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.
Faculty
Dante Amengual
Associate Professor with Tenure
Manuel Arellano
Professor
Dmitry Arkhangelsky
Associate Professor with Tenure
On Leave
Pedro Mira
Professor
Anatoli Segura
Associate Professor with Tenure
Enrique Sentana
Professor
PhD students
Jiaxuan Ren
PhD student
Wisse Rutgers
PhD student
Seminars series
JUN
Econometrics Seminar
joint Banking and Finance - William Fuchs (The University of Texas at Austin) presents "A Trilemma for Asset Demand Estimation - and - Demand-System Asset Pricing: Theoretical Foundations"
OCT
Econometrics Seminar
Jad Beyhum (KU Leuven) presents "Approximate Operator Inversion for Average Effects in Nonlinear Panel Models"
OCT
Econometrics Seminar
Raffaella Giacomini (UCL) presents "Causal State-Dependent Local Projections" (joint with Joel M. David, Xiyu Jiao, and Weining Wang)
NOV
Econometrics Seminar
Brendan Beare (University of Sydney) presents "TBA"
NOV
Econometrics Seminar
Tyler McCormick (University of Washington) presents "On tubes; or, Model-Building from Rich Data by Isolating Concepts"
Recent publications of this research line
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Yarine Fawaz and Pedro Mira,
Social Isolation, Health Dynamics, adn Mortality: Evidence across 21 European Countries,
Journal of Population Economics, forthcoming. -
Dante Amengual, Gabriele Fiorentini and Enrique Sentana,
The information matrix test for Gaussian mixtures,
Journal of Econometrics, (2026), 106234. -
Dante Amengual, Xinyue Bei and Enrique Sentana,
Highly irregular serial correlation tests,
Econometrics and Statistics, forthcoming.
Research grants
Income dynamics, employment dynamics, fertility decisions, and cultural norms: implications for gender and labor market inequality (Ministerio de Ciencia, Innovación y Universidades, 2025-2028)
Researchers: Tom Zohar (Co-PI), Manuel Arellano (Co-PI), Giulia Buccione.
Advances in Applied Microeconomics (Ministerio de Ciencia, Innovación y Universidades, 2025-2028)
Researchers: Gerard Llobet (Co-PI), Pedro Mira (Co-PI), Guillermo Caruana.
Ramón y Cajal Grants (Ministerio de Ciencia, Innovación y Universidades, 2024-2028)
Researchers: Dmitry Arkhangelsky (PI).