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Daniel
Ventosa-Santaulària
[Time-Series Econometrics]



I am a time-series econometrician. I obtained my PhD. at GREQAM (Marseille, France) in 2004. The School of Economics of the University of Guanajuato (Mexico) offered me a position as an associate professor, which I held for 7+ years. In 2011 I spent my sabbatical at CREATES (Aarhus, Denmark) as a visiting researcher. Since 2012, I have been working as full professor at CIDE (Mexico City, Mexico), except for a brief lapse (2019-2021), when I was on leave while holding a position at Mexico's Central Bank (Banxico) as a Research Specialist.





About me





research



My research mostly focus on theoretical time-series analysis, but I also do empirical studies on macroeconomics topics.

  • My resume.
  • My Google Scholar profile.
  • My RePEc profile.

Here are some examples of the outlets of my papers:

  1. Journal of Time Series Analysis,
  2. Oxford Bulletin of Economics and Statistics,
  3. Journal of Financial Econometrics,
  4. Economic Modelling
  5. Journal of Macroeconomics
  6. Energy Economics
  7. Communications in Statistics.


teaching



I usually teach (a) time-series econometrics and/or (b) statistics for undegraduate and graduate (MSc. and PhD.) students at CIDE. My lectures tend to be rather theoretical, although programming (R and Gretl) and applied exercises are also emphasized. Schedules, material, syllabus, homework and special assignments can be further checked here:

  • Lectures

In addition, to set a RDV with me (students only!) please use the following system:

  • Appointments


code



I recently switched to programming in hansl (Gretl language). Gretl is a free and quite well designed software for time-series analysis. Users can build packages, and make them available to everyone. Here are some packages I built along with former students:

  • the R2 shapley decomposition,
  • the Kapetanios unit-root test,
  • local projections (IRF estimates),
  • a procedure to test whether a UR process has a drift and a drift break (V.-S. & G.Z, JTSE, 2011).

​Other great packages include the Bai-Perron test and the Gregory-Hansen cointegration with break test. Gretl is worth a try!

  • Download Gretl


photography et. al



I love taking pictures and I consider myself an amateur photographer. Once every 1,000 pics there is one that is worth sharing it in internet. You may find these "picture unicorns" of mine at:

  • My account in Instagram.
  • A booklet at ISSUU.

The other thing I love to do is writting. I used to be a columnist at a local newspaper (Correo) in Guanajuato. Here you may take a look at what I wrote in this outlet.



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