Dante Amengual
Biographic Data
| ID | 8920589 |
|---|---|
| NAME | Dante Amengual |
| GIVEN NAMES | Dante |
| FAMILY NAME | Amengual |
| SIGNATURE | AMENGUAL D |
| AFFILIATIONS | CEMFI Madrid Spain |
| ORCID | 0000-0002-8727-1019 |
| VERIFIED | Yes |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 5 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2007 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 0 |
GDP Solera
We use the information in the successive vintages of GDE and GDI to obtain an improved timely measure of U.S. aggregate output by exploiting cointegration between the different measures taking seriously their monthly release calendar. We also combine all existing overlapping comprehensive revisions to achieve further improvements. We pay particular attention to the Great Recession and the COVID-19 pandemic, which, despite producing dramatic fluct…
Normal but skewed
We propose a multivariate normality test against skew normal distributions using higher‐order log‐likelihood derivatives, which is asymptotically equivalent to the likelihood ratio but only requires estimation under the null. Numerically, it is the supremum of the univariate skewness coefficient test over all linear combinations of the variables. We can simulate its exact finite sample distribution for any multivariate dimension and sample size. …
Endogenous health groups and heterogeneous dynamics of the elderly
We propose a methodology to classify individuals into few but meaningful health groups by estimating a panel Markov switching model that exploits rich information from panel household surveys. Using the HRS, we identify four persistent health groups, depending on individual's physical and mental disabilities. Our classification outperforms existing health measures at explaining entry in nursing homes, home health care, out‐of‐pocket medical expen…
Is a Normal Copula the Right Copula
We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against generalized hyperbolic alternatives, including symmetric and asymmetric Student t, and many other examples. We decompose our tests into third and fourth moment components, and obtain one-sided Likelihood Ratio analogs, whose standard asymptotic distribution we provide. Our Monte Carlo exercises confirm the reliable size of parametric bootstrap v…
Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
Bai and Ng proposed a consistent estimator for the number of static factors in a large N and T approximate factor model. This article shows how the Bai–Ng estimator can be modified to consistently estimate the number of dynamic factors in a restricted dynamic factor model. The modification is straightforward: The standard Bai–Ng estimator is applied to residuals obtained by projecting the observed data onto lagged values of principal-components e…
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Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
Bai and Ng proposed a consistent estimator for the number of static factors in a large N and T approximate factor model. This article shows how the Bai–Ng estimator can be modified to consistently estimate the number of dynamic factors in a restricted dynamic factor model. The modification is straightforward: The standard Bai–Ng estimator is applied to residuals obtained by projecting the observed data onto lagged values of principal-components e…
Is a Normal Copula the Right Copula
We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against generalized hyperbolic alternatives, including symmetric and asymmetric Student t, and many other examples. We decompose our tests into third and fourth moment components, and obtain one-sided Likelihood Ratio analogs, whose standard asymptotic distribution we provide. Our Monte Carlo exercises confirm the reliable size of parametric bootstrap v…
Endogenous health groups and heterogeneous dynamics of the elderly
We propose a methodology to classify individuals into few but meaningful health groups by estimating a panel Markov switching model that exploits rich information from panel household surveys. Using the HRS, we identify four persistent health groups, depending on individual's physical and mental disabilities. Our classification outperforms existing health measures at explaining entry in nursing homes, home health care, out‐of‐pocket medical expen…
Normal but skewed
We propose a multivariate normality test against skew normal distributions using higher‐order log‐likelihood derivatives, which is asymptotically equivalent to the likelihood ratio but only requires estimation under the null. Numerically, it is the supremum of the univariate skewness coefficient test over all linear combinations of the variables. We can simulate its exact finite sample distribution for any multivariate dimension and sample size. …
GDP Solera
We use the information in the successive vintages of GDE and GDI to obtain an improved timely measure of U.S. aggregate output by exploiting cointegration between the different measures taking seriously their monthly release calendar. We also combine all existing overlapping comprehensive revisions to achieve further improvements. We pay particular attention to the Great Recession and the COVID-19 pandemic, which, despite producing dramatic fluct…
Econometrics (5 works) · Mathematics (5 works) · Statistics (4 works) · Economics (3 works) · Monetary Policy and Economic Impact (3 works) · Monte Carlo method (3 works) · Applied Mathematics (2 works) · Computer Science (2 works) · Actuarial science (1 works) · Advanced Statistical Methods and Models (1 works)