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
Dmitry Arkhangelsky
Associate Professor with Tenure
Liyang Sun
Associate Professor
On Leave
Manuel Arellano
Professor
Enrique Sentana
Professor
Dante Amengual
Associate Professor with Tenure
Pedro Mira
Professor
Luigi Maria Briglia
PhD student
Aleksei Samkov
PhD student
Víctor Sancibrián
PhD student
Adriano Pace
Pre-doc Researcher
Inés Torres
Policy and Research Associate
Seminars series
OCT
Econometrics Seminar
Jörg Stoye (Cornell University) presents "TBA"
NOV
Econometrics Seminar
Marine Carrasco (Université de Montréal) presents "Hansen-Jagannathan distance with many assets" (joint with Cheikh Nokho)
NOV
Econometrics Seminar
Christophe Gaillac (University of Geneva) presents "TBA"
NOV
Econometrics Seminar
Silvia Sarpietro (Università di Bologna) presents "TBA"
DEC
Econometrics Seminar
Clement de Chaisemartin (Sciences Po) presents "TBA"
Recent publications of this research line
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Dmitry Arkhangelsky and Guido Imbens,
Causal models for longitudinal and panel data,
Econometrics Journal , forthcoming. -
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.
Research grants
Ramón y Cajal Grant (Ministerio de Ciencia e Innovación, 2024-2028)
Researchers: Dmitry Arkhangelsky (PI).
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).
Evaluating Interventions to Promote Social Inclusion (Fundación La Caixa, 2022-2024)
Researchers: Samuel Bentolila (PI).
Inferences in models with hidden variables in macroeconomics and finance (HiddenVar) (Ministerio de Ciencia e Innovación, 2022-2025)
Researchers: Enrique Sentana (Co-PI), Dante Amengual (Co-PI).