Marine Carrasco : Citation Profile


Are you Marine Carrasco?

Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (49% share)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (1% share)

12

H index

14

i10 index

623

Citations

RESEARCH PRODUCTION:

13

Articles

29

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (1999 - 2015). See details.
   Cites by year: 38
   Journals where Marine Carrasco has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 15 (2.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca65
   Updated: 2017-11-18    RAS profile: 2015-10-20    
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Relations with other researchers


Works with:

Tchuente, Guy (5)

Kotchoni, Rachidi (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Marine Carrasco.

Is cited by:

LINTON, OLIVER (21)

GUEGAN, Dominique (11)

Kotchoni, Rachidi (10)

Simoni, Anna (10)

Rombouts, Jeroen (8)

McAleer, Michael (8)

Escanciano, Juan Carlos (7)

Renault, Eric (7)

Francq, Christian (7)

Zakoian, Jean-Michel (7)

Ghysels, Eric (7)

Cites to:

Andrews, Donald (11)

Newey, Whitney (11)

Florens, Jean-Pierre (9)

Hansen, Lars (9)

Obstfeld, Maurice (7)

Hansen, Bruce (7)

Ghysels, Eric (6)

Renault, Eric (6)

Ploberger, Werner (6)

Gallant, A. (6)

Singleton, Kenneth (5)

Main data


Where Marine Carrasco has published?


Journals with more than one article published# docs
Econometric Theory5
Journal of Econometrics5
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse4
Working Papers / Center for Research in Economics and Statistics3
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2
Working Papers / HAL2

Recent works citing Marine Carrasco (2017 and 2016)


YearTitle of citing document
2016Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes. (2016). Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2016-24.

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2016Multivariate Mixed Tempered Stable Distribution. (2016). Mercuri, Lorenzo ; Hubalek, Friedrich ; Hitaj, Asmerilda ; Rroji, Edit . In: Papers. RePEc:arx:papers:1609.00926.

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2016Neural Nets for Indirect Inference. (2016). Creel, Michael. In: Working Papers. RePEc:bge:wpaper:942.

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2016Outliers and persistence in threshold autoregressive processes. (2016). Donayre, Luiggi ; Ahmad, Yamin ; Yamin, Ahmad . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:1:p:37-56:n:4.

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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Schneeberger, Stefan . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1620.

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2016A Semiparametric Intraday GARCH Model. (2016). Malec, Peter. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1633.

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2016Identification-robust moment-based tests for Markov-switching in autoregressive models. (2016). Luger, Richard ; Dufour, Jean-Marie . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-63.

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2016In-sample Inference and Forecasting in Misspecified Factor Models. (2016). Rossi, Barbara ; Carrasco, Marine . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11388.

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2017Regression Discontinuity Design with Continuous Measurement Error in the Running Variable. (2017). Le Barbanchon, Thomas ; Davezies, Laurent . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11775.

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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2033.

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2016Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation. (2016). Kim, Minjo ; Lee, Sangyeol . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:1-19.

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2017An extreme value analysis of the last century crises across industries in the U.S. economy. (2017). Bee, Marco ; Trapin, Luca ; Riccaboni, Massimo . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:65-78.

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2016Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined. (2016). Sandberg, Rickard . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:699-713.

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2016A simple derivation of the efficiency bound for conditional moment restriction models. (2016). Sueishi, Naoya . In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:57-59.

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2016Instrument selection for estimation of a forward-looking Phillips Curve. (2016). Medeiros, Marcelo ; Sena, Marcelo J ; Berriel, Tiago . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:123-125.

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2016GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference. (2016). Prokhorov, Artem ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:18-45.

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2016Nonparametric instrumental variables estimation for efficiency frontier. (2016). Simar, Leopold ; FEVE, Frédérique ; FLORENS, Jean-Pierre ; Cazals, Catherine . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:349-359.

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2016Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models. (2016). Ait-Sahalia, Yacine ; Park, Joon Y. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:119-138.

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2016Kernel estimation of hazard functions when observations have dependent and common covariates. (2016). Wolter, James Lewis . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:1-16.

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2016Model averaging in semiparametric estimation of treatment effects. (2016). Kitagawa, Toru ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:271-289.

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2016Asymptotics for parametric GARCH-in-Mean models. (2016). Conrad, Christian ; Mammen, Enno . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:319-329.

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2016Econometric estimation with high-dimensional moment equalities. (2016). Shi, Zhentao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:104-119.

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2016A simple nonparametric approach to estimating the distribution of random coefficients in structural models. (2016). Kim, Kyoo il ; Fox, Jeremy ; Yang, Chenyu ; Il, Kyoo . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:236-254.

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2017Efficient estimation in models with independence restrictions. (2017). Poirier, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:1-22.

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2017Estimation of average treatment effects with panel data: Asymptotic theory and implementation. (2017). Bell, David R ; Li, Kathleen T. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:65-75.

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2017Minimum distance from independence estimation of nonseparable instrumental variables models. (2017). Torgovitsky, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:35-48.

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2017Tests of additional conditional moment restrictions. (2017). Parente, Paulo ; Smith, Richard J. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:1-16.

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2017Regression discontinuity design with continuous measurement error in the running variable. (2017). Le Barbanchon, Thomas ; Davezies, Laurent . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:260-281.

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2017Neural nets for indirect inference. (2017). Creel, Michael . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:36-49.

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2017An improved method for forecasting spare parts demand using extreme value theory. (2017). Dekker, Rommert ; Koning, Alex J ; Renjie, Rex Wang ; van Jaarsveld, Willem ; Zhu, Sha . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:1:p:169-181.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2017The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model. (2017). Charfeddine, Lanouar. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:355-374.

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2017Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework. (2017). Sun, Haoze ; Zhang, YI ; Weng, Chengguo . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:197-214.

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2017Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model. (2017). Kanjilal, Kakali ; Ghosh, Sajal . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:358-365.

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2016Macroeconomic Regimes and Regime Shifts. (2016). Hamilton, J D. In: Handbook of Macroeconomics. RePEc:eee:macchp:v2-163.

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2017Energy consumption synchronization between Europe, United States and Japan: A spectral analysis assessment. (2017). Dima, Bogdan . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:77:y:2017:i:c:p:1261-1271.

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2017Nonlinear adjustment effects in the purchasing power parity. (2017). Phiri, Andrew. In: EERI Research Paper Series. RePEc:eei:rpaper:eeri_rp_2017_08.

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2016The links between crude oil prices and GCC stock markets: Evidence from time-varying Granger causality tests. (2016). GUPTA, RANGAN ; Balcilar, Mehmet ; Genb, Smail H. In: Working Papers. RePEc:emu:wpaper:15-30.pdf.

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2016On ill-posedness of nonparametric instrumental variable regression with convexity constraints. (2016). . In: Working Papers. RePEc:gnv:wpaper:unige:79975.

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2016On ill-posedness of nonparametric instrumental variable regression with convexity constraints. (2016). Scaillet, Olivier. In: Working Papers. RePEc:gnv:wpgsem:unige:79975.

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2016Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes. (2016). Kanaya, Shin. In: Discussion Paper Series. RePEc:hit:hituec:646.

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2016An extreme value analysis of the last century crises across industries in the U.S. economy. (2016). Riccaboni, Massimo ; Bee, Marco ; Trapin, Luca . In: Working Papers. RePEc:ial:wpaper:02/2016.

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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan . In: CeMMAP working papers. RePEc:ifs:cemmap:12/16.

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2016Bias-corrected confidence intervals in a class of linear inverse problems. (2016). Horowitz, Joel ; FLORENS, Jean-Pierre ; van Keilegom, Ingred . In: CeMMAP working papers. RePEc:ifs:cemmap:19/16.

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2016Valid post-selection and post-regularization inference: An elementary, general approach. (2016). Chernozhukov, Victor ; Spindler, Martin ; Hansen, Christian. In: CeMMAP working papers. RePEc:ifs:cemmap:36/16.

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2017Regression Discontinuity Design with Continuous Measurement Error in the Running Variable. (2017). Le Barbanchon, Thomas ; Davezies, Laurent . In: IZA Discussion Papers. RePEc:iza:izadps:dp10801.

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2016Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes. (2016). Kanaya, Shin. In: KIER Working Papers. RePEc:kyo:wpaper:947.

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2017Identification-robust moment-based tests for Markov-switching in autoregressive models. (2017). Luger, Richard ; Dufour, Jean-Marie . In: Cahiers de recherche. RePEc:lvl:crrecr:1701.

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2016Semiparametric Varying Coefficient Models with Endogenous Covariates. (2016). Racine, Jeffrey ; Centorrino, Samuele. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2016-02.

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2016Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models. (2016). Luger, Richard ; Dufour, Jean-Marie . In: Cahiers de recherche. RePEc:mtl:montec:15-2016.

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2017Additive Nonparametric Instrumental Regressions: A Guide to Implementation. (2017). Centorrino, Samuele ; Feve, Frederique ; FLORENS, Jean-Pierre. In: Department of Economics Working Papers. RePEc:nys:sunysb:17-06.

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2016Model selection and model averaging in nonparametric instrumental variables models. (2016). Tao, Jing . In: MPRA Paper. RePEc:pra:mprapa:69492.

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2016The Links between Crude Oil Prices and GCC Stock Markets: Evidence from Time-Varying Granger Causality Tests. (2016). GUPTA, RANGAN ; Balcilar, Mehmet ; Gen, Smail H. In: Working Papers. RePEc:pre:wpaper:201644.

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2017A BOOTSTRAP BIAS CORRECTION OF LONG RUN FOURTH ORDER MOMENT ESTIMATION IN THE CUSUM OF SQUARES TEST. (2017). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0220.

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2017STRUCTURAL CHANGE, AGGREGATE DEMAND AND THE DECLINE OF LABOUR PRODUCTIVITY: A COMPARATIVE PERSPECTIVE. (2017). Tridico, Pasquale ; Pariboni, Riccardo. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0221.

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2017Identifying Distributions in a Panel Model with Heteroskedasticity: An Application to Earnings Volatility. (2017). Botosaru, Irene. In: Discussion Papers. RePEc:sfu:sfudps:dp17-11.

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2016Asymptotic results of a nonparametric conditional cumulative distribution estimator in the single functional index modeling for time series data with applications. (2016). Attaoui, Said . In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:79:y:2016:i:5:d:10.1007_s00184-015-0564-6.

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2017Dating multiple change points in the correlation matrix. (2017). Galeano, Pedro ; Wied, Dominik . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-016-0513-3.

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2016Topics in nonparametric identification and estimation. (2016). Hubner, Stefan. In: Other publications TiSEM. RePEc:tiu:tiutis:08fce56b-3193-46e0-871b-0fa4402832b5.

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2016Robust frontier estimation from noisy data: a Tikhonov regularization approach. (2016). Simar, Leopold ; Daouia, Abdelaati ; FLORENS, Jean-Pierre. In: TSE Working Papers. RePEc:tse:wpaper:30543.

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2017Honest confidence sets in nonparametric IV regression and other ill-posed models. (2017). Babii, Andrii . In: TSE Working Papers. RePEc:tse:wpaper:31687.

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2016Estimation of social interaction models using regularization. (2016). Tchuente, Guy. In: Studies in Economics. RePEc:ukc:ukcedp:1607.

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2016Regularization Based Anderson Rubin Tests for Many Instruments. (2016). Tchuente, Guy ; Carrasco, Marine . In: Studies in Economics. RePEc:ukc:ukcedp:1608.

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2016In-sample inference and forecasting in misspecified factor models. (2016). Rossi, Barbara ; Carrasco, Marine . In: Economics Working Papers. RePEc:upf:upfgen:1530.

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Works by Marine Carrasco:


YearTitleTypeCited
2002Simulation-Based Method of Moments and Efficiency. In: Journal of Business & Economic Statistics.
[Citation analysis]
article17
2004Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship In: Journal of Business & Economic Statistics.
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article55
2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
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paper7
2002Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions.(2002) In: IDEI Working Papers.
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This paper has another version. Agregated cites: 7
paper
2009Nonlinearity and Temporal Dependence In: CIRANO Working Papers.
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paper34
2008Nonlinearity and Temporal Dependence.(2008) In: Cowles Foundation Discussion Papers.
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This paper has another version. Agregated cites: 34
paper
2009Nonlinearity and Temporal Dependence.(2009) In: Cowles Foundation Discussion Papers.
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paper
2008Nonlinearity and Temporal Dependence.(2008) In: Working Papers.
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2010Nonlinearity and temporal dependence.(2010) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 34
article
2009Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model In: CIRANO Working Papers.
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paper27
2010Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model.(2010) In: Post-Print.
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paper
2004Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model.(2004) In: RCER Working Papers.
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2011Adaptive Realized Kernels In: CIRANO Working Papers.
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paper0
2013Adaptive Realized Kernels.(2013) In: Working Papers.
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2013Regularized LIML for many instruments In: CIRANO Working Papers.
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paper5
2015Regularized LIML for many instruments.(2015) In: Journal of Econometrics.
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2015Regularized LIML for many instruments.(2015) In: Studies in Economics.
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2013Efficient estimation with many weak instruments using regularization techniques In: CIRANO Working Papers.
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paper2
2015Efficient estimation with many weak instruments using regularization techniques.(2015) In: Studies in Economics.
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2013Efficient estimation using the Characteristic Function In: CIRANO Working Papers.
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2013Efficient Estimation Using the Characteristic Function.(2013) In: Working Papers.
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2000Efficient GMM Estimation Using the Empirical Characteristic Function In: Working Papers.
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2002Efficient GMM Estimation Using the Empirical Characteristic Function.(2002) In: IDEI Working Papers.
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2000Chi-square Tests when a Nuisance Parameter is Present only under the Alternative In: Working Papers.
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paper0
1999b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models In: Working Papers.
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paper5
2000GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS In: Econometric Theory.
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article66
2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS In: Econometric Theory.
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article196
200403.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression Solution In: Econometric Theory.
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article0
2011A SPECTRAL METHOD FOR DECONVOLVING A DENSITY In: Econometric Theory.
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article10
2009Spectral Method for Deconvolving a Density.(2009) In: IDEI Working Papers.
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2014ON THE ASYMPTOTIC EFFICIENCY OF GMM In: Econometric Theory.
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article2
2004On the Asymptotic Efficiency of GMM.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2003On the Asymptotic Efficiency of GMM.(2003) In: IDEI Working Papers.
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2004Optimal test for Markov switching In: Econometric Society 2004 North American Summer Meetings.
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2004Optimal test for Markov switching.(2004) In: 2004 Meeting Papers.
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2000Estimation of a Mixture via the Empirical Characteristic Function In: Econometric Society World Congress 2000 Contributed Papers.
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2007Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization In: Handbook of Econometrics.
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chapter59
2002Misspecified Structural Change, Threshold, and Markov-switching models In: Journal of Econometrics.
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article40
2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
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article30
2012A regularization approach to the many instruments problem In: Journal of Econometrics.
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article18
2004Chi-square Tests for Parameter Stability In: RCER Working Papers.
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paper1
Kernel Estimation of the Density of a Change-Point in the Mean In: Computing in Economics and Finance 1997.
[Citation analysis]
paper0
2014Optimal Test for Markov Switching Parameters In: Econometrica.
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article12

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