Amilcar Velez

PhD Candidate in Economics

Northwestern University

Welcome!

I am from Puno, Peru, and currently I’m a Ph.D. candidate at the Economics Department of Northwestern University working on Econometrics.

Interests

Econometrics
(Statistical) Machine Learning
Experiments
Statistical Decision Theory

Education

PhD in Economics, 2019-present
Northwestern University
MA in Economics, 2020
Northwestern University
MS in Mathematics, 2015
Instituto Nacional de Matematica Pura e Aplicada
BA in Economics, 2014
Pontificie Universidad Catolica del Peru

Working papers

(feedback is welcome!)

The Local Projection Residual Bootstrap for AR(1) Models

New version available!

Last updated on Sep 5, 2023

The out-of-sample prediction error of the square-root-LASSO and related estimators

joint with José Luis Montiel Olea, Cynthia Rush, and Johannes Wiesel.

Last updated on Jun 16, 2023

Linear IV Model with Incomplete Data on the Instrumental Variable

Draft coming soon.

Last updated on Mar 10, 2023

Representation Learning in Linear Factor Models

joint with José Luis Montiel Olea.

Last updated on Dec 13, 2022

Publications

A User's Guide for Inference in Models Defined by Moment Inequalities

joint with Ivan A. Canay and Gaston Illanes. Accepted at Journal of Econometrics.

The A/B Testing Problem with Gaussian Priors

joint with Eduardo M. Azevedo, David Mao, and José Luis Montiel Olea. Journal of Economic Theory, Volume (210), June 2023.

On the Robustness to Misspecification of alpha-Posteriors and Their Variational Approximations

Joint with Marco Avella Medina, José Luis Montiel Olea, and Cynthia Rush. Journal of Machine Learning Research, 23(147):1−51, 2022.

Posterior distribution of nondifferentiable functions

Joint with Toru Kitagawa, José Luis Montiel Olea, and Jonathan Payne. Journal of Econometrics, Volume 217(1), July 2020, pp. 161-175