Jesús Gonzalo

Full Professor
Time Series Econometrics: Persistence, Non-Linearities and Dynamic Uncertainty.
+34 91 624 9853 Office: 15.1.15
Personal website


Ph.D. in Economics, U. California, San Diego, 1991 (with Profs. Clive Granger and Rob Engle).  A.Professor at Boston University from 1991-1996. Associate Professor at UC3M  from 1996-2003 and Full Professor since 2003. More than 6000 citations  in Google Scholar and on the top 3 and 5% of the world in many publication REPEC impact factors. Fellow of the Journal of Econometrics and of the International Association of Applied Econometrics.

Main Publications

Cheng, L., Dolado, J., and Gonzalo, J. "Quantile Factor Models". Econometrica, 2021.

Gadea, L., and Gonzalo, J. Trends in Distributional Characteristics; Existence of Global Warming”, Journal of Econometrics 2020.

Gonzalo, J. , and Pitarakis, J. “Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model". Journal of Business and Economic Statistics  2017

Berenguer-Rico, V., and Gonzalo, J. "Summability of Stochastic Processes (A Generalization of Integration and Co-integration valid for Non-linear Processes)" Journal of Econometrics, 178  2014

Figuerola-Ferreti, I., and Gonzalo, J. "Modelling and Measuring Price Discovery in Commodity Markets" Journal of Econometrics, 2010

 Dolado, J., Gonzalo, .J., and Mayoral, L. "A Fractional Dickey-Fuller Test" Econometrica  2002

 Gonzálo, J., and Granger, C. "Estimation of Common Long Memory Components in Cointegrated Systems". Journal of Business & Economic Statistics ,1995

Recent Research

Gadea, L., and Gonzalo, J. “Long-Term Climate Forecasts: A Heterogenous Future".

Gadea, L and Gonzalo, J. "Climate Change Heterogeneity: A New Quantitative Approach".

Gadea, L., and Gonzalo, J. " Warming Dominance in the Planet".

Alloza, M., Gonzalo, J, and C. Sanz, "Dynamic Effects of Persistent Shocks".

Chen, L., Dolado, J., Gonzalo, J, and P. Haozi, " Estimation of Characteristics-based Quantile Factor Models".

Gonzalo, J., and Pitarakis, J-Y. "Out of Sample Predictability in Predictive Regressions".


Undergraduate level: Econometric Tecniques.

Master level: Econometrics III (Economic Analysis); Econometrics I (Development Economics) and Econometrics I (Finance).