Carlos Santos - Academia.edu (original) (raw)

Papers by Carlos Santos

In this paper we take an innovative econometric look at the Euro Zone Sovereign Debt Crisis. We a... more In this paper we take an innovative econometric look at the Euro Zone Sovereign Debt Crisis. We are particularly interested in understanding which determinants have led investors to ask for higher yields on sovereign debt from the Euro shatter belt. We dismiss the definition of speculation previously used in the literature, on the basis of the irrelevance of Granger Causality as an operational tool for this purpose. Instead, we suggest that speculative behavior would only exist if market assessment would be unrelated to economic fundamentals of such countries. Using a cross section of countries, we improve on the scarce literature on the Econometrics of Credit Default Swap Markets on sovereign debt. Firstly, we use an ordered probit model to determine whether economic fundamentals are driving the implied rating assessments. Secondly, we provide a pioneering application of quantile regression to this domain, to determine which variables matter at different conditional quantiles of th...

Computational Statistics, 2008

We consider selecting a regression model, using a variant of the generalto-specific algorithm in ... more We consider selecting a regression model, using a variant of the generalto-specific algorithm in PcGets, when there are more variables than observations. We look at the special case where the variables are single impulse dummies, one defined for each observation. We show that this setting is unproblematic if tackled appropriately, and obtain the asymptotic distribution of the mean and variance in a location-scale model, under the null that no impulses matter. Monte Carlo simulations confirm the null distributions and suggest extensions to highly non-normal cases.

Documentos de Trabalho em …, 2008

Using the Bai-Perron test, we look for a shift in the conditional mean of an AR representation of... more Using the Bai-Perron test, we look for a shift in the conditional mean of an AR representation of Spanish CPI inflation over the period: 1978-2006. It is clear that Spain, as most OECD economies, experienced an inflation slowdown in the early eithgties, which can be related ...

We develop a new automatically-computable test for super exogeneity, using a variant of general-t... more We develop a new automatically-computable test for super exogeneity, using a variant of general-to-specific modelling. Based on the recent developments in impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. The approximate analytical non-centrality of the test is derived for a failure of invariance and for

Volatility and Time Series Econometrics, 2010

We develop a new automatically-computable test for super exogeneity, using a variant of generalto... more We develop a new automatically-computable test for super exogeneity, using a variant of generalto-specific modeling. Based on the recent developments of impulse saturation applied to marginal models under the null that no impulses matter, we select the significant impulses for testing in the conditional. Since zero-mean changes are relatively undetectable in both VARs and conditional equations, we focus on location shifts, although we also discuss variance changes. The approximate analytical non-centrality of the test is derived for a failure of weak exogeneity when there is a shift in the marginal process. Monte Carlo simulations confirm the empirical accuracy of the nominal significance levels under the null, and show rejections for this failure of super exogeneity. An empirical application to UK M1 delivers new results for this much-studied data set.

Oxford Bulletin of Economics and Statistics, 2005

Ordinary least squares estimation of an impulse-indicator coefficient is inconsistent, but its va... more Ordinary least squares estimation of an impulse-indicator coefficient is inconsistent, but its variance can be consistently estimated. Although the ratio of the inconsistent estimator to its standard error has a t-distribution, that test is inconsistent: one solution is to form an index of ...

Economics Letters, 2008

We develop a new class of tests for breaks at unknown dates based on impulse saturation. Theoreti... more We develop a new class of tests for breaks at unknown dates based on impulse saturation. Theoretical Power is derived for mean and variance shifts. Empirical power is close to theory results. The test performs well in both cases.

Applied Economics, 2005

This study explores a new data set that contains information both on inputs and outputs for a sam... more This study explores a new data set that contains information both on inputs and outputs for a sample of Portuguese secondary schools. An FDH reference technology is used to determine radial technical efficiency scores and slacks. Although it is known that there is no reason ...

Applied Economics, 2010

This article has three different motivations. Firstly, we wish to contribute to the debate on whe... more This article has three different motivations. Firstly, we wish to contribute to the debate on whether French inflation has been persistent since the mid-eighties. Empirical evidence in this domain has been mixed. We use the standard method of testing for breaks in the mean of the inflation series to conclude whether possible unit root findings are the result of neglected