
![]() |
Name: | Jesús
Gonzalo |
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| E-mail: | jesus.gonzalo@uc3m.es | ||
| Phone: | +34 91 624-9853 | ||
| Fax: | +34 91 6249329 | ||
| Office: | 15.1.15 | ||
| Curriculum || | Publications|| Working Papers | ||
| Personal || Teaching | |||
| Academia.edu
|| My
Department |
This web page can be found also in Chinesse
(notice that there could be some mistakes...I am not very fluent in Chinesse yet).Jesús Gonzalo was born in El Burgo de Osma (SORIA). Do you want to hear las campanas de la catedral? Do you want to go?
B.A. from Universidad Complutense of Madrid and Ph.D. from University of California, San Diego (1991).
Sloan Ph.D. Fellowship (1990-91). Who's Who Among Students in American Universities (1991). Who's Who in the World (edition year 2000).
Assistant Professor in Boston University (1991-1996). Associate Editor of Journal of Applied Econometrics (2002-...).
Research on: Econometrics, Time Series, Applied Macro and Finance.
Recent Research Interests: Persistence-Long Memory, Asymmetries-Non Linearities, Extremes, Explosive Processes.
University Carlos III de Madrid Research Award (1999-2001) and (2001-2003).
The Tallest econometrician (196 cm) playing goalkeeper and
maybe the guy who first ever ordered an "Ice-Capuchino" (Summer 1990, California) (w.c= who cares!!).
I am also the president of the NGO "People non-affected by Madoff's scandal BUT would like to have been affected."
On the TOP 250 most cited Worldwide Economists in the 90´s (see below).![]()
Distinguished Visitor U. California, Riverside.In WHO'S WHO in ECONOMICS (4th Edition, 2003, edited by Mark Blaug)
The most convenient Ranking of Econ Depts (pdf)
WorldWide Ranking of Economists in the 90´s (pdf)![]()
My position in the latest "Worldwide Econometrics Ranking 1989-2005" (by Badi H. Baltagi):
- By Kilograms of Publications (n. of pages) ....... number 164
- By KMS Impact Factor .......................................... number 133
- By LBPK Impact Factor .......................................... number 134
- By SSCI Impact Factor .......................................... number 91
- By height ................................................................. Top 20 (ranking done by myself)
And the NOBEL 03 goes ...... to ..... Clive and Rob (report and video)
and an EXCLUSIVE PICTURE (guess who did not win the Nobel)
Paco Marmol's HOMAGEMAY 27th 2009: A VERY VERY VERY VERY SAD DAY.....Clive Granger passed away
(presented at the NBER-NSF Time Series Meeting 2009, UC Davis)
WHAT A CONFERENCE has organized ROBERT TAYLOR in Nothinghan in honor of CLIVE GRANGER
Believe it or not I am now the CHAIRMAN of the ECON DEPT
RECENT PUBLICATIONS:
(please let me know it if you have any problems downloading any of them!!!) [More Stuff in RePEC]
- "Pitfalls in Testing for Long Run relationships" (con Tae Lee), Journal of Econometrics (1998), 86, 129-154. In the Most Requested Articles of the JEC (unto and including Nov'99).
- "On the Robutness of Cointegration Tests when Series are Fractionally Integrated" (with Tae Lee), Journal of Applied Statistics (2000),vol 27, No 7, 821-827.
- "A Primer in Cointegration" (with Juan Jose Dolado and Francesc Marmol), chapter 30 in Baltagui, A Companion to Theoretical Econometrics, 2001, edited by B.H. Baltagui, Blackwell, New York.
- "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks" (with Serena Ng), Journal of Economic Dynamics & Control, (2001), 25, 1527-1546.
- "Lag Lenth Estimation in Large Dimensional Systems" (with Jean-Yves Pitarakis), Journal of Time Series Analysis (2002), Vol 23, No. 4, 401-423.
- "Estimation and Model Selection Based Inference in Single and Multiple Threshold Models" (with Jean-Yves Pitarakis), Journal of Econometrics (2002), 110, 319-352.
- "A Fractional Dickey-Fuller Test" (with Juan Jose Dolado and Laura Mayoral) , Econometrica (2002), vol 70, No5, 1963-2006.
- "Long Memory in the Spanish Political Opinion Polls" (with Juan J. Dolado and Laura Mayoral), Journal of Applied Econometrics (2003), vol 18, No. 2, 137-155.
- "Which Extreme Values Are Really Extremes?" (with Jose Olmo), Journal of Financial Econometrics (2004), Vol 2, No 3, 349-369.
- "Subsampling Inference in Threshold Autoregressive Models" (with Michael Wolf), Journal of Econometrics (2005), 127, 201-224.
- "Threshold Effects in Multivariate Error Correction Models" (with Jean-Yves Pitarakis), Palgrave Handbook of Econometrics, 2006, Vol I, Chapter 15.
- "Large versus small Shocks (or Does Size Matter? Maybe so)" (with Oscar Martinez), Journal of Econometrics (2006), 135, 311-347.
- "Threshold Effects in Cointegrating Regressions" (with Jean-Yves Pitarakis), Oxford Bulletin of Economics and Statistics (2006), 813-833.
- "Permanent and Transitory Components of GDP and Stock Prices: Further Analysis" (with Tae-Hwy Lee and Weiping Yang), Macroeconomics and Finance in Emerging Market Economies, (2008), Vol 1, 105-120.
- "WALD Tests of I(1) Against I(d) Alternatives: Some New Properties and Extension to Processes with Trending Components" (with Juan J. Dolado and Laura Mayoral). Studies in Nonlinear Dynamics and Econometrics, (2008), vol 12, Article 1 (pages 1-32).
- "Simple WALD Tests of the Fractional Integration Parameter: An Overview of New Results" (with Juan J. Dolado and Laura Mayoral) in The Methodology and Practice of Econometrics, edited by J. Castle and N. Shephard, .Oxford University Press (2009), pages 300-321.
- "Modelling and Measuring Price Discovery in Commodity Markets" (with Isabel Figuerola-Ferreti), Journal of Econometrics 158 (2010) 95-107
“The Making of Estimation of Common Long Memory Components in Cointegrated Systems”, Journal of Financial Econometrics (2010), Vol 8, No. 2, 174-176.
- "Regime Specific Predictability in Predictive Regressions" (with Jean-Yves Pitarakis), Journal of Business and Economic Statistics (forthcoming 2011)