Dr Vanessa Berenguer-Rico
Senior Research Fellow
Associate Professor in Economics, Department of Economics, University of Oxford
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.
Marked and Weighted Empirical Processes of Residuals with the Applications to Robust Regressions
16 Dec 17
A new class of marked and weighted empirical processes of residuals is introduced.
Summability of Stochastic Processes: A Generalization of Integration for Non-linear Processes
20 Sep 13