CV Carlos Velasco

Education:

Universidad de Valladolid, 1986-1991, BSc. Economics.
The London School of Economics, 1993-1997, Ph.D.

Positions:

Universidad Carlos III de Madrid (Department of Economics):
Professor (Catedrático), 2007-.
Associate Professor (Profesor Titular), 2004-2007.

Universitat Autònoma de Barcelona (Department of Economics):
ICREA Research Professor, 2003-2004.

Universidad Carlos III de Madrid (Department of Statistics and Econometrics):
Associate Professor (Profesor Titular), 2001-2004.
Visiting Professor (Tenure Track), 1997-2001.

University of Oxford (Department of Statistics):
Junior Lecturer, 1996-1997.

Universidad de Valladolid (Department of Applied Economics: Statistics and Econometrics):
FPU Fellowship, 1992-1993.
Assistant Professor, 1991-1992.

Honours and Fellowships

        Econometric Theory Multa Scripsit Award (2011).
        Fellow of the Journal of Econometrics (2010).
        Excellence Award to Young Researchers, Universidad Carlos III de Madrid (2009 and 2011).


Editorial and Professional Activities:

        Editorships:

        Spanish Economic Review, Associate Editor, (Springer, 2004-2006).
          Journal of Time Series Econometrics, Associate Editor (Berkeley Electronic Press, 2007-).
          TEST, Associate Editor (Springer, 2009-).

        Member of Scientific Committees:

        Econometrics and Empirical Economics Programme Committee of the Econometric Society European Meetings (ESEM), 2004, 2006, 2007, 2008, 2009, 2011.
        Econometrics and Empirical Economics Programme Committee for the Latin American Meeting of the Econometric Society (LAMES), 2006.
          Simposio de Análisis Económico 2006, 2007.

          Referee for:

Econometrica, Annals of Statistics, Review of Economic Studies, Journal of Econometrics, Bernoulli,
        Econometric Theory, Statistical Inference for Stochastic Processes, Stochastic Processes and its Applications,
        Journal of Time Series Analysis, International Journal of Forecasting, Journal of Water Resources Research,
        Econometrics Journal, The Manchester School, Investigaciones Económicas, Estadística.


Invited Lectures and Discussions:

Cowles Foundation 75th Anniversary Conference, A New Generation of Econometricians, University of Yale, 2007.
X Seminario sobre Especificación y Validación de Modelos Econométricos, Universidad de Zaragoza, Zaragoza, Spain, 2001.
2º Taller de Econometría y Series Temporales, Universidad de El País Vasco, Bilbao, Spain, 2001.
Rencontre, Analyse des Series Temporelles et Applications, Marseille, France, 2001.
Workshop on Nonparametric, Semiparametric and Resampling Methods, UC3M, 2000.
Cowles Conference on New Developments in Time Series Econometrics, University of Yale, 1999.

Ph.D. Supervision:

Juan Carlos Escanciano: "Specification Tests for Econometric Models of Time Series" (UC3M special award). Universidad Carlos III de Madrid (2004).
Katarzyna Lasak: "Likelihood Analysis of Fractionally Cointegrated Systems." Universidad Autònoma de Barcelona (2007).
Igor Kheifets: "Specification Tests for Financial Models." Universidad Carlos III de Madrid (exp. 2011).
Heiko Rachinger: “Multiple Breaks in Long Memory Time Series.” Universidad Carlos III de Madrid (exp. 2012). Job Market Candidate 2011/12.
Xuexin Wang: "Specification Tests based on Projections”. Universidad Carlos III de Madrid (exp. 2012). Job Market Candidate 2011/12.

Publications:

Articles:

1. `Semiparametric Gaussian Estimation of Non-Stationary Time Series', Journal of Time Series Analysis, 20, 87-127, 1999.

2. `Non-Stationary Log-Periodogram Regression', Journal of Econometrics, 91, 325-371, 1999.

3. `Non-Gaussian Log-Periodogram Regression', Econometric Theory, 16, 44-79, 2000.

4. `Local Cross Validation for Spectrum Bandwidth Choice', Journal of Time Series Analysis, 21, 329-361, 2000.

5. `Long Memory in Stock Market Trading Volume', with I.N. Lobato, Journal of Business and Economic Statistics, 18, 410-427, 2000.

6. `Whittle Pseudo-Maximum Likelihood Estimates of Non-Stationary Time Series', with P.M. Robinson, Journal of the American Statistical Association, 95, 1229-1243, 2000. Reprinted in Recent Developments in Time Series, eds. P. Newbold and S.J. Leybourne, Edward Elgar Publishing Ltd., UK, 2003.

7. `Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean', with P.M. Robinson, Econometric Theory, 17, 497-539, 2001.

8. `Trend Stationarity versus Long Range Dependence in Time Series Analysis', with F. Marmol, Journal of Econometrics, 108, 25-42, 2002.

9. `Gaussian Semiparametric Estimation of Fractional Cointegration', Journal of Time Series Analysis, 24, 345-378, 2003.

10. `Nonparametric Frequency Domain Analysis of Non-Stationary Multivariate Time Series', Journal of Statistical Planning and Inference, 116, 209-247, 2003.

11. `A Simple Test for Normality for Time Series', with I.N. Lobato. Econometric Theory, 20, 661-679, 2004.

12. `Consistent Testing of Cointegration Relationships', with F. Marmol, Econometrica, 72, 1809-1844, 2004.

13. `Trimming and Tapering Semiparametric Estimates in Asymmetric Long Memory Time Series', with J. Arteche. Journal of Time Series Analysis, 29, 581-611, 2005.

14. `Sign Tests for Long Memory Time Series', with M.A. Delgado, Journal of Econometrics, 128, 215-251, 2005.

15. `Distribution Free Goodness-of-fit Tests for Linear Processes', with M.A. Delgado and J. Hidalgo. Annals of Statistics, 33, 2568-2609, 2005.

16. `Residual Log-Periodogram Inference for Long-Run Relationships', with U. Hassler and F. Marmol, Journal of Econometrics, 130, 165-207, 2006.

17. `Generalized Spectral Tests for the Martingale Difference Hypothesis', with J.C. Escanciano, Journal of Econometrics, 134, 151-185, 2006.

18. `Optimal Fractional Dickey-Fuller Tests', with I.N. Lobato, Econometrics Journal, 9, 492-510. 2006.

19. `Testing the Martingale Difference Hypothesis using Integrated Regression Functions', with J.C. Escanciano, Computational and Statistical Data Analysis, 51, 2278-2294, 2006.

20. `The Periodogram of Fractional Processes', Journal of Time Series Analysis, 28, 600-627, 2007.

21. `Efficient Wald Tests for Fractional Unit Roots', with I.N. Lobato, Econometrica, 75, 575-589, 2007.

22. ‘Distribution-free tests of fractional cointegration’, with J. Hualde, Econometric Theory, 24, 216-255, 2008.

23. `Power comparison among tests for fractional unit roots', with I.N. Lobato, Economics Letters, 99, 152-154, 2008.

24. `Fractional cointegration in the presence of linear trends', with F. Marmol and U. Hassler, Journal of Time Series Analysis, 29, 1088-1103, 2008.

25. `A Wald test for the cointegration rank in nonstationary fractional systems', with M. Avarucci, Journal of Econometrics, 151, 178-189, 2009.

26. `Distribution Free Specification Tests for Dynamic Linear Models', with M.A. Delgado and F.J. Hidalgo, Econometrics Journal, 12, 105-134, 2009.

27. `Distribution-free Test for Time Series Model Specification', with M.A. Delgado, Journal of Econometrics, 155, 128-137, 2010.

28. `Specification Tests of Parametric Dynamic Conditional Quantiles', with J.C. Escanciano, Journal of Econometrics, 159, 209-221, 2010.

29. `Bootstrap Assisted Specification Tests for the ARFIMA Model', with M.A. Delgado and F.J. Hidalgo, Econometric Theory, 27, 1083-1116, 2011.

30. `An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking', with M.A. Delgado, Journal of the American Statistical Association, 106, 946-958, 2011.

Contributions to Volumes and Comments:

1. `Autocorrelation-Robust Inference', with P.M. Robinson. Handbook of Statistics 15 (Volumen in Robust Inference), G.S. Maddala and C.R. Rao eds., Amsterdam: North-Holland, 267-298, 1997.

2. `Semiparametric Estimation of Long-Memory Models'. Palgrave Handbook of Econometrics, Vol. 1. Econometric Theory, K. Patterson and T.C. Mills eds, Palgrave, MacMillan, 353-395, 2006.

3. `Comment on "A Review on Empirical Likelihood Methods for Regression" by Song Xi Chen and Ingrid Van Keilegom’, TEST, 18, 455-457, 2009.

4. `Comment on "Subsampling weakly dependent time series and application to extremes" by P. Doukhan, S. Prohl and C.Y. Robert’, TEST, 20, 480-482, 2011.

(Updated: November 2011)