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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 first sabbatical at CREATES (Aarhus, Denmark) as a visiting researcher. Since 2012, I have been working as full professor at CIDE (Mexico City, Mexico). From 2019 to 2021, I was on leave while serving as a Research Specialist at Mexico's Central Bank (Banxico). I leter served as Director of the Economics Division at CIDE (2021-2023). Currently, I am on my second sabbatical year (2025-2026), as a visiting professor at the Aix-Marseille School of Economics (AMSE, Aix en Provence, France).





About me





research


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

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:

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



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:

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



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:

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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