July 2010
Address: CEMFI, Casado del Alisal 5, 28014 Madrid, Spain
Tel: (+34) 91 429 05
51 Fax: (+34) 91 429 10 56
E-mail: arellano@cemfi.es Web page: http://www.cemfi.es/~arellano/
Born 19 June 1957 (Elda, Alicante, Spain)
Married, two children.
Education
Ph.D. in Economics, London
School of Economics, 1985.
(Dissertation: "Estimation and Testing of Dynamic Econometric Models from
Panel Data".
Supervisor: J. D. Sargan.)
M.Sc. in Econometrics and Mathematical Economics, London School of Economics,
1982.
Licenciado en Ciencias Económicas, Universidad de Barcelona, 1979.
Employment
Professor of Econometrics,
CEMFI, Madrid, 1991-.
Lecturer in Economics, London School of Economics, 1989-1992.
Research Lecturer, Institute of Economics and Statistics, University of Oxford,
1985-1989.
Research Fellow, Nuffield College, Oxford, 1986-1989.
Research Assistant for Professor J. D. Sargan, London School of Economics,
1983-1985.
Profesor Ayudante de Econometría, Universidad de Barcelona, 1979-1981.
Other Appointments
Associate Member, Nuffield
College, Oxford, 2008-.
International Research Fellow, Institute for Fiscal Studies, London, 1997-.
International Fellow, CEMMAP, 2007.
Research Fellow, Centre for Economic Policy Research (CEPR), 1999-.
Research Associate, Centre for Economic Performance, LSE, 1989-1991.
Research Associate, Institute for Fiscal Studies, London, 1987-1991.
Visiting Appointments
Distinguished Visiting
Professor of Economics, Brown University, March 2003.
BBV Visiting Professor, Faculty of Economics and Politics, University of
Cambridge, Winter 2000.
Visiting Professor, Department of Economics, Universitat Pompeu Fabra,
Barcelona, Spring 2000.
Visiting Professor, Nuffield College, Oxford, April-May 1997.
Visiting Research Fellow, CREST, INSEE,
Paris, April 1989.
Editorial Appointments
Journal of Applied
Econometrics:
Co-Editor, 2006-2008.
Editorial Board, 2000-2005.
Economic Policy, Panel Member, 2005-2006.
Review of Economic Studies:
Managing Editor, 1994-1998.
Assistant Editor, 1991-1993.
Director, 1998-2003.
Editorial Board, 1990-1991 and 1998-2003.
Editor, Advanced Texts in Econometrics, Oxford University Press, 2003-.
Investigaciones Económicas, Consejo Editorial, 1991-2000.
Revista Española de Economía, Consejo Editorial, 1991-1994.
Oxford Bulletin of
Economics and Statistics, Co-Editor, 1988-1989.
Honours
Member of the Council of
the Econometric Society, 2006, re-elected 2009.
Fellow of the Econometric Society, elected 2002.
Executive Committee, European Economic Association, 2005-2008.
Council, European Economic Association, 2004-2008.
Fellow of the European Economic Association, 2004.
President, Spanish Economic Association, 2003.
Council, Spanish Economic Association, 1999-2001.
Journal of Econometrics Fellow, 2003.
Kuznets Prize, Journal of Population Economics, 2003.
Suntory-Toyota Scholarship, awarded by the London School of Economics,
1983-1985.
Post-Graduate Scholarship, awarded by Caixa de Barcelona, 1981-1983.
Committees and Advisory Boards
Committee Member, BBVA Foundation Frontiers of Knowledge Award in Economics, 2010.
Committee Member, Yrjö Jahnsson Award, European Economic Association, 2009.
Panel Member, International Benchmarking Review of UK Economics, ESRC and RES,
2008.
Member of the first ERC Advanced Grants Peer Review Panel, 2008.
Founding Trustee, Barcelona Graduate School of Economics, 2006-.
Scottish Institute for Research in Economics (SIRE), International Advisory
Board, 2006.
Scientific Committee,
Centre for Applied Microeconometrics, Copenhagen, 2001.
Conference Organisation
Co-Chair Econometric
Society World Congress 2010.
Program Chairman (Econometrics), European Meeting of the Econometric Society,
Lausanne, 2001.
Program Committee, 9th World Congress of the Econometric Society, London, 2005.
Program Committee, 8th World Congress of the Econometric Society, Seattle, 2000.
Program Committee, Econometric Society European Meetings: Brussels, 1992;
Toulouse, 1997;
Venice, 2002; Stockholm, 2003; Madrid,
2004; Budapest, 2007; Milan, 2008; Barcelona, 2009.
Program Committee, European Economic Association Meetings: Dublin, 1992;
Venice, 2002; Amsterdam, 2005.
Program Committee, Econometric Society Latin American Meetings: Bogotá, 2007.
Program Committee, LACEA Meetings: Montevideo, 2001; Madrid, 2002.
Local Arrangements Committee, LACEA, Madrid, 2002.
Organiser, IEF Conference on Microeconometric Models and Fiscal Policy,
Segovia, 1991.
Co-organiser, RES/CEMFI Conference on the Evaluation of Training Programs,
Madrid, 1993.
Co-organiser, TSER Workshop on R&D Investment and Financial Conditions,
Madrid, 1997.
Co-organiser, Conference on the Evaluation
of Social Policies, Fundación Ramón Areces,
Madrid, 2002.
Organiser, Microeconometrics European Network Conference,
Madrid, 2003.
Co-organiser, Conference on Education
Quality, Fundación Ramón Areces, Madrid, 2005.
Organiser, Microdata
RTN Conference,
Madrid, 2006.
Organiser, JAE Conference on
Distributional Dynamics, CEMFI, Madrid, 2008.
Invited Lectures
Journal of Applied
Econometrics Annual Lecture, University of Amsterdam, 3 July 2010.
Keynote lecture, 3rd Meeting of the Portuguese Economic Journal, Funchal, 27
June 2009.
A. W. Phillips Lecture, Australasian Meeting of the Econometric Society,
Brisbane, 5 July 2007.
Invited speaker, Econometric Society Latin American Meeting, Mexico City, 3
November 2006.
Invited speaker, Conference of the Turkish Economic Association, Ankara, 12
September 2006.
Invited speaker, Econometric Society World Congress, London, 23 August 2005.
Invited speaker, 12th Conference on Panel Data, Copenhagen, 25 June 2005.
Invited speaker, XII Encuentro de Economía Pública, Palma de Mallorca, 4
February 2005.
Presidential Address, XXVIII Simposio de Análisis Económico, Sevilla, 11
December 2003.
Conferencia inaugural, VI Encuentro de Economía Aplicada, Granada, 5 June 2003.
Invited speaker, European Meeting of the Econometric Society, Venice, 27 August
2002.
Investigaciones Económicas Lecture,
XXV Simposio de Análisis Económico, Barcelona, 21 December 2000.
Invited discussant, Econometric Society World Congress, Seattle, 11 August
2000.
Invited speaker, ESRC Econometric Study Group Annual Conference, Bristol, 15-17
July 1999.
Invited discussant, European Meeting of the Econometric Society, Toulouse, 27
August 1997.
Invited speaker, 3º Encontro Galego de Xóvenes Investigadores, Vigo, 9-11 July
1997.
Review of Economic Studies Lecture, Royal Economic Society Annual Conference,
University
of Kent, 27-30 March 1995.
Invited speaker, ESRC Econometric Study Group Annual Conference, Bristol, 14-16
July 1994.
Invited speaker, CEMAPRE 4th meeting on Applied Mathematics for Economics and
Management, Lisbon, 23-25 March
1994.
Invited speaker, Canadian Econometric Study Group 7th Annual Meetings,
University of Guelph,
22-23 September 1990.
Invited speaker, Winter Symposium of Econometric Society, Nadarzyn/N. Warsaw,
Poland, 16-19 January 1990.
Invited Lecture Courses
Department of Econometrics,
University of Geneva, 10-14 September 2007.
NCER, Queensland University of Technology, Brisbane, 9-10 July 2007.
Masterclass, Cemmap, UCL/IFS, London, 15-16 March 2007.
Department of Economics, University of Crete, Rethymno, 21-25 August 2006.
Facultat d’Economia, Universitat de València, 17-21 July 2006.
RES Easter School in Econometrics, Nuffield College, Oxford, 20-24 March 2006.
Departamento de Economía, Universidad Carlos III de Madrid, 2-9 June 2005.
Graduate Institute of International Studies, Geneva, 19-23 April 2004.
CAM and Institute of Economics, University of Copenhagen, 26-28 January 2004.
NAKE Workshop, Erasmus University Rotterdam, 10-13 June 2003.
Department of Economics, Brown University, 10-19 March 2003.
Department of Economics, Universita'di Padova, 22-25 May 2000.
Curso Magistral, Universidad Internacional Menéndez Pelayo, Sevilla, 8-12
November 1999.
Departament d'Economia, Universitat Pompeu Fabra, 17-21 May 1999.
ECARE, Université Libre de Bruxelles, 19-21 April 1999.
Research Department, Bank of Argentina, Buenos Aires, 21 April 1998.
Departamento de Economía, Universidad de la República, Montevideo, Uruguay,
Abril 1998.
Doctoral Programme,
Studienzentrum Gerzensee, Switzerland, August: 1997, 2002, 2006.
Research Department, Bank of Italy, 9-11 September 1996.
CIDE Summer School of Econometrics, Italy, June: Ridracoli, 1991; Bertinoro,
1994.
Publications
1) Books
Panel Data Econometrics, Oxford University Press: Advanced Texts in Econometrics, Oxford, 2003.
Modelos
Microeconométricos y Política Fiscal, Editor, Instituto de Estudios Fiscales,
Madrid, 1994.
2) Articles
"Robust Priors in Nonlinear Panel
Data Models", Econometrica,
77, 2009, 489-536 (with S. Bonhomme). Supplementary Appendix.
"Understanding Bias in Nonlinear Panel Models: Some
Recent Developments". In: R. Blundell, W. Newey, and T. Persson
(eds.): Advances in Economics and
Econometrics, Ninth World Congress, Volume III, Cambridge
University Press, 2007, 381-409 (with J. Hahn).
"Paro y prestaciones: nuevos resultados para España". In: J.Pérez, C.Sebastián, and P.Tedde (eds.): Políticas, Mercados e Instituciones Económicas, Estudios en Homenaje a Luis Ángel Rojo, Volume 1, Editorial Complutense, Madrid, 2004 (with S. Bentolila and O. Bover).
"Discrete Choices with Panel Data", Investigaciones Económicas, 27, 2003, 423-458. (Investigaciones Económicas Lecture, XXV Simposio de Análisis Económico, Bellaterra, December 2000.)
"The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators", Econometrica, 71, 2003, 1121-1159 (with J. Alvarez).
"Binary
Panel Data Models with Predetermined Variables", Journal of Econometrics, 115,
2003, 125-157 (with R. Carrasco).
"Sargan's
Instrumental Variables Estimation and the Generalized Method of Moments", Journal of Business &
Economic Statistics, 20, 2002, 450-459.
"The Distribution
of Earnings in Spain During the 1980s: The Effects of Skill, Unemployment, and
Union Power".
In D. Cohen, T. Piketty and G. Saint-Paul (eds.): The Economics of Rising
Inequalities, Chapter 1, Oxford University Press and CEPR, 2002, 3-53
(with O. Bover and S. Bentolila).
"Unemployment
Duration, Benefit Duration, and the Business Cycle", The Economic Journal, 112, 2002,
223-265 (with O. Bover and S. Bentolila).
"Learning
About Migration Decisions From the Migrants", Journal of Population Economics,
15, 2002, 357-380 (with O. Bover).
"Panel Data Models: Some Recent
Developments".
In: J. J. Heckman and E. Leamer (eds.): Handbook of Econometrics, Volume
5, Chapter 53, North-Holland, 2001, 3229-3296 (with B. Honoré).
"Symmetrically Normalized Instrumental-Variable Estimation Using Panel
Data", Journal
of Business & Economic Statistics, 17, 1999, 36-49 (with C.
Alonso-Borrego).
"Autoregressive
Models with Sample Selectivity for Panel Data". In C. Hsiao, K. Lahiri, L-F. Lee, and
H. Pesaran (eds.): Analysis of Panels and Limited Dependent Variable
Models, Chapter 2, Cambridge University Press, 1999, 23-48 (with O. Bover
and J.M. Labeaga).
"Estimating
Dynamic Limited Dependent Variable Models from Panel Data", Investigaciones
Económicas, 21, 1997, 141-165 (with O. Bover).
"Another
Look at the Instrumental-Variable Estimation of Error-Components Models", Journal of Econometrics, 68,
1995, 29-51 (with O. Bover).
"Female Labour Force Participation in the 1980's: The Case of Spain", Investigaciones
Económicas, 19, 1995, 171-194 (with O. Bover).
"On the
Testing of Correlated Effects with Panel Data", Journal of Econometrics, 59,
1993, 87- 97.
"Introducción al Análisis Econométrico con Datos de Panel". In J. J. Dolado, C. Martín and L. R. Romero (eds.): La industria y el comportamiento de las empresas españolas: Ensayos en homenaje a Gonzalo Mato, Chapter 1, Alianza Editorial, Madrid, 1993, 23-47.
"Female
Labour Supply & On-the-Job Search: An Empirical Model Estimated Using
Complementary Data Sets", Review of Economic Studies, 59, 1992, 537-559 (with C.
Meghir).
"On Exogeneity and Identifiability", Investigaciones Económicas, 16,
1992, 401-409.
"Some
Tests of Specification for Panel Data: Monte Carlo Evidence and an Application
to Employment Equations", Review of Economic Studies, 58, 1991, 277-297 (with S.
Bond).
"Testing
for Autocorrelation in Dynamic Random Effects Models", Review of Economic
Studies, 57, 1990, 127-134.
"Imhof
Approximations to Econometric Estimators", Review of Economic Studies, 57,
1990, 627- 646 (with J.D. Sargan).
"Labour Supply and
Hours Constraints". In J-P. Florens, M. Ivaldi, J-J Laffont, and F.
Laisney (eds.): Microeconometrics: Surveys and Applications, Chapter 9,
Blackwell, Oxford, 1990, 213-230 (with C. Meghir).
"La Econometría de Datos de Panel", Investigaciones Económicas, 14, 1990, 3-45 (with O. Bover).
"An
Efficient GLS Estimator of Triangular Models with Covariance Restrictions", Journal of Econometrics,
42, 1989, 267-273.
"On the
Efficient Estimation of Simultaneous Equations with Covariance Restrictions", Journal of Econometrics,
42, 1989, 247-265.
"A Note
on the Anderson-Hsiao Estimator for Panel Data", Economics Letters, 31, 1989,
337-341.
"Computing Robust Standard Errors for Within-Group
Estimators", Oxford Bulletin of Economics and
Statistics, 49, 1987, 431-434.
"Causalidad y Exogeneidad en Econometría", Cuadernos Económicos de ICE, 24, 1983, 81-102 (with J. García).
3) Comments and Other
Publications
Discussion: “Should
we have a WTO for international migration?” by Timothy Hatton, Economic
Policy, 50, 2007, 374-376.
Discussion: “Panel
Data Analysis - Advantages and Challenges” by Cheng Hsiao, Test,
16, 2007, 23-27.
Discussion: “Foreign
Direct Investment and the Dark Side of Decentralization” by S. Kessing,
K. Konrad, and C. Kotsogiannis, Economic Policy, 49, 2007, 62-64.
Discussion: “Has the
Inflation Process Changed?” by Stephen Cecchetti and Guy Debelle, Economic
Policy, 46, 2006, 341-344.
Discussion:
“Evaluation of Currency Regimes: The Unique Role of Sudden Stops”
by Assaf Razin and Yona Rubinstein, Economic Policy, 45, 2006, 143-146.
"Endogeneity and Instruments in Nonparametric Models".
A Discussion in: M. Dewatripont, L. P. Hansen, and S. J. Turnovsky (eds.): Advances
in Economics and Econometrics, Eighth World Congress, Volume 2, Cambridge
University Press, 2003, 358-364.
“Lagrange Multiplier Test”. Entry for
An Eponymous Dictionary of Economics, J. Segura and C. Rodríguez Braun
(eds.), Edward Elgar, 2004.
Review of Analog Estimation
Methods in Econometrics by C. F. Manski, The Economic Journal,
99, December 1989, p. 1244.
Computer Programs
"Dynamic
Panel Data Estimation Using DPD - A Guide for Users". With S. Bond. Institute for Fiscal
Studies Working Paper 88/15, London, 1988.
Unpublished Papers
"Identifying Distributional Characteristics in Random
Coefficients Panel Data Models" (with S. Bonhomme), July 2009.
"A Likelihood-based Approximate Solution to the Incidental Parameter
Problem in Dynamic Nonlinear Models with Multiple Effects" (with Jinyong Hahn), October
2006. Supplementary Appendix.
"Robust
Likelihood Estimation of Dynamic Panel Data Models", CEMFI Working Paper no. 0421, 2004
(with J. Alvarez).
"GMM Estimation from
Incomplete and Rotating Panels", February 2004 (with P. Albarran).
"Modelling
Optimal Instrumental Variables for Dynamic Panel Data Models", Econometrics Invited
Lecture, European Meeting of the Econometric Society, Venice, August 2002.
CEMFI Working Paper no. 0310.
"Underidentification?", July 1999 (with L. P. Hansen
and E. Sentana).
"Panel Data Models with Predetermined
Instruments", Review of Economic Studies Lecture, Royal
Economic Society Conference, University of Kent, 1995.
"An
Alternative Transformation for Fixed Effects Models with Predetermined
Variables",
Applied Economics Discussion Paper 57, IES, Oxford, 1988.
"Estimating
Contaminated Limited Dependent Variable Models", Applied Economics
Discussion Paper 11, IES, Oxford, 1986 (with O. Bover).
"Estimation of Dynamic
Random Effects Models with Serially Correlated Time-Varying Errors", Paper
presented at the 1983 European Meeting of the Econometric Society, Pisa, Italy,
August 29.
Ph.D. Theses Supervised
M.
Dolores Collado,
"Dynamic Econometric Models for Cohort and Panel Data: Methods and
Applications to Life-Cycle Consumption", London School of Economics, 1994.
César
Alonso-Borrego,
"Econometric Analysis of Investment and Employment Decisions Using Firm
Panel Data", Universidad Complutense de Madrid, 1994.
Victor Aguirregabiria, "Dynamic Models of Price and Inventory Decisions with Fixed Adjustment
Costs", Universidad Complutense de Madrid, 1995.
Raquel Carrasco,
"Estimating Dynamic Discrete Choice Models from Panel Data with
Applications to Labour Force Participation and Employment Decisions",
Universidad de Alcalá, 1999.
Javier
Alvarez,
"Dynamics and Seasonality in Panel Data: Econometric Methods and Analysis
of Earnings Mobility", Universidad Complutense de Madrid, 1999.
Cristina
Barceló,
"Housing Tenure and Labour Mobility in the European Union",
Universidad Complutense de Madrid, 2003.
Jesús M. Carro,
"Estimation of Dynamic Discrete Choice Models and Applications to Labor
Force Participation and Fertility Decisions", Universidad Complutense de
Madrid, 2003.
Pedro Albarrán,
"Econometric Analysis of Income Dynamics and Rotating Panels, with an
Application to Precautionary Saving", Universidad Complutense de Madrid,
2005.
Gema Zamarro,
"Heterogeneous Returns to Education, Wages, and Sequential Schooling
Decisions", UNED, Madrid, 2006.
Laura Hospido, "Heterogeneity
and Dynamics in Individual Wages and Labour Market Histories", Universidade de Santiago de
Compostela, 2007.
Graciela Sanroman, "Microeconometric
Analysis of Household Portfolios", Universidad Complutense de Madrid,
2008.
Cristian Bartolucci, "Wage Differentials
and Wage Rigidity: Micro Evidence from Labor Market Models with
Frictions", UIMP/CEMFI, Madrid, 2009.
Teaching
University
of Oxford. During
1985-89 I gave the following graduate lecture courses:
"Statistical Methods
of Econometrics I" (M. Phil. Economics).
"Topics in Econometrics" (M. Phil. Economics).
"Regression Analysis" (M. Phil. Economics).
"Elementary Econometrics" (M. Sc. Development Economics).
London School of Economics. During 1989-91 I gave the
following lecture courses:
"Quantitative
Microeconomics" (M. Sc. Econometrics).
"Advanced Econometric Theory I" (M. Sc. Econometrics).
"Principles of Econometrics" (B. Sc. Economics).
"Econometrics of Panel Data" (M. Phil. / Ph. D. Economics).
CEMFI,
Madrid. Since
1991-92 I have taught the following graduate lecture courses:
"Statistical Methods
of Econometrics" (Master's programme, first year).
"Microeconometrics" (Master's programme, second year).
"Econometrics" (First year graduate course)
"Public Policy Evaluation: Causal Inference" (Second year topics
course) (Slides, Programme)
"Microeconometrics" (EEF).
"Econometrics of Panel Data" (EEF).
University of Cambridge. In 2000 I taught a lecture course
in "Topics in Advanced Econometrics" for the M.Phil. in Economics
programme.
Universitat Pompeu Fabra. In 2000 I taught a lecture course in "Topics in
Microeconometrics" for the GPEM programme.