WORKING PAPERS
(please let me know it if you have any problems downloading any of them!!!!)
"Warming Dominance across the Planet" (with Lola Gadea) (2023).
"Trends in Temperature Data: Micro-foundations of Their Nature" (with Lola Gadea and Andrey Ramos) (2023)
Abstract:
Determining whether Global Average Temperature (GAT) is an integrated process of
order 1, I(1), or is a stationary process around a trend function is crucial for detection,
attribution, impact and forecasting studies of climate change. In this paper, we investigate
the nature of trends in GAT building on the analysis of individual temperature grids. Our
’micro-founded’ evidence suggests that GAT is stationary around a non-linear deterministic
trend in the form of a linear function with a one-period structural break. This break can be
attributed to a combination of individual grid breaks and the standard aggregation method
under acceleration in global warming. We illustrate our findings using simulations.
"Estimation of Characteristics-based Quantile Factor Models" (Appendix) (with Liang Chen, Juanjo Dolado and Haozi Pan) (2023).
Abstract:
This paper studies the estimation of characteristic-based quantile factor models
where the factor loadings are unknown functions of observed individual characteristics
while the idiosyncratic error terms are subject to conditional quantile restrictions. We
propose a three-stage estimation procedure that is easily implementable in practice
and has nice properties. The convergence rates, the limiting distributions of the
estimated factors and loading functions, and a consistent selection criterion for the
number of factors at each quantile are derived under general conditions. The proposed
estimation methodology is shown to work satisfactorily when: (i) the idiosyncratic
errors have heavy tails, (ii) the time dimension of the panel dataset is not large,
and (iii) the number of factors exceeds the number of characteristics. Finite sample
simulations and an empirical application aimed at estimating the loading functions
of the daily returns of a large panel of S&P500 index securities help illustrate these
properties.
"Climate Change Heterogeneity: A New Quantitative Approach" (with Lola Gadea) (2022) (R&R in PLOS ONE).
Abstract:
Climate change is a non-uniform phenomenon. This paper proposes a new quantitative methodology to characterize, measure and test the existence of climate change heterogeneity. It consists of three steps. First, we introduce a new testable warming typology based on the evolution of the trend of the whole temperature distribution and not only on the average. Second, we define the concepts of warming acceleration and warming amplification in a testable format. And third, we introduce the new testable concept of warming dominance to determine whether region A is suffering a worse warming process than region B. Applying this three-step methodology, we find that Spain and the Globe experience a clear distributional warming process (beyond the standard average) but of different types. In both cases, this process is accelerating over time and asymmetrically amplified. Overall, warming in Spain dominates the Globe in all the quantiles except the lower tail of the global temperature distribution that corresponds to the Artic region. Our climate change heterogeneity results open the door to the need for a non-uniform causal-effect climate analysis that goes beyond the standard causality in mean as well as for a more efficient design of the mitigation-adaptation policies. In particular, the heterogeneity we find suggests that these policies should contain a common global component and a clear local-regional element. Future climate agreements should take the whole temperature distribution into account.
"PaleoCooling and PaleoWarming" (with Andrey Ramos) (2022).
Abstract:
SOON!!
"Out of Sample Predictability in Predictive Regressions
with Many Predictor Candidates" (with Jean-Yves Pitarakis) (PDF) (Supplement) (forthcoming IJF, 2023)
Abstract:
This paper is concerned with detecting the presence of out of sample predictability
in linear predictive regressions with a potentially large set of candidate predictors. We
propose a procedure based on out of sample MSE comparisons that is implemented
in a pairwise manner using one predictor at a time and resulting in an aggregate test
statistic that is standard normally distributed under the null hypothesis of no linear
predictability. Predictors can be highly persistent, purely stationary or a combination
of both. Upon rejection of the null hypothesis we subsequently introduce a predictor
screening procedure designed to identify the most active predictors.
"Dynamic Effects of Persistent Shocks" (with Mario Alloza and Carlos Sanz) (This version Oct-2023) (R&R JAE)
Abstract:
We provide evidence that many narrative shocks used by prominent literature display some persistence. We show that the two leading methods to estimate impulse responses to an independently identified shock (local projections and distributed lag models) treat persistence differently, hence identifying different objects. We propose corrections to re-establish the equivalence between local projections and distributed lag models, providing applied researchers with methods and guidance to estimate their desired object of interest. We apply these methods to well-known empirical work and find that how persistence is treated has a sizable impact on the estimates of dynamic effects.
"Polar Warming" (with Lola Gadea) (2019)
Abstract:
In Revision!!!!...Stay tuned!!
"Long-Term Climate Forecasts" (with Lola Gadea) (2023)
Abstract:
In Revision!!!!...Stay tuned!!
"Threshold Stochastic Unit Root Models" (with Raquel Montesion and Junji Peng) (2018)
Abstract:
"Co-Summability" (with Vanessa Bereneguer-Rico) (PDF + Code available upon request) (This version is October 2014)
A Short Informal Abstract:
Co-integration plays a fundamental role in the econometric analysis of linear relationships
among persistent economic time series. Nonetheless, nonlinearities are often encountered in
modern macroeconometric models that account for more ‡exible relationships. In a nonlinear
world, however, the concepts order of integration and co-integration are not readily applicable.
The inherent linearity in the order of integration idea invalidates its use to characterize nonlinear
persistent and/or nonstationary processes and this, in turn, implies that co-integration cannot
be directly extended to study nonlinear relationships.
To overcome these hindrances, Berenguer-Rico and Gonzalo (2014) formalized the concept
order of summability of a stochastic process, which generalizes the order of integration idea to
nonlinear time series. In this paper, the order of summability is used to extend co-integration to
non-linear models. Speci…cally, we formalise the idea of co-summability and propose a residual-
based statistic to test for it. The statistic can also be seen as a misspeci…cation testing procedure
and is based on the order of summability of the error term. The performance of the test is studied
via Monte Carlo experiments. Finally, the practical strength of co-summability theory is shown
through two empirical applications. In particular, asymmetric preferences of central bankers and
the environmental Kuznets curve hypothesis are studied through the lens of co-summability.
"SHOCKS (Can we identify them? YES, WE CAN)" (with Oscar Martinez)
A Short Informal Abstract:
At time "t" there is a shock e_t. This shock can be big or small, positive or negative, blue or red, may
have been produced when the economic is recession or expansion, when inflation is high or small,
when Barcelona soccer team wins or looses, etc. In this paper, via a new Threshold Moving Average Model,
we show how to identify and test if these type of shocks are transitory or permanent.
"Threshold Integrated Moving Average Models " (with Oscar Martínez) (Slides)
A Short Informal Abstract: We are revising it.......stay tuned!!!"Econometric Implications of Non Exact Present Value Relations" (PDF) (with Martín González) (last version Sept-1998)
"Threshold Unit Root Processes" (PDF) (with Martín González) (last version 1998)
PAPERS UNDER CONSTRUCTION
Many....some of them will be available soon if time teaching constraints allow me to do it...
