Carlos Velasco
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Carlos |
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Velasco |
Identifer
Contact
Affiliations
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Universidad Carlos III de Madrid
/ Departamento de Economía
Research profile
author of:
- Fractional cointegration rank estimation (RePEc:aah:create:2013-08)
by Katarzyna Lasak & Carlos Velasco - Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence (RePEc:aah:create:2015-35)
by Yunus Emre Ergemen & Carlos Velasco - Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects (RePEc:aah:create:2018-11)
by Yunus Emre Ergemen & Carlos Velasco - Model Adequacy Checks for Discrete Choice Dynamic Models (RePEc:abo:neswpt:w0170)
by Igor Kheifets & Carlos Velasco - An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking (RePEc:bes:jnlasa:v:106:i:495:y:2011:p:946-958)
by Delgado, Miguel A. & Velasco, Carlos - Long Memory in Stock-Market Trading Volume (RePEc:bes:jnlbes:v:18:y:2000:i:4:p:410-27)
by Lobato, Ignacio N & Velasco, Carlos - Gaussian Semiparametric Estimation of Non‐stationary Time Series (RePEc:bla:jtsera:v:20:y:1999:i:1:p:87-127)
by Carlos Velasco - Local Cross‐validation for Spectrum Bandwidth Choice (RePEc:bla:jtsera:v:21:y:2000:i:3:p:329-361)
by Carlos Velasco - Gaussian Semi‐parametric Estimation of Fractional Cointegration (RePEc:bla:jtsera:v:24:y:2003:i:3:p:345-378)
by Carlos Velasco - Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series (RePEc:bla:jtsera:v:26:y:2005:i:4:p:581-611)
by J. Arteche & C. Velasco - The Periodogram of fractional processes1 (RePEc:bla:jtsera:v:28:y:2007:i:4:p:600-627)
by Carlos Velasco - Fractional cointegration in the presence of linear trends (RePEc:bla:jtsera:v:29:y:2008:i:6:p:1088-1103)
by Uwe Hassler & Francesc Marmol & Carlos Velasco - A Joint Portmanteau Test For Conditional Mean And Variance Time-Series Models (RePEc:bla:jtsera:v:36:y:2015:i:1:p:39-60)
by Carlos Velasco & Xuexin Wang - Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects (RePEc:bla:jtsera:v:40:y:2019:i:4:p:573-589)
by Yunus Emre Ergemen & Carlos Velasco - The optimal method for pricing Bermudan options by simulation (RePEc:bla:mathfi:v:28:y:2018:i:4:p:1143-1180)
by Alfredo Ibáñez & Carlos Velasco - 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.) (RePEc:cep:stiecm:316)
by Peter M Robinson & Carlos Velasco - Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539 (RePEc:cep:stiecm:390)
by Peter M Robinson & Carlos Velasco - Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) (RePEc:cep:stiecm:391)
by Peter M Robinson & Carlos Velasco - Distribution Free Goodness-of-Fit Tests for Linear Processes (RePEc:cep:stiecm:482)
by Miguel A. Delgado & Javier Hidalgo & Carlos Velasco - Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects (RePEc:cep:stiecm:567)
by Peter M Robinson & Carlos Velasco - Model Adequacy Checks for Discrete Choice Dynamic Models (RePEc:cfr:cefirw:w0170)
by Igor Kheifets & Carlos Velasco - Optimal Fractional Dickey-Fuller Tests for Unit Roots (RePEc:cie:wpaper:0401)
by Ignacio N. Lobato & Carlos Velasco - LM tests for joint breaks in the dynamics and level of a long-memory time series (RePEc:cpr:ceprdp:15435)
by Dolado, Juan J & Rachinger, Heiko & Velasco, Carlos - Efficient wald tests for fractional unit roots (RePEc:cte:werepe:we056935)
by Lobato, Ignacio N. - A new class of distribution-free tests for time series models specification (RePEc:cte:werepe:we078047)
by Delgado, Miguel A. & Velasco, Carlos - A new class of distribution-free tests for time series models specification (RePEc:cte:werepe:we090904)
by Delgado, Miguel A. & Velasco, Carlos - Class Attendance and Academic Performance among Spanish Economics Students (RePEc:cte:werepe:we096138)
by Andrietti, Vincenzo & D´Addazio, Rosaria - A distribution-free transform of the residuals sample autocorrelations with application to model checking (RePEc:cte:werepe:we101707)
by Delgado, Miguel A. & Velasco, Carlos - Unknown item RePEc:cte:wsrepe:4553 (paper)
- Unknown item RePEc:cte:wsrepe:4554 (paper)
- Unknown item RePEc:cte:wsrepe:4555 (paper)
- Unknown item RePEc:cte:wsrepe:4556 (paper)
- Unknown item RePEc:cte:wsrepe:ws035312 (paper)
- Non-Gaussian Log-Periodogram Regression (RePEc:cup:etheor:v:16:y:2000:i:01:p:44-79_16)
by Velasco, Carlos - Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean (RePEc:cup:etheor:v:17:y:2001:i:03:p:497-539_17)
by Velasco, Carlos & Robinson, Peter M. - A Simple Test Of Normality For Time Series (RePEc:cup:etheor:v:20:y:2004:i:04:p:671-689_20)
by Lobato, Ignacio N. & Velasco, Carlos - Distribution-Free Tests Of Fractional Cointegration (RePEc:cup:etheor:v:24:y:2008:i:01:p:216-255_08)
by Hualde, Javier & Velasco, Carlos - Bootstrap Assisted Specification Tests For The Arfima Model (RePEc:cup:etheor:v:27:y:2011:i:05:p:1083-1116_00)
by Delgado, Miguel A. & Hidalgo, Javier & Velasco, Carlos - Estimation For Dynamic Panel Data With Individual Effects (RePEc:cup:etheor:v:36:y:2020:i:2:p:185-222_1)
by Robinson, Peter M. & Velasco, Carlos - New Goodness-of-fit Diagnostics for Conditional Discrete Response Models (RePEc:cwl:cwldpp:1924)
by Igor Kheifets & Carlos Velasco - New Goodness-of-fit Diagnostics for Conditional Discrete Response Models (RePEc:cwl:cwldpp:1924r)
by Igor Kheifets & Carlos Velasco - Residual log-periodogram inference for long-run relationships (RePEc:dar:wpaper:18289)
by Hassler, Uwe & Marmol, Francesc & Velasco, Carlos - Residual Log-Periodogram Inference for Long-Run-Relationships (RePEc:dar:wpaper:37317)
by Hassler, Uwe & Marmol, Francesc & Velasco, Carlos - Residual Log-Periodogram Inference for Long-Run-Relationships (RePEc:dar:wpaper:77562)
by Hassler, Uwe & Marmol, Francesc & Velasco, Carlos - Consistent Testing of Cointegrating Relationships (RePEc:ecm:emetrp:v:72:y:2004:i:6:p:1809-1844)
by Francesc Marmol & Carlos Velasco - Efficient Wald Tests for Fractional Unit Roots (RePEc:ecm:emetrp:v:75:y:2007:i:2:p:575-589)
by Ignacio N Lobato & Carlos Velasco - A simple and general test for white noise (RePEc:ecm:latm04:112)
by Carlos Velasco & Ignacio N. Lobato - Distribution-free specification tests for dynamic linear models (RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s105-s134)
by Miguel A. Delgado & Javier Hidalgo & Carlos Velasco - Optimal Fractional Dickey-Fuller tests (RePEc:ect:emjrnl:v:9:y:2006:i:3:p:492-510)
by Ignacio N. Lobato & Carlos Velasco - Testing the martingale difference hypothesis using integrated regression functions (RePEc:eee:csdana:v:51:y:2006:i:4:p:2278-2294)
by Escanciano, J. Carlos & Velasco, Carlos - Efficiency improvements for minimum distance estimation of causal and invertible ARMA models (RePEc:eee:ecolet:v:162:y:2018:i:c:p:150-152)
by Lobato, Ignacio N. & Velasco, Carlos - Power comparison among tests for fractional unit roots (RePEc:eee:ecolet:v:99:y:2008:i:1:p:152-154)
by Lobato, Ignacio N. & Velasco, Carlos - Trend stationarity versus long-range dependence in time series analysis (RePEc:eee:econom:v:108:y:2002:i:1:p:25-42)
by Marmol, Francesc & Velasco, Carlos - Sign tests for long-memory time series (RePEc:eee:econom:v:128:y:2005:i:2:p:215-251)
by Delgado, Miguel A. & Velasco, Carlos - Residual log-periodogram inference for long-run relationships (RePEc:eee:econom:v:130:y:2006:i:1:p:165-207)
by Hassler, U. & Marmol, F. & Velasco, C. - Generalized spectral tests for the martingale difference hypothesis (RePEc:eee:econom:v:134:y:2006:i:1:p:151-185)
by Escanciano, J. Carlos & Velasco, Carlos - A Wald test for the cointegration rank in nonstationary fractional systems (RePEc:eee:econom:v:151:y:2009:i:2:p:178-189)
by Avarucci, Marco & Velasco, Carlos - Distribution-free tests for time series models specification (RePEc:eee:econom:v:155:y:2010:i:2:p:128-137)
by Delgado, Miguel A. & Velasco, Carlos - Specification tests of parametric dynamic conditional quantiles (RePEc:eee:econom:v:159:y:2010:i:1:p:209-221)
by Escanciano, Juan Carlos & Velasco, Carlos - Tests for m-dependence based on sample splitting methods (RePEc:eee:econom:v:173:y:2013:i:2:p:143-159)
by Moon, Seongman & Velasco, Carlos - Efficient inference on fractionally integrated panel data models with fixed effects (RePEc:eee:econom:v:185:y:2015:i:2:p:435-452)
by Robinson, Peter M. & Velasco, Carlos - Estimation of fractionally integrated panels with fixed effects and cross-section dependence (RePEc:eee:econom:v:196:y:2017:i:2:p:248-258)
by Ergemen, Yunus Emre & Velasco, Carlos - New goodness-of-fit diagnostics for conditional discrete response models (RePEc:eee:econom:v:200:y:2017:i:1:p:135-149)
by Kheifets, Igor & Velasco, Carlos - Inference on trending panel data (RePEc:eee:econom:v:206:y:2018:i:2:p:282-304)
by Robinson, Peter M. & Velasco, Carlos - Non-stationary log-periodogram regression (RePEc:eee:econom:v:91:y:1999:i:2:p:325-371)
by Velasco, Carlos - Recursive lower and dual upper bounds for Bermudan-style options (RePEc:eee:ejores:v:280:y:2020:i:2:p:730-740)
by Ibáñez, Alfredo & Velasco, Carlos - Edgeworth expansions for spectral density estimates and studentized sample mean (RePEc:ehl:lserod:2148)
by Robinson, Peter M. & Velasco, Carlos - Whittle pseudo-maximum likelihood estimation for nonstationary time series (RePEc:ehl:lserod:2273)
by Robinson, Peter M. & Velasco, Carlos - Edgeworth expansions for spectral density estimates and studentized sample mean (RePEc:ehl:lserod:315)
by Velasco, Carlos & Robinson, Peter M. - Efficient inference on fractionally integrated panel data models with fixed effects (RePEc:ehl:lserod:58063)
by Robinson, Peter M. & Velasco, Carlos - Efficient inference on fractionally integrated panel data models with fixed effects (RePEc:ehl:lserod:60795)
by Robinson, Peter M. & Velasco, Carlos - Distribution free goodness-of-fit tests for linear processes (RePEc:ehl:lserod:6840)
by Delgado, Miguel A. & Hidalgo, Javier & Velasco, Carlos - Inference on trending panel data (RePEc:ehl:lserod:89192)
by Robinson, Peter & Velasco, Carlos - Specification tests of parametric dynamic conditional quantiles (RePEc:hal:journl:hal-00732534)
by J. Carlos Escanciano & Carlos Velasco - Specification Tests of Parametric Dynamic Conditional Quantiles (RePEc:inu:caeprp:2008021)
by Juan Carlos Escanciano & Carlos Velasco - Single step estimation of ARMA roots for nonfundamental nonstationary fractional models
[Non-fundamentalness in structural econometric models: A review] (RePEc:oup:emjrnl:v:25:y:2022:i:2:p:455-476.)
by Ignacio N Lobato & Carlos Velasco - On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios (RePEc:oup:jfinec:v:12:y:2013:i:1:p:151-173)
by Seongman Moon & Carlos Velasco - On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios (RePEc:oup:jfinec:v:12:y:2014:i:1:p:151-173.)
by Seongman Moon & Carlos Velasco - Delayed Overshooting: It's an 80s Puzzle (RePEc:ris:kiepsp:2014_003)
by Kim, Seong-Hoon & Moon, Seongman & Velasco, Carlos - Fractional Cointegrating Regression In The Presence Of Linear Time Trends (RePEc:sce:scecf0:138)
by Uwe Hassler & Francesc Marmol & C. Velasco - Tests for m-dependence Based on Sample Splitting Methods (RePEc:sgo:wpaper:1108)
by Seongman Moon & Carlos Velasco - Do Foreign Excess Return Regressions Convey Valid Information? (RePEc:sgo:wpaper:1109)
by Seongman Moon & Carlos Velasco - On the Properties of Regression Tests of Asset Return Predictability (RePEc:sgo:wpaper:1111)
by Seongman Moon & Carlos Velasco - The Forward Discount Puzzle: Identi cation of Economic Assumptions (RePEc:sgo:wpaper:1112)
by Seongman Moon & Carlos Velasco - Comments on: A review on empirical likelihood methods for regression (RePEc:spr:testjl:v:18:y:2009:i:3:p:455-457)
by Carlos Velasco - Comments on: Subsampling weakly dependent time series and application to extremes (RePEc:spr:testjl:v:20:y:2011:i:3:p:480-482)
by Carlos Velasco - Comments on: Model-free model-fitting and predictive distributions (RePEc:spr:testjl:v:22:y:2013:i:2:p:237-239)
by Carlos Velasco - Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study (RePEc:taf:jeduce:v:46:y:2015:i:3:p:239-259)
by Vincenzo Andrietti & Carlos Velasco - Fractional Cointegration Rank Estimation (RePEc:taf:jnlbes:v:33:y:2015:i:2:p:241-254)
by Katarzyna Łasak & Carlos Velasco - LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series (RePEc:taf:jnlbes:v:40:y:2022:i:2:p:629-650)
by Juan J. Dolado & Heiko Rachinger & Carlos Velasco - Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics (RePEc:taf:jnlbes:v:41:y:2023:i:3:p:819-832)
by Carlos Velasco - Fractional Cointegration Rank Estimation (RePEc:tin:wpaper:20140021)
by Katarzyna Lasak & Carlos Velasco - Delayed Overshooting: Is It an '80s Puzzle? (RePEc:ucp:jpolec:doi:10.1086/693372)
by Seong-Hoon Kim & Seongman Moon & Carlos Velasco - Testing the Martingale Difference Hypothesis Using Integrated Regression Functions (RePEc:una:unccee:wp0606)
by Juan Carlos Escanciano & Carlos Velasco - Distribution-free Tests of Fractional Cointegration (RePEc:una:unccee:wp0806)
by Javier Hualde & Carlos Velasco - A wald test for the cointegration rank in nonstationary fractional systems (RePEc:unm:umamet:2008049)
by Avarucci, M. & Velasco, C. - Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption (RePEc:wyi:wpaper:002595)
by Carlos Velasco & Xuexin Wang - Residual Log-Periodogram Inference for Long-Run Relationships (RePEc:zbw:darddp:dar_37317)
by Hassler, Uwe & Marmol, Francesc & Velasco, Carlos