Biography

Vanessa Berenguer-Rico's research focuses on the econometric modelling and statistical treatment of non-linear long run relationships that involve persistent processes --such as those observed in macroeconomic data. The standard theory to deal with persistence in a linear context --Co-integration theory-- is not properly designed to deal with non-linearities. Her current research develops Co-summability theory that generalizes co-integration to non-linear worlds. Among other potential macroeconometric studies, she has applied Co-summability theory to analyze the hypothesis of asymmetric preferences of central bankers, the environmental Kuznets curve, and the effect of a changing level of impatience of investors on asset pricing. Other areas of research are sustainability of fiscal deficits and debts or long run relationships in panel data models.

Recent Publications

Jun 2023
Normality testing after outlier removal
Vanessa Berenguer-Rico ,  Bent Nielsen
May 2023
Working Paper
May 2023
Journal
A model where the least trimmed squares estimator is maximum likelihood
in Journal of the Royal Statistical Society, Series B: Statistical Methodology
Vanessa Berenguer-Rico ,  Soren Johansen ,  Bent Nielsen
Feb 2019
Journal
Cumulated sum of squares statistics for non-linear and non-stationary regressions
in Econometric Theory
Vanessa Berenguer-Rico ,  Bent Nielsen
Jun 2018
Working Paper
White heteroscedasticty testing after outlier removal
Vanessa Berenguer-Rico ,  Ines Wilms
Jun 2013
Working Paper
Co-summability: From linear to non-linear co-integration
Vanessa Berenguer-Rico ,  Jesus Gonzalo
Feb 2010
Journal
Regime shifts in stock–flow I(2)–I(1) systems: the case of US fiscal sustainability
Vanessa Berenguer-Rico ,  Josep Lluís Carrion-i-Silvestre
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Programme Teams