Econometrics at CEMFI
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The Econometrics group at CEMFI is at the forefront of research in econometrics. The group’s research covers several fields, including panel data econometrics, time series, financial econometrics, among others. The group has made significant contributions to the literature on panel data models, Two-Way-Fixed-Effects models, Synthetic Control Methods, and Time Series applied to Asset prices.
Members of the group are affiliated with other research centers and networks, such as the Centre for Economic Policy Research (CEPR), have been recognized with several prizes and distinctions and they hold multiple grants from Spanish funding agencies and private institutions.We invite you to learn more about the Econometrics group at CEMFI below.
Researchers
Liyang Sun
Associate Professor
On Leave
Dmitry Arkhangelsky
Associate Professor with Tenure
Manuel Arellano
Professor
Enrique Sentana
Professor
Dante Amengual
Associate Professor with Tenure
Pedro Mira
Professor
Aleksei Samkov
PhD student
Víctor Sancibrián
PhD student
Jiaxuan Ren
PhD student
Wisse Rutgers
PhD student
Juan Segura
PhD student
Seminars series
NOV
Econometrics Seminar
Silvia Sarpietro (Università di Bologna) presents "Fixed Effects in the Tails" (joint with Raffaella Giacomini, Annalisa Loviglio, and Yulong Wang)
NOV
Econometrics Seminar
Stéphane Bonhomme (University of Chicago) presents "Unrestricted Heterogeneity in Linear Models"
DEC
Econometrics Seminar
Clement de Chaisemartin (Sciences Po) presents "Estimating and Predicting Treatment-effect Heterogeneity across Sites, in Multi-site Randomized Experiments with few Randomization Units per Site"
JUN
Econometrics Seminar
Davide Viviano (Harvard University) presents "TBA"
JUN
Econometrics Seminar
joint FIRMS - Eugenio Miravete (The University of Texas at Austin) presents "Elasticity and Curvature of Discrete Choice Demand Models" (joint with Katja Seim and Jeff Thurk)
Recent publications of this research line
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Dante Amengual, Xinyue Bei and Enrique Sentana,
Highly irregular serial correlation tests,
Econometrics and Statistics, forthcoming. -
Dante Amengual, Xinyue Bei and Enrique Sentana,
Highly irregular serial correlation tests,
Econometrics and Statistics, forthcoming. -
Dante Amengual, Gabrielle Fiorentini and Enrique Sentana,
Multivariate hermite polynomials and information matrix tests,
Econometrics and Statistics, forthcoming. -
Dante Amengual, Gabrielle Fiorentini and Enrique Sentana,
Multivariate hermite polynomials and information matrix tests,
Econometrics and Statistics, forthcoming.
Research grants
New panel data methods with empirical applications in impact evaluation and health economics (Ministerio de Ciencia e Innovación, 2023-2026)
Researchers: Liyang Sun, Siqi Wei, Dmitry Arkhangelsky (PI).
Inferences in models with hidden variables in macroeconomics and finance (HiddenVar) (Ministerio de Ciencia e Innovación, 2022-2026)
Researchers: Enrique Sentana (Co-PI), Dante Amengual (Co-PI).
Contributions in Applied Microeconomics (CIAM) (Ministerio de Ciencia e Innovación, 2022-2025)
Researchers: Gerard Llobet (Co-PI), Pedro Mira (Co-PI), Tom Zohar, Guillermo Caruana.