Francisco Blasques
Biographic Data
| ID | 8764404 |
|---|---|
| NAME | Francisco Blasques |
| GIVEN NAMES | Francisco |
| FAMILY NAME | Blasques |
| SIGNATURE | BLASQUES F |
| AFFILIATIONS | Tinbergen Institute |
| ORCID | 0000-0001-5035-1990 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 3 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2025 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 0 |
Measuring Growth Spillovers
We propose a multilevel econometric model with time‐varying spillover parameters that disentangle within‐country from between‐country growth spillovers. Parameter estimation is carried out by the method of maximum likelihood. The finite‐sample properties of the resulting estimates are validated through a Monte Carlo study. We illustrate the model properties in an empirical application for six Latin American countries. The results show that our mu…
Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression
We introduce a novel simulation-based method for signal extraction in a general class of state space models. It can be used to estimate time-varying conditional means, modes, and quantiles, and to predict latent variables or forecast observations. The method consists of generating artificial datasets from the model and estimating the quantities of interest via extremum estimation. The approach is broadly applicable and its implementation is strai…
Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models
This paper introduces conditional score residuals and proposes a general framework for the diagnostic analysis of time series models. Conditional score residuals encompass commonly used definitions of residuals in time series models, including ARMA residuals, squared residuals, and Pearson residuals. In particular, these residuals are special cases of conditional score residuals when the conditional distribution of the model belongs to the expone…
No prominent works on this page.
Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models
This paper introduces conditional score residuals and proposes a general framework for the diagnostic analysis of time series models. Conditional score residuals encompass commonly used definitions of residuals in time series models, including ARMA residuals, squared residuals, and Pearson residuals. In particular, these residuals are special cases of conditional score residuals when the conditional distribution of the model belongs to the expone…
Measuring Growth Spillovers
We propose a multilevel econometric model with time‐varying spillover parameters that disentangle within‐country from between‐country growth spillovers. Parameter estimation is carried out by the method of maximum likelihood. The finite‐sample properties of the resulting estimates are validated through a Monte Carlo study. We illustrate the model properties in an empirical application for six Latin American countries. The results show that our mu…
Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression
We introduce a novel simulation-based method for signal extraction in a general class of state space models. It can be used to estimate time-varying conditional means, modes, and quantiles, and to predict latent variables or forecast observations. The method consists of generating artificial datasets from the model and estimating the quantities of interest via extremum estimation. The approach is broadly applicable and its implementation is strai…
Econometrics (2 works) · Analog and Mixed-Signal Circuit Design (1 works) · Biology (1 works) · Computer Science (1 works) · Economic Policies and Impacts (1 works) · Economics (1 works) · Energy, Environment, Economic Growth (1 works) · Extremum Seeking Control Systems (1 works) · Financial Risk and Volatility Modeling (1 works) · Linear regression (1 works)