Research

Research interests

• Econometrics

• Time series analysis

• Long memory processes

• Cointegration

Published and accepted papers 

• "Testing for nontrivial cointegration" (with Jose Olmo). Journal of Business & Economic Statistics, forthcoming

• "A novel test of economic convergence in time series" (with Jose Olmo). Empirical Economics 68, 2093–2118 (2025)

• "Fractional integration and cointegration" (with Morten O. Nielsen). Oxford Research Encyclopedia of Economics and Finance, Oxford University Press (2023)

• "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend" (with Morten O. Nielsen). Electronic Journal of Statistics 16, 2884-2946 (2022)

• "Measuring asset market linkages: nonlinear dependence and tail risk" (with Juan C. Escanciano). Journal of Business & Economic Statistics 39, 453-465 (2021)

Supplement

• "Truncated sum of squares estimation of fractional time series models with deterministic trends" (with Morten O. Nielsen). Econometric Theory 36, 751-772 (2020)

Supplement

• "Local Whittle estimation of long memory: Standard versus bias-reducing techniques" (with Javier García-Enríquez). Econometrics and Statistics 12, 66-77 (2019)

Supplement

• "Special issue of the Journal of Time Series Analysis in honour of the 35th anniversary of the publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction" (with Morten O. Nielsen). Journal of Time Series Analysis 40, 386-387 (2019)

• "Fixed bandwidth inference for fractional cointegration" (with Fabrizio Iacone). Journal of Time Series Analysis 40, 544-572 (2019)

• "Revisiting inflation in the euro area allowing for long memory" (with Fabrizio Iacone). Economics Letters 156, 145-150 (2017)

• "Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes" (with Fabrizio Iacone). Economics Letters 150, 39-43 (2017)

• "Regression-based analysis of cointegration systems" (with Javier Gómez-Biscarri). Journal of Econometrics 186, 32-50 (2015)

• "Small-b and fixed-b asymptotics for weighted covariance estimation in fractional cointegration" (with Fabrizio Iacone). Journal of Time Series Analysis 36, 528-540 (2015)

• "A residual-based ADF test for stationary cointegration in I(2) settings" (with Javier Gómez-Biscarri). Journal of Econometrics 184, 280-294 (2015)

• "Estimation of long-run parameters in unbalanced cointegration". Journal of Econometrics 178, 761-778 (2014)

• "Spatial integration in the Spanish mackerel market" (with J. García-Enríquez, J. Arteche and A. Murillas). Journal of Agricultural Economics 65, 234-256 (2014)

• "A simple test for the equality of integration orders". Economics Letters 119, 233-237 (2013)

• "Weak convergence to a modified fractional Brownian motion". Journal of Time Series Analysis 33, 519-529 (2012)

• "First stage estimation of fractional cointegration" (with Fabrizio Iacone). Journal of Time Series Econometrics 4, Issue 1, Article 2 (2012)

• "Gaussian pseudo maximum likelihood estimation of fractional time series models" (with Peter M. Robinson). Annals of Statistics 39, 3152-3181 (2011)

 Supplement

• "Semiparametric inference in multivariate fractionally cointegrated systems" (with Peter M. Robinson). Journal of Econometrics 157, 492-511 (2010)

• "Fractional integration and cointegration: an overview and an empirical application" (with Luis A. Gil Alaña). Palgrave Handbook of Econometrics, Vol. 2. Applied Econometrics, K. Patterson and T.C. Mills eds, Palgrave, MacMillan, Vol. 2, 434-469 (2009)

• "Distribution free tests of fractional cointegration" (with Carlos Velasco). Econometric Theory 24, 216-255 (2008)

• "Root n consistent estimation of weak fractional cointegration" (with Peter M. Robinson). Journal of Econometrics 140, 450-484 (2007)

• "Unbalanced cointegration". Econometric Theory 22, 765-814 (2006)

• "Cointegration in fractional systems with unknown integration orders" (with Peter M. Robinson). Econometrica 71, 1727-1766 (2003)