Name:	Jesús Gonzalo
		E-mail:	jesus.gonzalo@uc3m.es
		Phone:	+34 91 624-9853
		Fax:	+34 91 6249329
		Office:	15.1.15
		CVGoogle                     || CV2Pages	Publications || Working Papers
			Personal  + Old stuff      || Teaching
			Academia.edu ||  My Department
			RePEC  and citations in Google Scholar RANKINGS of the Journal of Econometrics Top 5% Authors REPEC

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).
Ass. Professor in Boston University (1991-1996).
Full Professor, Economics Dept. UC3M (2003-...)
Associate Editor of  Journal of Applied Econometrics (2002-2006).
GlOBAL Research on: Econometrics, Time Series, Applied Macro and Finance, CLIMATE CHANGE, BIG DATA and PREDICTION
Particular Recent Research Interests: Climate Heterogeneity,  Quantile Factor Models, Persistence-Long Memory, Asymmetries-Non Linearities, Extremes, Bubbles, Permanent-Transitory issues, Trends.

University Carlos III de Madrid Research Award (1999-2022).

The Tallest econometrician (195 cm) playing goalkeeper and
maybe the guy who first ever ordered an "Ice-Capuchino" (Summer 1989, California) (w.c= who cares!!) (six years later Starbucks made it popular).

On the TOP 250 most cited Worldwide Economists in the 90´s (pdf).

TWO papers on the top 1% MOST CITED PAPERS in the world (up to Nov 2023)

SEVERAL nice RANKINGS of the Journal of Econometrics.

Distinguished Visitor U. California, Riverside.

In WHO'S WHO in ECONOMICS (4th Edition, 2003, edited by Mark Blaug).

Fellow of the Journal of Econometrics (2014-....),  the best journal in Econometrics (remember that Economics without Econometrics is a coffee talk)

Fellow of the International Association for Applied Econometrics   (2019 - .....)

And the NOBEL 2003 goes ...... to ..... Clive and Rob  (report and video) 
and an EXCLUSIVE PICTURE (guess who did not win the Nobel)

Believe it or not I have been CHAIRMAN of the ECON DEPT (2010-2012)

2024 RANKING of Departments in ECONOMICS-ECONOMETRICS ......61th in the World...not bad ehhhhh

Video explaining CLIMATE CHANGE to Elementary and Secondary School students.

RECENT PUBLICATIONS:
(please let me know it if you have any problems downloading any of them!!!) [More Stuff in RePEC  and citations in Google Scholar]
(Recent financial support from the Spanish MICINN-AEI under grants PID2019-104960GB-I00 and TED2021-129784B-I00 is gratefully acknowledged)

• "Pitfalls in Testing for Long Run relationships"  (con Tae Lee), Journal of Econometrics  (1998), 86, 129-154. In the TOP 10 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 (PDF), vol 30, issue 2, 2012, pages 229-241.
• "Estimation and Inference in Threshold Type Regime Switching Models" (with Jean-Yves Pitarakis), 2013, Chapter 8th in Handbook of Research Methods and Applications in Empirical Macroeconomics (EE Handbook), pages 189-205.
• "Summability of Stochastic Processes (A Generalization of Integration and Co-integration valid for Non-linear Processes)"  (with Vanessa Berenguer-Rico), Journal of Econometrics,  178 (2014) 331–341.
   [The degree of Summability can be easily estimated in E-Views]  The code used for this paper: SummabilityMatlab ,   SummabilityGauss 
  
• "Conditional Stochastic Dominance Tests in Dynamic Settings" (with Jose Olmo), International Economic Review 55 (2014), 3, 819-838.
• "Detecting Big Structural Breaks in Large Factor Model"  (with Liang Cheng and Juan Jose Dolado) (+ Online Appendix),  Journal of Econometrics 180 (May 2014), Issue 1, Pages 30–48.
   [It is amazing how easily can this test be implemented in E-Views....A huge advantage with respect other existing tests]
• "Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model" (with Jean-Yves Pitarakis) (PDF) + (Appendix), Journal of Business and Economic Statistics, Volume 35, 2017,  Pages 202-217.  
• "The Reaction of Stock Market Returns to Unemployment" (with Abderrahim Taamouti) (PDF). Studies in Nonlinear Dynamics & Econometrics, 2017, vol. 21(4), pages 1-20.
• "Differences between short and long term risk aversion: an optimal asset allocation perspective" (with Jose Olmo) (PDF ) (Appendix Online). OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 81, 1 (2019) pages 42-61.
• "Predictive Regressions" (with Jean-Yves Pitarakis) (PDF ). Oxford Research Encyclopedia of Economics and Finance, pages 1-19, 2019. doi: http://dx.doi.org/10.1093/acrefore/9780190625979.013.494.
  
• "Trends in Distributional Characteristics: Existence of Global Warming" (with Lola Gadea) (PDF). Journal of Econometrics  (Volume 214, Issue 1, 2020, Pages 153-174)
  

• "Uncovering Regimes in Out of Sample Forecast Errors" (with Anibal Emiliano Da Silva Jesus Gonzalo Jean-Yves Pitarakis) OBES, 2021, Vol 83, Issue 3, Pages 713-741. 
  https://doi.org/10.1111/obes.12418 
• "Spurious Relationships in High Dimensional Systems with Strong or Mild Persistence" (with Jean-Yves Pitarakis)  (PDF ) (IJF 37 (2021), 1480-1491))
• "Quantile Factor Models" (with Liang Chen and Juan Jose Dolado)  (PDF + Online Appendix) + MATLAB CODE,  Econometrica, Vol. 89, No. 2 (March, 2021), 875–910)
• "A Tale of Three Cities: Climate heterogeneity" (with Lola Gadea), SERIES (special issue in honor of my friend Juanjo Dolado), 2021, https://doi.org/10.1007/s13209-021-00254-4 
• "Nonparametric estimation of functional dynamic factor model" (with Israel Martinez-Hernandez and Graciela Gonzalez-Farias), Journal of Nonparametric Statistics, 2022, https://doi.org/10.1080/10485252.2022.2080825 
• "Heterogeneous Predictive Association of CO2 with Global Warming" (with Chen, Dolado, and Ramos), (Economica 25 July, 2023 -- 100 YEARS of LSE). 
• "Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates" (with Jean-Yves Pitarakis) (PDF) (Supplement) (IJF, 2024, vol 40, Issue 3, Pages 1166-1178).
• "Trends in Temperature Data: Micro-foundations of Their Nature" (with Lola Gadea and Andrey Ramos) (Economics Letters, Volume 244, November 2024, 111992)
• "Dynamic Effects of Persistent Shocks" (with Mario Alloza and Carlos Sanz) (This version July, 2024) (forthcoming JAE)
  
  

+ Working Papers