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Carlos Velasco

Personal Details

First Name:Carlos
Middle Name:
Last Name:Velasco
Suffix:
RePEc Short-ID:pve103
http://www.eco.uc3m.es/personal/info_contacto/cavelas.html
Departamento de Economia Universidad Carlos III de Madrid Calle Madrid 126 28903 Getafe (Madrid) Spain
Terminal Degree:1997 Economics Department; London School of Economics (LSE) (from RePEc Genealogy)

Affiliation

Departamento de Economía
Universidad Carlos III de Madrid

Madrid, Spain
http://www.eco.uc3m.es/

: +34-91 6249594
+34-91 6249329
C./ Madrid, 126, 28903 Getafe (Madrid)
RePEc:edi:deuc3es (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Yunus Emre Ergemen & Carlos Velasco, 2015. "Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence," CREATES Research Papers 2015-35, Department of Economics and Business Economics, Aarhus University.
  2. Kim, Seong-Hoon & Moon, Seongman & Velasco, Carlos, 2014. "Delayed Overshooting: It's an 80s Puzzle," Staff Papers 14-3, Korea Institute for International Economic Policy.
  3. Seong-Hoon Kim & Seongman Moon & Carlos Velasco, 2014. "Delayed Overshooting: It’s an 80s Puzzle," CDMA Working Paper Series 201410, Centre for Dynamic Macroeconomic Analysis.
  4. Igor Kheifets & Carlos Velasco, 2013. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924, Cowles Foundation for Research in Economics, Yale University.
  5. Robinson, Peter M. & Velasco, Carlos, 2013. "Efficient inference on fractionally integrated panel data models with fixed effects," LSE Research Online Documents on Economics 58063, London School of Economics and Political Science, LSE Library.
  6. Katarzyna Lasak & Carlos Velasco, 2013. "Fractional cointegration rank estimation," CREATES Research Papers 2013-08, Department of Economics and Business Economics, Aarhus University.
  7. Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, Center for Economic and Financial Research (CEFIR).
  8. Seongman Moon & Carlos Velasco, 2011. "On the Properties of Regression Tests of Asset Return Predictability," Working Papers 1111, Research Institute for Market Economy, Sogang University.
  9. Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers 1112, Research Institute for Market Economy, Sogang University.
  10. Seongman Moon & Carlos Velasco, 2011. "Do Foreign Excess Return Regressions Convey Valid Information?," Working Papers 1109, Research Institute for Market Economy, Sogang University.
  11. Seongman Moon & Carlos Velasco, 2011. "Tests for m-dependence Based on Sample Splitting Methods," Working Papers 1108, Research Institute for Market Economy, Sogang University.
  12. Velasco Gómez, Carlos & Delgado González, Miguel Ángel, 2010. "A distribution-free transform of the residuals sample autocorrelations with application to model checking," UC3M Working papers. Economics we101707, Universidad Carlos III de Madrid. Departamento de Economía.
  13. Velasco Gómez, Carlos & Andrietti, Vincenzo & D´Addazio, Rosaria, 2008. "Class Attendance and Academic Performance among Spanish Economics Students," UC3M Working papers. Economics we096138, Universidad Carlos III de Madrid. Departamento de Economía.
  14. Avarucci Marco & Velasco Carlos, 2008. "A Wald Test for the Cointegration Rank in Nonstationary Fractional Systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  15. Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  16. Velasco Gómez, Carlos & Delgado González, Miguel Ángel, 2007. "A new class of distribution-free tests for time series models specification," UC3M Working papers. Economics we078047, Universidad Carlos III de Madrid. Departamento de Economía.
  17. Javier Hualde & Carlos Velasco, 2006. "Distribution-free Tests of Fractional Cointegration," Faculty Working Papers 08/06, School of Economics and Business Administration, University of Navarra.
  18. Juan Carlos Escanciano & Carlos Velasco, 2006. "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
  19. Velasco Gómez, Carlos & Lobato, Ignacio N., 2005. "Efficient wald tests for fractional unit roots," UC3M Working papers. Economics we056935, Universidad Carlos III de Madrid. Departamento de Economía.
  20. Delgado, Miguel A. & Hidalgo, Javier & Velasco, Carlos, 2005. "Distribution free goodness-of-fit tests for linear processes," LSE Research Online Documents on Economics 6840, London School of Economics and Political Science, LSE Library.
  21. Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings 112, Econometric Society.
  22. Ignacio N. Lobato & Carlos Velasco, 2004. "Optimal Fractional Dickey-Fuller Tests for Unit Roots," Working Papers 0401, Centro de Investigacion Economica, ITAM.
  23. Velasco Gómez, Carlos & Escanciano, Juan Carlos, 2003. "Generalized spectral tests for the martingale difference hypothesis," DES - Working Papers. Statistics and Econometrics. WS ws035312, Universidad Carlos III de Madrid. Departamento de Estadística.
  24. Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Darmstadt University of Technology, Department of Law and Economics.
  25. Peter M Robinson & Carlos Velasco, 2000. "Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539," STICERD - Econometrics Paper Series 390, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  26. Uwe Hassler & Francesc Marmol & C. Velasco, 2000. "Fractional Cointegrating Regression In The Presence Of Linear Time Trends," Computing in Economics and Finance 2000 138, Society for Computational Economics.
  27. Robinson, Peter M. & Velasco, Carlos, 2000. "Edgeworth expansions for spectral density estimates and studentized sample mean," LSE Research Online Documents on Economics 2148, London School of Economics and Political Science, LSE Library.
  28. Robinson, Peter M. & Velasco, Carlos, 2000. "Whittle pseudo-maximum likelihood estimation for nonstationary time series," LSE Research Online Documents on Economics 2273, London School of Economics and Political Science, LSE Library.
  29. Peter M Robinson & Carlos Velasco, 2000. "Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)," STICERD - Econometrics Paper Series 391, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  30. Velasco Gómez, Carlos, 1998. "Local cross validation for spectrum bandwidth choice," DES - Working Papers. Statistics and Econometrics. WS 4556, Universidad Carlos III de Madrid. Departamento de Estadística.
  31. Velasco Gómez, Carlos, 1998. "Non-Gaussian log-periodogram regression," DES - Working Papers. Statistics and Econometrics. WS 4553, Universidad Carlos III de Madrid. Departamento de Estadística.
  32. Velasco Gómez, Carlos, 1998. "Non-stationary log-periodogram regression," DES - Working Papers. Statistics and Econometrics. WS 4554, Universidad Carlos III de Madrid. Departamento de Estadística.
  33. Velasco Gómez, Carlos, 1998. "Gaussian semiparametric estimation of non-stationary time series," DES - Working Papers. Statistics and Econometrics. WS 4555, Universidad Carlos III de Madrid. Departamento de Estadística.
  34. Peter M Robinson & Carlos Velasco, 1996. "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.)," STICERD - Econometrics Paper Series 316, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

Articles

  1. Lobato, Ignacio N. & Velasco, Carlos, 2018. "Efficiency improvements for minimum distance estimation of causal and invertible ARMA models," Economics Letters, Elsevier, vol. 162(C), pages 150-152.
  2. Seong-Hoon Kim & Seongman Moon & Carlos Velasco, 2017. "Delayed Overshooting: Is It an '80s Puzzle?," Journal of Political Economy, University of Chicago Press, vol. 125(5), pages 1570-1598.
  3. Kheifets, Igor & Velasco, Carlos, 2017. "New goodness-of-fit diagnostics for conditional discrete response models," Journal of Econometrics, Elsevier, vol. 200(1), pages 135-149.
  4. Ergemen, Yunus Emre & Velasco, Carlos, 2017. "Estimation of fractionally integrated panels with fixed effects and cross-section dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 248-258.
  5. Vincenzo Andrietti & Carlos Velasco, 2015. "Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study," The Journal of Economic Education, Taylor & Francis Journals, vol. 46(3), pages 239-259, July.
  6. Katarzyna Łasak & Carlos Velasco, 2015. "Fractional Cointegration Rank Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 241-254, April.
  7. Robinson, Peter M. & Velasco, Carlos, 2015. "Efficient inference on fractionally integrated panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 185(2), pages 435-452.
  8. Carlos Velasco & Xuexin Wang, 2015. "A Joint Portmanteau Test For Conditional Mean And Variance Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(1), pages 39-60, January.
  9. Seongman Moon & Carlos Velasco, 2013. "On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(1), pages 151-173, December.
  10. Moon, Seongman & Velasco, Carlos, 2013. "Tests for m-dependence based on sample splitting methods," Journal of Econometrics, Elsevier, vol. 173(2), pages 143-159.
  11. Carlos Velasco, 2013. "Comments on: Model-free model-fitting and predictive distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(2), pages 237-239, June.
  12. Carlos Velasco, 2011. "Comments on: Subsampling weakly dependent time series and application to extremes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 480-482, November.
  13. Delgado, Miguel A. & Velasco, Carlos, 2011. "An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking," Journal of the American Statistical Association, American Statistical Association, vol. 106(495), pages 946-958.
  14. Delgado, Miguel A. & Hidalgo, Javier & Velasco, Carlos, 2011. "Bootstrap Assisted Specification Tests For The Arfima Model," Econometric Theory, Cambridge University Press, vol. 27(05), pages 1083-1116, October.
  15. Escanciano, Juan Carlos & Velasco, Carlos, 2010. "Specification tests of parametric dynamic conditional quantiles," Journal of Econometrics, Elsevier, vol. 159(1), pages 209-221, November.
  16. Delgado, Miguel A. & Velasco, Carlos, 2010. "Distribution-free tests for time series models specification," Journal of Econometrics, Elsevier, vol. 155(2), pages 128-137, April.
  17. Miguel A. Delgado & Javier Hidalgo & Carlos Velasco, 2009. "Distribution-free specification tests for dynamic linear models," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 105-134, January.
  18. Carlos Velasco, 2009. "Comments on: A review on empirical likelihood methods for regression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 18(3), pages 455-457, November.
  19. Avarucci, Marco & Velasco, Carlos, 2009. "A Wald test for the cointegration rank in nonstationary fractional systems," Journal of Econometrics, Elsevier, vol. 151(2), pages 178-189, August.
  20. Lobato, Ignacio N. & Velasco, Carlos, 2008. "Power comparison among tests for fractional unit roots," Economics Letters, Elsevier, vol. 99(1), pages 152-154, April.
  21. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
  22. Hualde, Javier & Velasco, Carlos, 2008. "Distribution-Free Tests Of Fractional Cointegration," Econometric Theory, Cambridge University Press, vol. 24(01), pages 216-255, February.
  23. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, March.
  24. Carlos Velasco, 2007. "The Periodogram of fractional processes-super-1," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 600-627, July.
  25. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
  26. Ignacio N. Lobato & Carlos Velasco, 2006. "Optimal Fractional Dickey-Fuller tests," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 492-510, November.
  27. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Testing the martingale difference hypothesis using integrated regression functions," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.
  28. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Generalized spectral tests for the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 134(1), pages 151-185, September.
  29. J. Arteche & C. Velasco, 2005. "Trimming and Tapering Semi-Parametric Estimates in Asymmetric Long Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 581-611, July.
  30. Delgado, Miguel A. & Velasco, Carlos, 2005. "Sign tests for long-memory time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 215-251, October.
  31. Francesc Marmol & Carlos Velasco, 2004. "Consistent Testing of Cointegrating Relationships," Econometrica, Econometric Society, vol. 72(6), pages 1809-1844, November.
  32. Lobato, Ignacio N. & Velasco, Carlos, 2004. "A Simple Test Of Normality For Time Series," Econometric Theory, Cambridge University Press, vol. 20(04), pages 671-689, August.
  33. Carlos Velasco, 2003. "Gaussian Semi-parametric Estimation of Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 345-378, May.
  34. Marmol, Francesc & Velasco, Carlos, 2002. "Trend stationarity versus long-range dependence in time series analysis," Journal of Econometrics, Elsevier, vol. 108(1), pages 25-42, May.
  35. Velasco, Carlos & Robinson, Peter M., 2001. "Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean," Econometric Theory, Cambridge University Press, vol. 17(03), pages 497-539, June.
  36. Velasco, Carlos, 2000. "Non-Gaussian Log-Periodogram Regression," Econometric Theory, Cambridge University Press, vol. 16(01), pages 44-79, February.
  37. Lobato, Ignacio N & Velasco, Carlos, 2000. "Long Memory in Stock-Market Trading Volume," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 410-427, October.
  38. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Distinct Works, Weighted by Recursive Impact Factor
  3. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  5. Number of Journal Pages
  6. Number of Journal Pages, Weighted by Simple Impact Factor
  7. Number of Journal Pages, Weighted by Recursive Impact Factor
  8. Number of Journal Pages, Weighted by Number of Authors
  9. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  10. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  11. Betweenness measure in co-authorship network
  12. Wu-Index
  13. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 20 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (16) 2004-10-30 2006-01-24 2006-07-02 2006-07-02 2007-12-08 2008-08-21 2008-12-14 2009-02-28 2010-04-24 2011-11-28 2011-11-28 2012-03-28 2013-03-23 2013-11-09 2014-03-01 2015-08-30. Author is listed
  2. NEP-ETS: Econometric Time Series (11) 2004-10-30 2006-01-24 2006-07-02 2006-07-02 2007-12-08 2009-02-28 2010-04-24 2014-03-01 2015-02-28 2015-04-25 2015-08-30. Author is listed
  3. NEP-DCM: Discrete Choice Models (3) 2012-03-28 2013-11-09 2017-06-11
  4. NEP-ORE: Operations Research (3) 2009-02-28 2013-03-23 2014-03-01
  5. NEP-FOR: Forecasting (2) 2011-11-28 2011-11-28
  6. NEP-MON: Monetary Economics (2) 2011-11-28 2014-11-01
  7. NEP-GER: German Papers (1) 2015-08-30
  8. NEP-MAC: Macroeconomics (1) 2014-11-01
  9. NEP-OPM: Open Economy Macroeconomics (1) 2014-11-01

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