Carlos Velasco

Full Professor. Director of Institute of Economics
Analysis of Temporary Economic Series, Dynamic Models, Persistence, Predictability and Causality
+34 91 624 9646 Office: 15.1.07
carlos.velasco@uc3m.es
Personal website - Currículum Vitae

Bio

Carlos Velasco is Professor of Economics at UC3M since 2007. He received his Ph.D. from the London School of Economics and has previously worked as Junior Lecturer at the Statistics Department of the University of Oxford, Associate Professor at the Statistics and Econometrics Department of UC3M and ICREA Research Professor at the Economics Department of UAB. His research is developed in the fields of dynamic econometric models and economic time series analysis with applications in macroeconomics and finance. He has published more than 45 papers in international journals and advised 8 PhD theses. He has directed several research projects and is coordinator of the MAD-ECO project. He has collaborated as Associate Editor for Econometric TheoryJournal of Time Series AnalysisJournal of Time Series EconometricsTEST and Spanish Economic Review and is Fellow of the Journal of Econometrics since 2010.

Publicaciones Destacadas

Robinson, P.M. and Velasco, C. "Inference on Trending Panel Data" Journal of Econometrics, 206, 282-304, 2018

Velasco, C., and Lobato I.N. "Frequency Domain Minimum Distance Inference for Possibly Noninvertible and Noncausal ARMA models". Annals of Statistics, 46, 555-579, 2018.

Kim, S.H.Moon, S. and Velasco, C. "Delayed Overshooting: Is It an 80s Puzzle?". Journal of Political Economy, 125, 1570-1522, 2017.

Lobato, I.N., and Velasco, C. "Efficient Wald Tests for Fractional Unit Roots", Econometrica, 75, 575-589, 2007.

Delgado, M.A., Hidalgo, J., and Velasco, C. "Distribution Free Goodness-of-fit Test for Linear Processes", Annals of Statistics, 33, 2568-2609,2005.

Recent Research

Robinson, P.M. and Velasco, C. "Estimation for Dynamic Panel Data with Individual Effects".

Lobato I.N., and Velasco, C. "Optimal Weighting for Minimum Distance Estimation of Causal and Invertible ARMA Models".

Dolado, J.J., Rachinger, H. and Velasco, C. "Lagrange Multiplier and Wald tests for a change in the persistence and level of a time series"

Ibañez and Velasco, C. "Recursive Dual Lower- and Upper-bounds for Bermudan-style Options".

Teaching

Advanced Econometrics, Econometría, Econometrics I (Master Análisis Económico), Econometrics: Time Series (Master en Desarrollo)

   
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