Research


Working papers
- González, P., Montes-Rojas, G. & Pal, S. (2018). “Dual practice by health workers: Theory and evidence from Indonesia.”
- Montes-Rojas, G., Zincenko, F. & Sosa-Escudero, W. (2018). “Dynamic panel data with covariance parameterization.”
- Montes-Rojas, G. (2018). “Multivariate quantile impulse response functions.”
- Galvao, A., Montes-Rojas, G. & Olmo, J. (2018). “Tests of asset pricing with time-varying factor loads.”

Publications
Econometrics
- Alejo, J., Galvao, A. & Montes-Rojas, G. (2018). “Quantile continuous treatment effects,” forthcoming Econometrics and Statistics.
- Galvao, A., Montes-Rojas, G., Olmo, J. & Song, S. (2018). “On solving endogeneity with invalid instruments: An application to investment equations,” forthcoming Journal of the Royal Statistical Society - Series A.
- Galvao, A., Juhl, T., Montes-Rojas, G. & Olmo, J. (2018). “Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns,” Journal of Financial Econometrics, 16(2), 211-243.
- Alejo, J., Montes-Rojas, G. & Sosa-Escudero, W. (2018). “What and how to cluster over? Testing for serial versus equi-correlation,” Journal Multivariate Analysis, 165, 101-116.
- Ariza, J., & Montes-Rojas, G. (2017). “Labour income inequality and the informal sector in Colombian cities,” Cuadernos de Economía, 36(72), 77-98.
- Galvao, A., & Montes-Rojas, G. (2017). “Multi-dimensional panels in quantile regression models,” in Lazslo, M. (ed.) The Econometrics of Multi-dimensional Panels, Springer, Switzerland, chapter 8, 239-261.
- Bera, A., Montes-Rojas, G. & Sosa-Escudero, W. (2017). &ldquoA new robust and most powerful test in the presence of local misspecification,” Communications in Statistics - Theory and Methods, 46(16), 8187-8198.
- Montes-Rojas, G. (2017). “Reduced form vector quantile regression,” Journal of Multivariate Analysis, 158, 20-30.
- Alejo, J., Bera, A., Galvao, A., Montes-Rojas, G. & Xiao, Z. (2017). “Tests for normality based on the quantile-mean covariance,“ STATA Journal, 16(4), 1039-1057.
- Montes-Rojas, G. (2016). “An equicorrelation Moulton factor in the presence of arbitrary intra-cluster correlation. ” Economics Letters, 145, 221-224.
- Bera, A., Galvao, A., Montes-Rojas, G. & Park, S-Y. (2016). "Asymmetric Laplace regression: Maximum likelihood, maximum entropy and quantile regression,” Journal of Econometric Methods, 5(1), 79-101.
- Galvao, A. & Montes-Rojas, G. (2015). “On bootstrap inference for quantile regression panel data: A Monte Carlo study,” Econometrics, 3, 654-666.
- Galvao, A. & Montes-Rojas, G. (2015). “On the equivalence of instrumental variables estimators for linear models,” Economics Letters, 134, 13-15.
- Alejo, J., Galvao, A., Montes-Rojas, G. & Sosa-Escudero, W. (2015). “Tests for normality in linear panel data models,” STATA Journal, 15(3), 822-832.
- Zincenko, F., Sosa-Escudero, W. & Montes-Rojas, G. (2014). “Robust tests for time-invariant individual heterogeneity vs.dynamic state dependence,” Empirical Economics, 47(4), 1365-1387.
- Galvao, A., Kato, K., Montes-Rojas, G. & Olmo, J. (2014). “Testing linearity against threshold effects: Uniform inference in quantile regression,” Annals of the Institute of Mathematical Statistics, 66(2), 413-439.
- Dentler, A., Montes-Rojas, G. & Olmo, J. (2014). “Endogeneity in threshold nonlinearity tests,” Communications in Statistics - Theory and Methods, 43(1), 105-114.
- Montes-Rojas, G. & Galvao, A. (2014). “Bayesian endogeneity bias modeling,” Economics Letters, 122(1), 36-39.
- Galvao, A., Montes-Rojas, G. & Olmo, J. (2013). “A panel data test for poverty traps,” Applied Economics, 45(14), 1943-1952.
- Galvao, A., Montes-Rojas, G., Sosa-Escudero, W. & Wang, L. (2013). “Tests for skewness and kurtosis in the one-way error components model,” Journal of Multivariate Analysis, 122, 35-52.
- Cai, Y., Montes-Rojas, G. & Olmo, J. (2013). “Quantile double AR time series models for financial returns,” Journal of Forecasting, 32(6), 551-560.
- Galvao, A., Montes-Rojas, G. & Park, S-Y. (2013). “Quantile autoregressive distributed lag model with an application to house price returns,” Oxford Bulletin of Economics and Statistics, 75(2), 307-321.
- Kato, K., Galvao, A. & Montes-Rojas, G. (2012). “Asymptotics for panel quantile regression models with individual effects,” Journal of Econometrics, 170 (1), 76-91.
- Montes-Rojas, G. (2012). “Optimal spatial prediction and the construction of regional indexes,” Journal of Economic Asymmetries, 9(1), 1-22.
- Galvao, A., Montes-Rojas, G. & Olmo, J. (2011). “Threshold quantile autoregressive models,” Journal of Time Series Analysis, 32(3), 253-267.
- Montes-Rojas, G. (2011) “Nonparametric estimation of ATE and QTE: An application of fractile graphical analysis,” Journal of Probability and Statistics, Volume 2011, Special Issue: Advances in Applied Econometrics.
- Montes-Rojas, G. & Sosa-Escudero, W. (2011). “Robust tests for heteroskedasticity in the one-way error components model,” Journal of Econometrics, 160(2), 300-310.
- Montes-Rojas, G. (2011). “Robust misspecification tests for the Heckman's two-step estimator,” Econometrics Reviews, 30(2), 154-172.
- Bera, A., Montes-Rojas, G. & Sosa-Escudero, W. (2010). “General specification testing with locally misspecified models,” Econometric Theory, 26(6), 1838-1845.
- Galvao, A., & Montes-Rojas, G. (2010). “Penalized quantile regression for dynamic panel data,” Journal of Statistical Planning and Inference, 140(11), 3476-3497.
- Montes-Rojas, G. (2010). “Testing for random effects and serial correlation in spatial autoregressive models,” Journal of Statistical Planning and Inference, 140(4), 1013-1020.
- Galvao, A., Montes-Rojas, G. & Olmo, J. (2009). “Quantile threshold effects in the dynamics of the Dollar/Pound exchange rate,” Journal of Economic Asymmetries, 6(2), 69-82.
- Montes-Rojas, G. (2009) “A note on the variance of average treatment effects estimators,” Economics Bulletin, 29(4), 2937-2943.
- Bera, A., Montes-Rojas, G. & Sosa-Escudero, W. (2009). “Testing under local misspecification and artificial regressions,” Economics Letters, 104(2), 66-68.
- Acosta, P. & Montes-Rojas, G. (2009). “A simple IM test for exponential distributions,” Applied Economics Letters, 16(2), 109-112.
Development Economics
- Montes-Rojas, G., Sosa-Escudero, W. & Mainali, M. (2017). “Mean and quantile regression Oaxaca-Blinder decompositions with an application to caste discrimination,” Journal of Income Inequality, 15(3), 245-255.
- Montes-Rojas, G. (2017). “A capital invariant solution to the Marxian transformation problem,“ Review of Radical Political Economics, 49(1), 114-124.
- Mainali, R., Jafarey, S. & Montes-Rojas, G. (2017). “Earnings and caste: An evaluation of caste wage differentials in the Nepalese labour market,” Journal of Developing Studies, 53(3), 396-421.
- Montes-Rojas, G. (2014). “A note on building a counterfactual for Mercosur,” Latin American Business Review, 15, 315-325.
- Acosta, P. & Montes-Rojas, G. (2014). “Informal jobs and trade liberalisation in Argentina,” Journal of Development Studies, 50(8), 1104-1118.
- Montes-Rojas, G. (2013). “Can poor countries lobby for more US bilateral aid?,” World Development, 44, 77-87.
- Chiodi, V., Jaimovich, E. &Montes-Rojas, G. (2013). “Migration, remittances and capital accumulation: Evidence from rural Mexico,” Journal of Development Studies, 48(8), 1139-1155.
- Gabrieli, T., Galvao, A. & Montes-Rojas, G. (2012). “Who benefits from reducing the cost of formality? Quantile regression discontinuity analysis,” Research in Labor Economics, 34, 101-133.
- Montes-Rojas, G. (2011) “Quantile regression with classical additive measurement errors,” Economics Bulletin, 31(4), 2863-2868.
- El-Atroush, I.M. & Montes-Rojas, G. (2011). “Technical efficiency estimation via metafrontier technique with factors that affect supply chain operations,” International Journal of Business and Economics, 10(2), 117-138.
- Fajnzylber, P., Maloney, W. & Montes-Rojas, G. (2011). "Does formality improve micro-firm performance? Quasi-experimental evidence from the Brazilian SIMPLES program,” Journal of Development Economics, 94(2), 262-276.
- Baer, W., Margot, D. & Montes-Rojas, G. (2011). “Argentina's default and the lack of dire consequences,” Economia Aplicada (Brazilian Journal of Applied Economics), 15(1), 131-146.
- Montes-Rojas, G. (2010). “Confronting neoclassical myths about self-employment in Latin America,” Review of Radical Political Economics, 42(1), 50-65.
- Gawande, K., Maloney, W. & Montes-Rojas, G. (2009). “Can foreign lobbying enhance development? The case of tourism in the Caribbean,” Journal of Development Economics, 90(2), 267-275.
- Fajnzylber, P., Maloney, W. & Montes-Rojas, G. (2009). “Releasing constraints to growth or pushing on a string? Policies and performance of Mexican micro-firms,” Journal of Development Studies, 45(7), 1027-1047.
- Mandelman, F. & Montes-Rojas, G. (2009). “Is self-employment and micro-entrepreneurship a desired outcome?" World Development, 37(12), 1914-1925.
- Dewey, J. & Montes-Rojas, G. (2009). “Inter-city wage differentials and intra-city workplace centralization,” Regional Science & Urban Economics, 39(5), 602-609.
- Montes-Rojas, G. & Siga, L. (2009) “On the nature of micro-entrepreneurship. Evidence from Argentina,” Applied Economics, 41, 2667-2680.
- Baer, W. & Montes-Rojas, G. (2008). “From privatization to re-nationalization: What went wrong with privatizations in Argentina?" Oxford Development Studies, 36(3), 323-338.
- Acosta, P. & Montes-Rojas, G. (2008). “Trade reform and inequality: The case of Mexico and Argentina in the 1990s,” World Economy, 31(6), 763-780.
- Montes-Rojas, G. & Santamaría, M. (2007). “Sources of productivity growth: Evidence from the Mexican manufacturing sector,” North American Journal of Economics and Finance, 18(3), 263-268.
- Montes-Rojas, G. & Santamaría, M. (2007). “The burden of labour costs in Mexico,” LABOUR: Review of Labour Economics and Industrial Relations, 21(1), 157-188, March 2007.
- Montes-Rojas, G. (2006). “Skill premia in Mexico: Demand and supply factors,” Applied Economic Letters, 13(14), 917-924.
- Fajnzylber, P., Maloney, W. & Montes-Rojas, G. (2006). “Micro-firms dynamics in less developed countries: How similar are they to those in the industrialized world? Evidence from Mexico,” World Bank Economic Review, 20(3), 389-419.
- Maloney, W. & Montes-Rojas, G. (2005). “How elastic are sea, sand and sun? Dynamic panel estimates of the demand for tourism,” Applied Economics Letters, 12(5), 277-280.
Financial Economics
- Temizsoy, A., Iori, G. & Montes-Rojas, G. (2017). “Network centrality and funding rates in the e-MID interbank market,” forthcoming Journal of Financial Stability.
- Temizsoy, A, Iori, G. & Montes-Rojas, G. (2015). “The role of bank relationships in the interbank market,” Journal of Economic Dynamics and Control, 59, 118-141.
- Montes-Rojas, G. (2015). “Spatial competition and the location of firms with non-uniformly distributed costumers,” Revista de Economía Política de Buenos Aires, 14, 83-117.
- Montes-Rojas, G. (2008). “Non-uniform wealth distribution in a simple spatial banking model,” Journal of Applied Economics, XI, 145-165.