18
H index
24
i10 index
937
Citations
Universidad Carlos III de Madrid | 18 H index 24 i10 index 937 Citations RESEARCH PRODUCTION: 37 Articles 50 Papers 1 Chapters EDITOR: Series edited RESEARCH ACTIVITY: 18 years (2003 - 2021). See details. EXPERT IN: Instrumental Variables (IV) Estimation MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pes22 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Juan Carlos Escanciano. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 10 |
Econometric Theory | 6 |
Journal of Business & Economic Statistics | 4 |
Computational Statistics & Data Analysis | 3 |
Quantitative Economics | 2 |
Econometric Reviews | 2 |
Year | Title of citing document |
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2023 | Orthogonal Statistical Learning. (2019). Syrgkanis, Vasilis ; Foster, Dylan J. In: Papers. RePEc:arx:papers:1901.09036. Full description at Econpapers || Download paper |
2023 | Specification tests for generalized propensity scores using double projections. (2020). Song, Xiaojun. In: Papers. RePEc:arx:papers:2003.13803. Full description at Econpapers || Download paper |
2023 | Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments. (2020). Lee, Ying-Ying ; Colangelo, Kyle. In: Papers. RePEc:arx:papers:2004.03036. Full description at Econpapers || Download paper |
2023 | Better Lee Bounds. (2020). Semenova, Vira. In: Papers. RePEc:arx:papers:2008.12720. Full description at Econpapers || Download paper |
2023 | Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments. (2020). Singh, Rahul. In: Papers. RePEc:arx:papers:2012.10315. Full description at Econpapers || Download paper |
2023 | Semiparametric Estimation of Long-Term Treatment Effects. (2021). Ritzwoller, David M ; Chen, Jiafeng. In: Papers. RePEc:arx:papers:2107.14405. Full description at Econpapers || Download paper |
2023 | Multiway empirical likelihood. (2021). Otsu, Taisuke ; Matsushita, Yukitoshi ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2108.04852. Full description at Econpapers || Download paper |
2023 | Kernel Methods for Multistage Causal Inference: Mediation Analysis and Dynamic Treatment Effects. (2021). Gretton, Arthur ; Xu, Liyuan ; Singh, Rahul. In: Papers. RePEc:arx:papers:2111.03950. Full description at Econpapers || Download paper |
2023 | Omitted Variable Bias in Machine Learned Causal Models. (2021). Chernozhukov, Victor ; Newey, Whitney ; Cinelli, Carlos ; Syrgkanis, Vasilis ; Sharma, Amit. In: Papers. RePEc:arx:papers:2112.13398. Full description at Econpapers || Download paper |
2023 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper |
2023 | Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664. Full description at Econpapers || Download paper |
2023 | Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685. Full description at Econpapers || Download paper |
2023 | Debiased Semiparametric U-Statistics: Machine Learning Inference on Inequality of Opportunity. (2022). Terschuur, Joel Robert ; Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:2206.05235. Full description at Econpapers || Download paper |
2023 | Debiased Inference on Identified Linear Functionals of Underidentified Nuisances via Penalized Minimax Estimation. (2022). Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2208.08291. Full description at Econpapers || Download paper |
2023 | Safe Policy Learning under Regression Discontinuity Designs. (2022). Imai, Kosuke ; Ben-Michael, Eli ; Zhang, YI. In: Papers. RePEc:arx:papers:2208.13323. Full description at Econpapers || Download paper |
2023 | E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991. Full description at Econpapers || Download paper |
2023 | A Bootstrap Specification Test for Semiparametric Models with Generated Regressors. (2022). Lapenta, Elia. In: Papers. RePEc:arx:papers:2212.11112. Full description at Econpapers || Download paper |
2023 | Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937. Full description at Econpapers || Download paper |
2023 | Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap. (2023). Karapakula, Ganesh. In: Papers. RePEc:arx:papers:2301.05703. Full description at Econpapers || Download paper |
2023 | Automatic Locally Robust Estimation with Generated Regressors. (2023). , Telmo ; Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:2301.10643. Full description at Econpapers || Download paper |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper |
2023 | Minimax Instrumental Variable Regression and $L_2$ Convergence Guarantees without Identification or Closedness. (2023). Newey, Whitney ; Mao, Xiaojie ; Kallus, Nathan ; Bennett, Andrew ; Uehara, Masatoshi ; Syrgkanis, Vasilis. In: Papers. RePEc:arx:papers:2302.05404. Full description at Econpapers || Download paper |
2023 | Post-Episodic Reinforcement Learning Inference. (2023). Zhan, Ruohan ; Syrgkanis, Vasilis. In: Papers. RePEc:arx:papers:2302.08854. Full description at Econpapers || Download paper |
2023 | Endogenous Linear Regressions with Included Instrumental Variables. (2023). Wang, Rui ; Gao, Wayne Yuan. In: Papers. RePEc:arx:papers:2304.00626. Full description at Econpapers || Download paper |
2023 | Robust inference for the treatment effect variance in experiments using machine learning. (2023). Sanchez-Becerra, Alejandro. In: Papers. RePEc:arx:papers:2306.03363. Full description at Econpapers || Download paper |
2023 | Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169. Full description at Econpapers || Download paper |
2023 | A maximal inequality for local empirical processes under weak dependence. (2023). Pinto, Cristine ; Alvarez, Luis. In: Papers. RePEc:arx:papers:2307.01328. Full description at Econpapers || Download paper |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper |
2023 | Identification and Estimation in a Class of Potential Outcomes Models. (2023). Santos, Andres ; Pinto, Rodrigo ; Navjeevan, Manu. In: Papers. RePEc:arx:papers:2310.05311. Full description at Econpapers || Download paper |
2023 | Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190. Full description at Econpapers || Download paper |
2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper |
2023 | Estimating the Impact of the Age of Criminal Majority: Decomposing Multiple Treatments in a Regression Discontinuity Framework. (2023). Walker, Caroline ; Pyle, Benjamin ; Mueller-Smith, Michael. In: Working Papers. RePEc:cen:wpaper:23-01. Full description at Econpapers || Download paper |
2023 | Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models. (2023). Li, Muyi ; Wang, Xuqin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:184:y:2023:i:c:s0167947323000555. Full description at Econpapers || Download paper |
2023 | Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797. Full description at Econpapers || Download paper |
2023 | Relaxing conditional independence in an endogenous binary response model. (2023). Carlson, Alyssa. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:490-500. Full description at Econpapers || Download paper |
2023 | Irregular identification of structural models with nonparametric unobserved heterogeneity. (2023). Escanciano, Juan Carlos. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:106-127. Full description at Econpapers || Download paper |
2023 | PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:353-370. Full description at Econpapers || Download paper |
2023 | Estimation and inference for policy relevant treatment effects. (2023). Sasaki, Yuya ; Ura, Takuya. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:394-450. Full description at Econpapers || Download paper |
2023 | Identification-robust nonparametric inference in a linear IV model. (2023). Antoine, Bertille ; Lavergne, Pascal. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:1-24. Full description at Econpapers || Download paper |
2023 | Over-identified Doubly Robust identification and estimation. (2023). Lewbel, Arthur ; Zhou, Zhuzhu ; Choi, Jin Young. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:25-42. Full description at Econpapers || Download paper |
2023 | Debiased machine learning of set-identified linear models. (2023). Semenova, Vira. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1725-1746. Full description at Econpapers || Download paper |
2023 | Partial identification and inference in moment models with incomplete data. (2023). Tao, Jing ; Shi, Xuetao ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:418-443. Full description at Econpapers || Download paper |
2023 | Bootstrap specification tests for dynamic conditional distribution models. (2023). Silvapulle, Mervyn J ; Perera, Indeewara. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:949-971. Full description at Econpapers || Download paper |
2023 | Testing the martingale difference hypothesis in high dimension. (2023). Shao, Xiaofeng ; Jiang, Qing ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:972-1000. Full description at Econpapers || Download paper |
2023 | Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598. Full description at Econpapers || Download paper |
2023 | Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063. Full description at Econpapers || Download paper |
2023 | Uncovering risk transmission between socially responsible investments, alternative energy investments and the implied volatility of major commodities. (2023). Aun, Syed ; Islam, Muhammad Umar ; Ali, Mohsin ; Azmi, Wajahat ; Shahid, Muhammad Naeem. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001329. Full description at Econpapers || Download paper |
2023 | A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets. (2023). Deb, Soudeep ; Soni, Anchal ; Roy, Archi. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003286. Full description at Econpapers || Download paper |
2023 | Non-fungible token artworks: More crypto than art?. (2023). Petrella, Giovanni ; Anselmi, Giulio. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006493. Full description at Econpapers || Download paper |
2023 | Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331. Full description at Econpapers || Download paper |
2023 | Price efficiency of the foreign exchange rates of BRICS countries: A comparative analysis. (2023). Sheng, Hsia Hua ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:1:s2666143822000357. Full description at Econpapers || Download paper |
2023 | Competition in online land lease auctions in Ukraine: Reduced-form estimation. (2023). Myrna, Olena. In: Land Use Policy. RePEc:eee:lauspo:v:125:y:2023:i:c:s0264837722005087. Full description at Econpapers || Download paper |
2023 | Life-cycle consumption and life insurance: Empirical evidence from Italian Survey. (2023). Striani, Fabrizio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:619:y:2023:i:c:s0378437123002741. Full description at Econpapers || Download paper |
2023 | A lack-of-fit test for quantile regression process models. (2023). Wang, Caixing ; Liu, Qiaochu ; Feng, Xingdong. In: Statistics & Probability Letters. RePEc:eee:stapro:v:192:y:2023:i:c:s0167715222001936. Full description at Econpapers || Download paper |
2023 | Identification-Robust Nonparametric Inference in a Linear IV Model. (2023). Antoine, Bertille ; Lavergne, Pascal. In: Post-Print. RePEc:hal:journl:hal-04141433. Full description at Econpapers || Download paper |
2023 | Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971. Full description at Econpapers || Download paper |
2023 | Treatment Effect Risk: Bounds and Inference. (2023). Kallus, Nathan. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:8:p:4579-4590. Full description at Econpapers || Download paper |
2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper |
2023 | Assessing the contribution of South African Insurance Firms to Systemic Risk. (2023). Bonga-Bonga, Lumengo ; Manguzvane, Mathias Mandla ; Zulu, Thulani. In: MPRA Paper. RePEc:pra:mprapa:116815. Full description at Econpapers || Download paper |
2023 | Identifying Preferences when Households are Financially Constrained. (). Tryphonides, Andreas. In: Review of Economic Dynamics. RePEc:red:issued:21-242. Full description at Econpapers || Download paper |
2023 | Causal Machine Learning and its use for public policy. (2023). Lechner, Michael. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00113-y. Full description at Econpapers || Download paper |
2023 | Specification testing of partially linear single-index models: a groupwise dimension reduction-based adaptive-to-model approach. (2023). Zhu, Xuehu ; Yu, Luoyao ; Liu, Junmin. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:1:d:10.1007_s11749-022-00833-y. Full description at Econpapers || Download paper |
2023 | The adaptive market hypothesis and the return predictability in the cryptocurrency markets. (2023). Jacek, Karasiski. In: Economics and Business Review. RePEc:vrs:ecobur:v:9:y:2023:i:1:p:94-118:n:2. Full description at Econpapers || Download paper |
2023 | Regression discontinuity design with multivalued treatments. (2023). Caetano, Gregorio ; Escanciano, Juan Carlos. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:6:p:840-856. Full description at Econpapers || Download paper |
2023 | Efficient estimation of regression models with user-specified parametric model for heteroskedasticty. (2023). Renault, Eric ; Chaudhuri, Saraswata. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1473. Full description at Econpapers || Download paper |
2023 | Is rapid recovery always the best recovery? - Developing a machine learning approach for optimal assignment rules under capacity constraints for knee replacement patients. (2023). Vogel, J ; Geissler, A ; Steinbeck, V ; Salvi, I ; Cordier, J. In: Health, Econometrics and Data Group (HEDG) Working Papers. RePEc:yor:hectdg:23/08. Full description at Econpapers || Download paper |
2023 | Non-fungible tokens (NFTs): A review of pricing determinants, applications and opportunities. (2023). Kräussl, Roman ; Tugnetti, Alessandro ; Kraussl, Roman. In: CFS Working Paper Series. RePEc:zbw:cfswop:693. Full description at Econpapers || Download paper |
Journal | |
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Advances in Econometrics |
Year | Title | Type | Cited |
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2013 | Semiparametric Estimation of Risk-return Relationships In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 2 |
2017 | Semiparametric Estimation of Risk-return Relationships.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2013 | SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS.(2013) In: CAEPR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2017 | Semiparametric Estimation of Risk–Return Relationships.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2015 | Asymptotic distribution-free tests for semiparametric regressions In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
2018 | Asymptotic distribution-free tests for semiparametric regressions with dependent data In: LIDAM Reprints ISBA. [Citation analysis] | paper | 6 |
2020 | Two-Step Semiparametric Empirical Likelihood Inference In: LIDAM Reprints ISBA. [Citation analysis] | paper | 8 |
2020 | Locally Robust Semiparametric Estimation In: Papers. [Full Text][Citation analysis] | paper | 90 |
2018 | Locally robust semiparametric estimation.(2018) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
2016 | Locally robust semiparametric estimation.(2016) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
2020 | Optimal Linear Instrumental Variables Approximations In: Papers. [Full Text][Citation analysis] | paper | 4 |
2021 | Optimal Linear Instrumental Variables Approximations.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2019 | Quantile-Regression Inference With Adaptive Control of Size In: Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Quantile-Regression Inference With Adaptive Control of Size.(2019) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2020 | Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Uniform Rates for Kernel Estimators of Weakly Dependent Data In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Regression Discontinuity Design with Multivalued Treatments In: Papers. [Full Text][Citation analysis] | paper | 1 |
2006 | Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 38 |
2005 | Goodness-of-fit Tests for Linear and Non-linear Time Series Models.(2005) In: Faculty Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
2010 | Backtesting Parametric Value-at-Risk With Estimation Risk In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 51 |
2008 | Backtesting Parametric Value-at-Risk with Estimation Risk.(2008) In: CAEPR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
2012 | Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 38 |
2014 | Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | article | |
2020 | Nonparametric Euler Equation Identification and Estimation In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 18 |
2015 | Nonparametric Euler Equation Identification andEstimation.(2015) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2020 | Nonparametric Euler Equation Identi?cation and Estimation.(2020) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2021 | NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION.(2021) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
2015 | Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2010 | Testing conditional monotonicity in the absence of smoothness In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
2011 | Conditional stochastic dominance testing In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 10 |
2013 | Conditional Stochastic Dominance Testing.(2013) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
2003 | Generalized spectral tests for the martingale difference hypothesis In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 91 |
2006 | Generalized spectral tests for the martingale difference hypothesis.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 91 | article | |
2006 | A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 47 |
2005 | A Consistent Diagnostic Test for Regression Models Using Projections.(2005) In: Faculty Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2009 | ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS In: Econometric Theory. [Full Text][Citation analysis] | article | 15 |
2009 | QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 19 |
2010 | ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 7 |
2009 | ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS.(2009) In: CAEPR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2021 | IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
2011 | A Simple Test for Identification in GMM under Conditional Moment Restrictions In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2009 | Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
2006 | Testing the martingale difference hypothesis using integrated regression functions In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
2006 | Testing the Martingale Difference Hypothesis Using Integrated Regression Functions.(2006) In: Faculty Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2010 | Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
2010 | Data-driven smooth tests for the martingale difference hypothesis In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
2007 | Data-Driven Smooth Tests for the Martingale Difference Hypothesis.(2007) In: Faculty Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2007 | Nonparametric tests for conditional symmetry in dynamic models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 28 |
2008 | Joint and marginal specification tests for conditional mean and variance models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 17 |
2009 | An automatic Portmanteau test for serial correlation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 122 |
2010 | Testing single-index restrictions with a focus on average derivatives In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
2010 | Specification tests of parametric dynamic conditional quantiles In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
2010 | Specification tests of parametric dynamic conditional quantiles.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2008 | Specification Tests of Parametric Dynamic Conditional Quantiles.(2008) In: CAEPR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2012 | Distribution-free tests of stochastic monotonicity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 32 |
2014 | Specification analysis of linear quantile models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
2012 | Pitfalls in backtesting Historical Simulation VaR models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 20 |
2012 | Pitfalls in Backtesting Historical Simulation VaR Models.(2012) In: CAEPR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2007 | Weak convergence of non-stationary multivariate marked processes with applications to martingale testing In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 9 |
2013 | On the identification of structural linear functionals In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Set inferences and sensitivity analysis in semiparametric conditionally identified models In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 12 |
2017 | Backtesting Expected Shortfall: Accounting for Tail Risk In: Management Science. [Full Text][Citation analysis] | article | 53 |
2007 | Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 3 |
2009 | PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 1 |
2010 | The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Backtesting Expected Shortfall: Accounting for Tail Risk In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 12 |
2015 | Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Testing for Fundamental Vector Moving Average Representations In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 14 |
2017 | Testing for fundamental vector moving average representations.(2017) In: Quantitative Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2015 | Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 8 |
2018 | A simple and robust estimator for linear regression models with strictly exogenous instruments.(2018) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2017 | Automatic Portmanteau Tests with Applications to Market Risk Management In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Automatic portmanteau tests with applications to market risk management.(2017) In: Stata Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2017 | Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2011 | Robust Backtesting Tests for Value-at-risk Models In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 29 |
2009 | Testing the Martingale Hypothesis In: Palgrave Macmillan Books. [Citation analysis] | chapter | 19 |
2007 | Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 1 |
2015 | A Nonparametric Distribution-Free Test for Serial Independence of Errors In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
2015 | A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
2013 | Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 6 |
2010 | Specification Analysis of Structural Quantile Regression Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2006 | Joint Diagnostic Tests for Conditional Mean and Variance Specifications In: Faculty Working Papers. [Full Text][Citation analysis] | paper | 1 |
2005 | On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions In: Faculty Working Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Model Checks Using Residual Marked Empirical Processes In: Faculty Working Papers. [Full Text][Citation analysis] | paper | 8 |
2016 | Identification and estimation of semiparametric two?step models In: Quantitative Economics. [Full Text][Citation analysis] | article | 19 |
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