Curriculum Vitae
CURRICULUM VITAE
EDUCATION:
* B.A. in Economics (June 1992), speciality of Mathematical Economics, University of the Basque Country (UPV-EHU).
* M.Sc. in Econometrics and Mathematical Economics (July 1994) , London School of Economics, LSE (University of London).
* Ph.D. in Economics (March 1998), London School of Economics. Dissertation: Seasonal and Cyclical Long Memory in Time Series under the supervision of Prof. P.M. Robinson.
PROFESSIONAL ACTIVITY:
* 1994-97: Class Teacher at the London School of Economics of the University of London of:
- Introduction to Econometrics and Economic Statistics (1994-1997).
- Statistics for M.Sc. in Economics (1996-97).
* 1997-99: Lecturer of the Department of Applied Economics III (Econometrics and Statistics) of the UPV-EHU.
* 2001-02: Courses in the Escuela de Finanzas BBVA: Advanced Statistics and Time Series Analysis .
* 2000-2018: Associate Professor of the Department of Applied Economics III (Econometrics and Statistics) of the UPV-EHU.
* 2018- : Full Professor of the Department of Applied Economics III (Econometrics and Statistics) of the UPV-EHU.
PARTICIPATION IN RESEARCH PROJECTS:
* Jan. 2020 - May. 2024: Persistencia y Duración en Economía. PID2019-105183GB-I00. Funded by Ministerio de Ciencia e Innovación. Principal Investigator.
* Jan. 2017- Dec. 2019: Teoría y práctica en el análisis de persistenciaen las relaciones económicas y financieras. ECO2016-76884-P. Funded by Ministerio de Economía y Competitividad and FEDER. Principal Investigator.
* Jan. 2014- Oct. 2017: Un analisis econometrico de persistencia y duracion en series economicas y financieras. ECO2013-40935-P. Funded by the Spanish Ministerio de Economía y Competitividad. Principal Investigator.
* Nov. 2010-Aug. 2014: Inferencia en Series con Memoria Larga y Análisis de Duración. Funded by the Spanish Ministerio de Ciencia e Innovación y FEDER. Principal Investigator.
* Nov. 2007-Nov. 2010: Memoria Larga Perturbada y Duración en Economía: Inferencia. Funded by the Spanish Ministerio de Ciencia y Tecnología y FEDER. Principal Investigator.
* Nov. 2006-Nov. 2007: Inferencia Estadística en Series Temporales con Persistencia Perturbada y Análisis de Duración: Tería y Práctica. Funded by the Spanish Ministerio de Ciencia y Tecnología y FEDER. Principal Investigator.
* Nov. 2003-Nov. 2006: Statistical Inference in Models of Persistence (Standard, Seasonal and in Volatility) and Duration: Theoretical and Empirical Analysis funded by the Spanish Ministerio de Ciencia y Tecnología and FDER. Principal Investigator.
* Dec. 2001-Dec. 2006: Observación y Análisis de los Procesos Regionales de Integración Económica. Laboratorio de Seguimiento de la Economía Vasca. Avances en la Metodología de Análisis de Mercado: Modelización Econométrica de los Mercados Laborales, de Publicidad y Finacieros, funded by the University of the Basque Country, UPV-EHU.
* Dec. 1999-Dec. 2001: Analysis of Persistence and Duration in Economic and Financial Series funded by the Basque Government. Principal Investigator.
* Dec. 1998-Dec. 2000: Cointegration, Dynamic Convergence and Persistence in Economics funded by The University of the Basque Country (UPV-EHU). Principal Investigator of the line Persistence in Economics.
* Dec. 1997-Dec. 1998: Estimation of the Memory Parameter in Seasonal or Cyclical Long Memory Processes funded by The University of the Basque Country (UPV-EHU). Principal Investigator: F.J. Fernández-Macho.
* Jun. 1995-Jul. 1997: Nonlinearity and Dependence in Econometrics funded by The Economic and Social Research Council. Principal Investigator: P.M. Robinson.
* Sep. 1993-Feb. 1997: Seasonal and Cyclical Long Memory in Time Series funded by the Bank of Spain. Supervisor: P.M. Robinson.
PUBLICATIONS:
* In Scientific Journals and Chapters of Books:
* Arteche, J. (2024). "Bootstrapping long memory time series: Application in low frequency estimators". Econometrics and Statistics 29, 1-15.
* Perdomo, J.A., Arteche, J. and Ansuategi, A. (2022) "Returns to Scale and Technical Efficiency in Colombian Coffee Production: Implications for Colombia’s Agricultural and Land Policies". Studies in Agricultural Economics 124, 104-112.
* Arteche, J. and García-Enríquez, J. (2022). "Singular spectrum analysis for value at risk in stochastic volatility models". Journal of Forecasting, 41, 3-16.
* Arteche, J. (2020). "Exact Local Whittle estimation in long memory time series with multiple poles". Econometric Theory, 36, 1064-1098.
* Arteche, J. and Orbe, J. (2017) "A strategy for optimal bandwidth selection in Local Whittle estimation". Econometrics and Statistics 4, 3-17.
* García-Enríquez J., Arteche, J. and Murillas, A. (2017) "Testing for substitutability in the mackerel market: a new method using fractionalcointegration". Applied Economics 49, 3912-3926.
* Arteche, J. and García-Enríquez, J. (2017) "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models." Econometrics and Statistics 1, 85-98.
* García-Enríquez, J., Murillas, A , Arteche, J., (2016) "Economic structure of fishing activity: An analysis of mackerel fishery management in the Basque Country". Economía Agraria y Recursos Naturales - Agricultural and Resource Economics, 16, 81-109.
* Arteche, J. and Orbe, J. (2016) "A bootstrap approximation for the distribution of the Local Whittle estimator". Computational Statistics and Data Analysis 100, 645-660. http://dx.doi.org/10.1016/j.csda.2015.03.014
* Arteche, J. (2015) "Signal Extraction in Long Memory Stochastic Volatility". Econometric Theory, 31, 1382-1402 (with 17 pages of supplementary material).
* Arteche, J. and Orbe, J. (2015) "An approach to estimate the exact distribution of the Local Whittle estimator". Stochastic Modeling, Data Analysis and Statistical Applications. 95-107.
* V.A. Reisen, B. Zamprogno, W. Palma, J. Arteche (2014) "A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA Model". Mathematics and Computers in Simulation 98, 1-17.
* García-Enríquez, J., Hualde, J., Arteche, J., Murillas, A (2014) "Spatial integration in the Spanish mackerel market". Journal of Agricultural Economics 65, 234-256.
* Arteche, J. (2012) "Standard and seasonal long memory in volatility: an application to Spanish inflation". Empirical Economics, 42, 693-712.
* Arteche, J. (2012) "Semiparametric inference in correlated long-memory signal plus noise models". Econometric Reviews 31, 440-474.
* Artiach, M. and Arteche, J. (2012) "Doubly Fractional Models for Dynamic Heteroscedastic Cycles". Computational Statistics and Data Analysis 56, 2139-2158.
* Arteche, J. (2012) "Parametric vs semiparametric long memory: Comments on Prediction from ARFIMA models: Comparison between maximum likelihood and two step semiparametric". International Journal of Forecasting 28, 54-56.
* Artiach, M. and Arteche, J. (2011) "Estimation of the frequency in cyclical long-memory series" . Journal of Statistical Computation and Simulation 81, 1627-1639.
* Arteche, J., R. Majovská, P. Mariel and S. Orbe (2011) "Detekce a korekce předvelikonočního a velikonočního efektu (Detection and Correction of the pre-Easter and Easter Effect)". Ekonomicky casopis (Journal of Economics), 59, 472-487.
* García, J., Arteche, J and A. Murillas (2010) "Fractional integration analysis and its implications on profitability: The case of the mackerel market in the Basque Country". Fisheries Research 106, 420-429.
* Arteche, J. and Orbe, J. (2009) "Bootstrap- based bandwidth choice for log periodogram regression". Journal of Time Series Analysis 30, 591-617.
* García Enriquez, J, Arteche, J. and Murillas, A. (2009) "Integración vertical en el Mercado del verdel en el País Vasco". Revista de Estudios Agrosociales y Pesqueros 223, 139-169.
* Arteche, J. and Orbe, J. (2009) "Using the bootstrap for finite sample confidence intervals of the log periodogram regression". Computational Statistics and Data Analysis, 53, 1940-1953.
* Arteche, J. and Orbe, J. (2009) "Local bootstrap approach for the estimation of the long memory parameter". Lecture Notes in Engineering and Computer Science (WC2E 2009), ISBN: 978-988-18210-101312-1318.
* Arteche, J. and Orbe, J. (2008) "Small sample bootstrap confidence intervals for the long memory parameter". International Journal of Social, Behavioral, Educational, Economic, Business and Industrial Engineering, Vol.2, N. 8. dai:10.1999/1307-6892/14766.
* Arteche, J. (2007) "The analysis of seasonal long memory: The case of Spanish inflation". Oxford Bulletin of Economics and Statistics, 69, 749-772.
* Arteche, J. (2006) "Semiparametric estimation in perturbed long memory series". Computational Statistics and Data Analysis 51, 2118-2141.
* Arteche, J. and Velasco, C. (2005) "Trimming and tapering semiparametric estimates in asymmetric long memory time series". Journal of Time Series Analysis 26, 581-611.
* Arteche, J. and Orbe, J. (2005). "Bootstrapping the log-periodogram regression". Economics Letters 86, 79-85.
* Arteche, J. (2004). "Gaussian semiparametric estimation in Long Memory in Stochastic Volatility and signal plus noise models". Journal of Econometrics, 119, 131-154.
* Arteche, J. (2002). "Semiparametric robust tests on seasonal or cyclical long memory time series". Journal of Time Series Analysis, 23, 251-286.
* Arteche, J. and P.M. Robinson (2000) "Semiparametric inference in seasonal and cyclical long memory processes". Journal of Time Series Analysis, 21, 1-27.
* Arteche, J. (2000) "Log-periodogram regression in asymmetric long memory". Kybernetika 36, 415-435.
* Arteche, J. (2000) "Gaussian semiparametric estimation in seasonal/cyclical long memory time series". Kybernetika 36, 279-310.
* Arteche, J. (2000) Review of "Statistics for Long Memory Processes" by J. Beran. Journal of the Royal Statistical Society. Series D, 434-436.
* Arteche, J. and P.M. Robinson (1999) "Seasonal and Cyclical Long Memory" in Asymptotic, Nonparametrics and Time Series, S. Ghost ed., Marvel Decker, Inc. New York, 115-149.
* Working Papers:
* Arteche. J. (2010). "Semiparametric inference in correlated long memory signal plus noise models". BILTOKI 2010.04.
* García Enríquez J., Arteche J. González and Murillas A.(2010). "Fractional Integration Analysis and its Implications on Profitability: the Case of the Mackerel Market in the Basque Country". BILTOKI 2010.06.
* García Enríquez J., Arteche J. González and Murillas A.(2009). "Análisis de Integración cíclica fraccional en el sector pesquero del País Vasco: aplicaciones al mercado del verdel". WP 2009-08, DFAE-II WP Series.
* García Enríquez J., Arteche J. González and Murillas A.(2009). "Integración vertical en el mercado del verdel en el País Vasco", publicado en Revista Española de Estudios Agrosociales y Pesqueros, nº 223, pp. 139-169.
* Arteche. J. (2008). "Selection of the number of frequencies using bootstrap techniques in log-periodogram regression". BILTOKI 2008.01.
* Arteche. J. (2005). "Semiparametric estimation in perturbed long memory series". BILTOKI 2005.02.
* Arteche. J. (2002). "Gaussian semiparametric estimation in Long Memory in Stochastic Volatility and signal plus noise models". BILTOKI 2002.02.
* Arteche, J. (1998) "Log-periodogram regression in seasonal/cyclical long memory time series". BILTOKI 98.17.
* Arteche, J. (1998) "Gaussian semiparametric estimation in seasonal/cyclical long memory time series". BILTOKI 98.19.
* Arteche, J. and P.M. Robinson (1998) "Seasonal and cyclical long memory". LSE STICERD EM/98/360.
* Arteche, J. and P.M. Robinson (1998) "Semiparametric inference in seasonal and cyclical long memory processes". LSE STICERD EM/98/359.
* Books:
* Arteche, J., A. Garín, A. Martín, V. Nuñez, J. Orbe, J. Virto and A. Zárraga (2000) "Ejercicios de Estadística I: Elementos de Probabilidad y Estadística". ISBN: 84-8373-279-3.
* Arteche, J., A. Garín, A. Martín, V. Nuñez, J. Orbe, J. Virto and A. Zárraga (2000) "Ejercicios de Estadística II: Estadística Empresarial y para Economistas". ISBN: 84-8373-280-7.
* Proceedings:
* Arteche, J. and Orbe, J. (2008) "Small sample bootstrap confidence intervals for the long memory parameter". Proceedings of the World Academy of Science, Engineering and Technology, 586-594, ISSN: 2070-3740.
* Artiach, M. and Arteche, J. (2006). "Estimation of Frequency in SCLM Models". Proceedings in Computational Statistics 2006, 1147-1155. Physica-Verlag, New York. ISBN: 3-7908-1708-9.
* Arteche. J. (2004). "Augmented log-periodogram regression in Long Memory signal plus noise models". Proceedings of the 2004 Hawaii International Conference on Statistics, Mathematics and Related Fields, 108-119.
* Arteche. J. (2004). "Reducing the bias of the log-periodogram regression in perturbed long memory series". Proceedings in Computational Statistics 2004, (Antoch, J. ed.) 637-646. Physica-Verlag, New York. ISBN: 3-7908-1554-3.
Ph.D. THESIS SUPERVISION:
* Miguel M. Artiach (2009). Análisis de modelos cíclicos con dependencia fuerte, doblemente fraccionales y asimétricos en frecuencia.
* Javier García Enríquez (2012). Análisis de rentabilidad de la pesquería del verdel y su mercado en el País Vasco: un enfoque econométrico. Co-director: Arantza Murillas (AZTI).
* Izaskun Zuazu Bermejo (2019). The Economic Aftermath of Institutions. Co-director: Annick Laruelle.
* Jorge Andrés Perdomo (2023). Quantitative methods applied to agricultural, environmental, and transport economics in Colombia. Co-director: Alberto Ansuategui.
* Mariam Kamal (2023). Five essays on applied time series analysis and macroeconomics using fractional cointegration. Co-director: L.A. Gila-Alaña.
EDITORIAL ACTIVITIES:
* “Economía y Empresa”. published by the Editorial Service of the University of the Basque Country UPV/EHU. Director (2016- ).
* "Statistical Modelling". Associate Editor (2018- ).
* "Econometrics and Statistics". Associate Editor (2021- ).
OTHER ACTIVITIES:
* Director of the Ph.D. in Economics program of the UPV/EHU from 2004 to 2009.
* Director of the MSc and PhD programs Posgrado (Máster y Doctorado) en Economía: Instrumentos del Análisis Económico, offered by the Universities of the Basque Country (UPV/EHU), Oviedo and Cantabria from 2007 to 2009.
* Director of the PhD program Doctorado en Economía: Instrumentos del Análisis Económico, offered by the Universities of the Basque Country (UPV/EHU), Oviedo and Cantabria from 2013 to 2017.
* Co-chair of 13th International Conference on Computational and Financial Econometrics (CFE 2019). London, December 2019.
* Member of the Scientific Committe of: 14th International Conference on Computational and Financial Econometrics (CFE 2020), 11th International Conference on Computational and Financial Econometrics (CFE 2017), International Conference of Computational Statistics and Data Engineering of the World Congress on Engineering from 2007 (annual); Gretl Conferece (2009, 2011); Meeting of the Association of Southern European Economic Theorists (ASSET) 2013, International work-conference on Time Series (ITISE) from 2014 (annual).
* Member of the ERCIM Working Group: Compuational Econometrics and Financial Time Series
* Referee for Annals of Statistics, Journal of Econometrics, Econometric Theory, Journal of Time Series Analysis, Statistical Inference for Stochastic Processes, Journal of Business and Economic Statistics, Royal Statistical Society, Computational Statistics and Data Analysis, Journal of Multivariate Analysis, Oxford Bulletin of Economics and Statistics, International Journal of Forecasting, The Econometrics Journal, Studies in Nonlinear Dynamics & Econometrics, TEST, Communications in Statistics, Journal of Time Series Econometrics, Economics Letters, Statistics and Probability Letters, Statistics and Computing, Spanish Economic Review, Empirica, B.E. Journals in Macroeconomics, Empirical Economics, Climatic Change, Water Resources Research, Quantitative Finance, Simulation Modelling Practice and Theory, Empirica, Journal of Physics A: Mathematical and Theoretical, Athens Conference on Applied Probability and Time Series. Vol. II: Time Series Analysis.