Welcome to my website

I am a PhD candidate at the Vrije Universiteit Amsterdam, department of Econometrics and Data Science, supervised by André Lucas and Julia Schaumburg, and also affiliated to the Tinbergen Institute.

I work on models for panel data with unobserved dynamic clustering structures, and their applications to finance. See here for my publications and work in progress. In my dissertation, I develop clustering techniques to solve specific problems emerging from empirical applications related to how noisy data produces inconsistent clustering. I approach solutions both from an econometric perspective, using score-driven models, and from machine learning techniques combined and adapted to smooth out undesirable features.

My Job Market Paper is entitled Testing for Clustering Under Switching, available here for download. You can find a presentation about it here and the abstract below:

I refine the test for clustering of Patton and Weller (2022) to allow for cluster switching. In a multivariate panel setting, clustering on time-averages produces consistent estimators of means and group assignments. Once switching is introduced, we lose the consistency. In fact, under switching the time-averaged k-means clustering converges to equal, indistinguishable means. This causes the test for a single cluster to lose power under the alternative of multiple clusters. Power can be regained by clustering the N times T observations independently and carefully subsampling the time dimension. When applied to the empirical setting of Bonhomme and Manresa (2015) of an autoregression of democracy in a panel of countries, we are able to detect clusters in the data under noisier conditions than the original test.

You can reach me at i.custodiojoao@vu.nl.

I am on the 2023/24 Job Market. My institution’s placement director is Eric Bartelsman (e.j.bartelsman@tinbergen.nl).