlos Velasco

  16. Specification Tests of Parametric Dynamic Conditional Quantiles

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Professor Carlos Velasco

  17. DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION

    Article • Econometric Theory, September 2007, Cambridge University Press

    Professor Carlos Velasco

  18. The Periodogram of fractional processes

    Article • Journal of Time Series Analysis, July 2007, Wiley

    Professor Carlos Velasco

  19. Efficient Wald Tests for Fractional Unit Roots

    Article • Econometrica, March 2007, The Econometric Society

    Professor Carlos Velasco

  20. Testing the martingale difference hypothesis using integrated regression functions

    Article • Computational Statistics & Data Analysis, December 2006, Elsevier

    Professor Carlos Velasco

  21. Optimal Fractional Dickey–Fuller tests

    Article • Econometrics Journal, October 2006, Oxford University Press (OUP)

    Professor Carlos Velasco

  22. Generalized spectral tests for the martingale difference hypothesis

    Article • Journal of Econometrics, September 2006, Elsevier

    Professor Carlos Velasco

  23. Distribution free goodness-of-fit tests for linear processes

    Article • The Annals of Statistics, December 2005, Institute of Mathematical Statistics

    Professor Carlos Velasco

  24. Sign tests for long-memory time series

    Article • Journal of Econometrics, October 2005, Elsevier

    Professor Carlos Velasco

  25. Consistent Testing of Cointegrating Relationships

    Article • Econometrica, November 2004, The Econometric Society

    Professor Carlos Velasco

  26. A SIMPLE TEST OF NORMALITY FOR TIME SERIES

    Article • Econometric Theory, August 2004, Cambridge University Press

    Professor Carlos Velasco

  27. Nonparametric frequency domain analysis of nonstationary multivariate time series

    Article • Journal of Statistical Planning and Inference, September 2003, Elsevier

    Professor Carlos Velasco

  28. Gaussian Semi-parametric Estimation of Fractional Cointegration

    Article • Journal of Time Series Analysis, May 2003, Wiley

    Professor Carlos Velasco

  29. Trend stationarity versus long-range dependence in time series analysis

    Article • Journal of Econometrics, May 2002, Elsevier

    Professor Carlos Velasco

  30. Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

    Article • Journal of the American Statistical Association, December 2000, Taylor & Francis

    Professor Carlos Velasco

  31. Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

    Article • Journal of the American Statistical Association, December 2000, JSTOR

    Professor Carlos Velasco

  32. Long Memory in Stock-Market Trading Volume

    Article • Journal of Business and Economic Statistics, October 2000, JSTOR

    Professor Carlos Velasco

  33. Long Memory in Stock-Market Trading Volume

    Article • Journal of Business and Economic Statistics, October 2000, Taylor & Francis

    Professor Carlos Velasco

  34. Local Cross-validation for Spectrum Bandwidth Choice

    Article • Journal of Time Series Analysis, May 2000, Wiley

    Professor Carlos Velasco

  35. NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION

    Article • Econometric Theory, February 2000, Cambridge University Press

    Professor Carlos Velasco

  36. Non-stationary log-periodogram regression

    Article • Journal of Econometrics, August 1999, Elsevier

    Professor Carlos Velasco

  37. Gaussian Semiparametric Estimation of Non-stationary Time Series

    Article • Journal of Time Series Analysis, January 1999, Wiley

    Professor Carlos Velasco

  38. Fractional Cointegration Rank Estimation

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco

  39. Delayed Overshooting: It's an 80s Puzzle

    Article • SSRN Electronic Journal, Elsevier

    Professor Carlos Velasco

  40. Delayed Overshooting

    Article • SSRN Electronic Journal, Elsevier

    Professor Carlos Velasco, Dr Seong-Hoon Kim

  41. Pricing Bermudan Options by Simulation: When Optimal Exercise Matters

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco

  42. The Forward Discount Puzzle: Identification of Economic Assumptions

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco

  43. Are Foreign Excess Returns Always Predictable? Expectations Errors Revisited

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco

  44. On the Properties of Regression Tests of Asset Return Predictability

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco

  45. The Optimal Method for Pricing Bermudan Options by Simulation

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco

  46. Are Foreign Excess Returns Always Predictable? Expectations Errors Revisited

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco

  47. New Goodness-of-Fit Diagnostics for Conditional Discrete Response Models

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco

  48. Predictability Tests for the Expectations Hypothesis in the Presence of MA Disturbances

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco

  49. One-Factor Based Exercise Strategies for American Options in Multi-Factor Models

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Carlos Velasco