Research
Publications:
Likelihood based testing for no fractional co-integration. Journal of Econometrics, 2010, 158(1), 67-77.
Fractional cointegration rank estimation. Journal of Business and Economic Statistics, 2015, 33(2), 241-254, with C. Velasco.
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters, International Journal of Forecasting, 2016, 32(3), 875-887, with F. Blasques, S.J. Koopman and A. Lucas.
Rejoinder to the discussion "In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters", International Journal of Forecasting, 2016, 32(3), 893–894, with F. Blasques, S.J. Koopman and A. Lucas.
Likelihood based inference for an Identifiable Fractional Vector Error Correction Model. Proceedings ITISE 2018, 753-782, with F. Carlini.
Observation-driven long-run equilibria. Computational Economics, 2020, 55(2), 551–575, with J. Lont.
Spurious multivariate regressions under fractionally integrated processes, Communications in Statistics - Theory and Methods, 2020, with D. Ventosa-Santaulària, J. E. Vera-Valdés and R. Ramírez-Vargas.