Carlos Velasco

Overview

Carlos Velasco is an econometrician at Universidad Carlos III de Madrid. His research focuses on semi-parametric and robust inference for long-memory and nonstationary processes. He is known for extending the local Whittle estimator to nonstationary processes (Velasco-Robinson 2000) and for sign-based tests for ARFIMA models.

Key Contributions

• Velasco-Robinson (2000): Extended the local Whittle estimator to non-stationary $d > 1/2$; enabled semi-parametric estimation without pre-differencing.
• Delgado-Velasco (2005): Sign tests for $d$ in ARFIMA(p,d,q); exact LMP test; robust to infinite-variance innovations; composite ARFIMA test with estimated nuisance parameters.

Related

• Long Memory and Fractional Integration
• Miguel A. Delgado