Time Series Econometrics

The research group Time Series Econometrics includes Econometricians and Macroeconomist from the Economics Department interested in the study of causal relations among economic variables via dynamic models. As a whole, the Econometrics Group of the Economics Department at Universidad Carlos III de Madrid is considered one of the worldwide best research team in the field.

Director:

• Jesús Gonzalo Muñoz 

Members:

• Miguel Ángel Delgado González
• Juan José Dolado Lobregad
• Álvaro Escribano Sáez
• Matthias Kredler
• Carlos Velasco Gómez

• Publications and Working Papers.​
  

• General: Econometric Theory of Time Series, Financial Econometrics, and Applied Macroeconomics.
• More Specific: Persistency (dependence, long memory, co-integration), Non-linearity (Asymmetries), Risk (Volatility), Economic Models with Thresholds, Economies with Search Frictions (a theoretical and quantitative macroeconomic analysis of the labor market), Causality and Prediction, etc.

At present the group members are working among other topics on:

Econometrics for a Threshold Economy, Identification of Shocks, Downside Risk, Price Discovery, PPP, Predictive Regressions, Labor Markets, Monetary Policy, Dynamic models for discrete data, Financial Ratios, Permanent and Transitory Components of Financial Variables, Testing of Expectation Hypothesis in Financial Markets, Quantile Models for Time Series, Global Warming Testing, etc.

• Seminars and Conferences

• Bachelor's Degree in Economics 
• Industrial Organization and Markets 
• Ph. D. in Economics