Marine Carrasco : Citation Profile

Are you Marine Carrasco?

Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (1% share)
Université de Montréal (98% share)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (1% share)

16

H index

19

i10 index

1281

Citations

RESEARCH PRODUCTION:

26

Articles

42

Papers

2

Chapters

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 51
   Journals where Marine Carrasco has often published
   Relations with other researchers
   Recent citing documents: 87.    Total self citations: 28 (2.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca65
   Updated: 2024-12-03    RAS profile: 2024-11-06    
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Relations with other researchers

Works with:

Sentana, Enrique (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 (30)

Chen, Xiaohong (26)

Babii, Andrii (23)

Simoni, Anna (17)

Kotchoni, Rachidi (16)

Arellano, Manuel (15)

Kristensen, Dennis (14)

Tchuente, Guy (12)

Chernozhukov, Victor (12)

Hernandez, Manuel (12)

Simar, Leopold (12)

Cites to:

Newey, Whitney (25)

Andrews, Donald (18)

Hansen, Lars (15)

Hausman, Jerry (14)

Florens, Jean-Pierre (11)

Chao, John (11)

Swanson, Norman (11)

Ng, Serena (10)

Bai, Jushan (10)

Obstfeld, Maurice (10)

Renault, Eric (9)

Main data

Where Marine Carrasco has published?

Journals with more than one article published# docs
Journal of Econometrics7
Econometric Theory7
Annals of Economics and Statistics3
Journal of Financial Econometrics2
Journal of Business & Economic Statistics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Post-Print / HAL6
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 (2024 and 2023)

YearTitle of citing document
2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2023The Variational Method of Moments. (2020). Kallus, Nathan ; Bennett, Andrew. In: Papers. RePEc:arx:papers:2012.09422.

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2023Kernel Methods for Unobserved Confounding: Negative Controls, Proxies, and Instruments. (2020). Singh, Rahul. In: Papers. RePEc:arx:papers:2012.10315.

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2024Debiased Kernel Methods. (2021). Singh, Rahul. In: Papers. RePEc:arx:papers:2102.11076.

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2023Kernel 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.

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2024A Finite Sample Theorem for Longitudinal Causal Inference with Machine Learning: Long Term, Dynamic, and Mediated Effects. (2021). Singh, Rahul. In: Papers. RePEc:arx:papers:2112.14249.

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2024Binary response model with many weak instruments. (2022). Seong, Dakyung. In: Papers. RePEc:arx:papers:2201.04811.

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2024Continuous permanent unobserved heterogeneity in dynamic discrete choice models. (2022). Bunting, Jackson. In: Papers. RePEc:arx:papers:2202.03960.

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2024Long-term Causal Inference Under Persistent Confounding via Data Combination. (2022). Imbens, Guido ; Wang, Yuhao ; Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2202.07234.

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2024Testing Overidentifying Restrictions with High-Dimensional Data and Heteroskedasticity. (2022). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171.

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2023A Conditional Linear Combination Test with Many Weak Instruments. (2022). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Papers. RePEc:arx:papers:2207.11137.

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2023Testing for error invariance in separable instrumental variable models. (2022). van Keilegom, Ingrid ; VanKeilegom, Ingrid ; Lapenta, Elia ; FLORENS, Jean-Pierre ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2208.05344.

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2023Debiased Inference on Identified Linear Functionals of Underidentified Nuisances via Penalized Minimax Estimation. (2022). Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2208.08291.

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2023Partly Linear Instrumental Variables Regressions without Smoothing on the Instruments. (2022). Lapenta, Elia ; Florens, Jean-Pierre. In: Papers. RePEc:arx:papers:2212.11012.

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2024The Chained Difference-in-Differences. (2023). Dortet-Bernardet, Vincent ; Benatia, David ; Bell, Christophe. In: Papers. RePEc:arx:papers:2301.01085.

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2023Minimax 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.

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2024Transfer Estimates for Causal Effects across Heterogeneous Sites. (2023). Menzel, Konrad. In: Papers. RePEc:arx:papers:2305.01435.

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2024Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2023Functional Differencing in Networks. (2023). Dano, Kevin ; Bonhomme, St'Ephane. In: Papers. RePEc:arx:papers:2307.11484.

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2024One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867.

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2024Weak Identification with Many Instruments. (2023). Sun, Liyang ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.09535.

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2023Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993.

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2024Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2024Optimal Categorical Instrumental Variables. (2023). Wiemann, Thomas. In: Papers. RePEc:arx:papers:2311.17021.

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2024Regularized DeepIV with Model Selection. (2024). Uehara, Masatoshi ; Wang, Mengdi ; Syrgkanis, Vasilis ; Lan, Hui ; Li, Zihao. In: Papers. RePEc:arx:papers:2403.04236.

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2024Estimation for conditional moment models based on martingale difference divergence. (2024). Jiang, Feiyu ; Song, Kunyang ; Zhu, KE. In: Papers. RePEc:arx:papers:2404.11092.

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2024.

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2023Generalized Autoregressive Gamma Processes. (2023). Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:23-40.

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2023Constructing Efficient Simulated Moments Using Temporal Convolutional Networks. (2023). Creel, Michael ; Chassot, Jonathan. In: Working Papers. RePEc:bge:wpaper:1412.

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2023.

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2024Regularized estimation of high?dimensional vector autoregressions with weakly dependent innovations. (2022). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:532-557.

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2023Instrumental variable regression via kernel maximum moment loss. (2023). Krikamol, Muandet ; Bernhard, Scholkopf ; Masaaki, Imaizumi ; Rui, Zhang. In: Journal of Causal Inference. RePEc:bpj:causin:v:11:y:2023:i:1:p:42:n:1.

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2024Nonparametric Instrumental Regression with Two-Way Fixed Effects. (2024). Enrico, De Monte. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:13:y:2024:i:1:p:49-66:n:5.

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2023Instrumental Variable Estimation with Many Instruments Using Elastic-Net IV. (2023). Skolkova, Alena. In: CERGE-EI Working Papers. RePEc:cer:papers:wp759.

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2023Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160.

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2024Nonlinear dynamics of Kimchi premium. (2024). Yang, Yangzhuoran Fin ; Koo, Bonsoo ; Seo, Myung Hwan. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000828.

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2023Efficient estimation of a triangular system of equations for quantile regression. (2023). Lee, Sungwon. In: Economics Letters. RePEc:eee:ecolet:v:226:y:2023:i:c:s0165176523001106.

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2023Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares. (2023). Botosaru, Irene ; Pendakur, Krishna ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:576-597.

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2023Synthetic Learner: Model-free inference on treatments over time. (2023). Bradic, Jelena ; Viviano, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:691-713.

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2023Time-varying unobserved heterogeneity in earnings shocks. (2023). Botosaru, Irene. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1378-1393.

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2023Estimation and inference in factor copula models with exogenous covariates. (2023). Wied, Dominik ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1500-1521.

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2023A functional estimation approach to the first-price auction models. (2023). Sbai, Erwann ; Florens, Jean-Pierre ; Enache, Andreea. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1564-1588.

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2023A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778.

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2023Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604.

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2023Evaluating forecast performance with state dependence. (2023). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002657.

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2023Machine learning panel data regressions with heavy-tailed dependent data: Theory and application. (2023). Babii, Andrii ; Ghysels, Eric ; Ball, Ryan T ; Striaukas, Jonas. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001282.

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2023Dynamic factor copula models with estimated cluster assignments. (2023). Patton, Andrew J ; Oh, Dong Hwan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002135.

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2024Detecting identification failure in moment condition models. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002683.

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2024A conditional linear combination test with many weak instruments. (2024). Zhang, Yichong ; Wang, Wenjie ; Lim, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003184.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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2024Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. (2024). Tang, Cheng Yong ; Liu, Cheng ; Hu, Qiao ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001543.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Li, Haiqi ; Hong, Yongmiao ; Chen, Qitong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Re-examining crude oil and natural gas price relationship: Evidence from time-varying regime-switching models. (2024). Hasanli, Mubariz. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002184.

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2023Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. (2023). Fan, Caiyun ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300368x.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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2023More Is Better, Or Not? An Empirical Analysis of Buyer Preferences for Variety on the E-Market. (2023). Sokullu, Senay. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:209:y:2023:i:c:p:450-470.

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2023Moment set selection for the SMM using simple machine learning. (2023). Kukacka, Jiri ; Zila, Eric. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:212:y:2023:i:c:p:366-391.

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2023Political stability and credibility of currency board. (2023). Ho, Wai-Yip Alex ; Fu, Liang ; Feng, Shu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001122.

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2023Financial and Macroeconomic Data Through the Lens of a Nonlinear Dynamic Factor Model. (2023). Zhong, Molin ; Khazanov, Alexey ; Guerron-Quintana, Pablo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-27.

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2024(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates. (2004). Patton, Andrew ; Chen, Xiaohong ; Fan, Yanqin. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp483.

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2023When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage. (2022). Simoni, Anna ; Ferrara, Laurent. In: Post-Print. RePEc:hal:journl:hal-03919944.

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2023Local Projection Based Inference under General Conditions. (2023). Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2023001.

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2024A Functional-Coefficient VAR Model for Dynamic Quantiles and Its Application to Constructing Nonparametric Financial Network. (2024). Su, Liangjun ; Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202406.

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2023Nonparametric identification of random coefficients in aggregate demand models for differentiated products. (2023). Kaido, Hiroaki ; Hoderlein, Stefan ; Dunker, Fabian. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:2:p:279-306..

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2023Forecasting Loan Default in Europe with Machine Learning*. (2023). Tosetti, Elisa ; Manzan, Sebastiano ; Barbaglia, Luca. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:2:p:569-596..

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2023A copula spectral test for pairwise time reversibility. (2023). Zhang, Shibin. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:5:d:10.1007_s10463-022-00859-x.

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2023Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008. (2023). Kim, Hyun Hak ; Swanson, Norman R. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:3:d:10.1007_s00181-022-02289-3.

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2023Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5.

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2023One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: TSE Working Papers. RePEc:tse:wpaper:128467.

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2024Macroeconomic forecast accuracy in a data‐rich environment. (2019). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:34:y:2019:i:7:p:1050-1072.

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2023.

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Works by Marine Carrasco:

YearTitleTypeCited
2002Policy Evaluation in Macroeconometric Doubly Stochastic Models In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article1
2010Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article41
2009Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model.(2009) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 41		paper
2010Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model.(2010) In: Post-Print.
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This paper has nother version. Agregated cites: 41		paper
2004Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model.(2004) In: RCER Working Papers.
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This paper has nother version. Agregated cites: 41		paper
2017Efficient Estimation Using Regularized Jackknife IV Estimator In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article2
2024Functional Partial Least-Squares: Optimal Rates and Adaptation In: Papers.
[Full Text][Citation analysis]		paper0
2002Simulation-Based Method of Moments and Efficiency. In: Journal of Business & Economic Statistics.
[Citation analysis]		article30
2004Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article87
2004Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship.(2004) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 87		paper
2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper9
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 nother version. Agregated cites: 9		paper
2009Nonlinearity and Temporal Dependence In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper55
2008Nonlinearity and Temporal Dependence.(2008) In: Cowles Foundation Discussion Papers.
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2009Nonlinearity and Temporal Dependence.(2009) In: Cowles Foundation Discussion Papers.
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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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2011Adaptive Realized Kernels In: CIRANO Working Papers.
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2014Adaptive Realized Kernels.(2014) In: Post-Print.
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2013Adaptive Realized Kernels.(2013) In: Working Papers.
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2015Adaptive Realized Kernels.(2015) In: Journal of Financial Econometrics.
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2013Regularized LIML for many instruments In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper21
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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2016Efficient Estimation with Many Weak Instruments Using Regularization Techniques.(2016) In: Econometric Reviews.
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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.
[Full Text][Citation analysis]		paper13
2017EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION.(2017) In: Econometric Theory.
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2017Efficient Estimation Using the Characteristic Function.(2017) In: Post-Print.
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2013Efficient Estimation Using the Characteristic Function.(2013) In: Working Papers.
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2023Score-type tests for normal mixtures In: CIRANO Working Papers.
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2022Score-type tests for normal mixtures.(2022) In: Working Papers.
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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility In: CIRANO Working Papers.
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2024Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility.(2024) In: Journal of Financial Econometrics.
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2017Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers.
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2020Testing distributional assumptions using a continuum of moments.(2020) In: Journal of Econometrics.
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2016In-sample Inference and Forecasting in Misspecified Factor Models In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper37
2016In-Sample Inference and Forecasting in Misspecified Factor Models.(2016) In: Journal of Business & Economic Statistics.
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2016In-sample inference and forecasting in misspecified factor models.(2016) In: Economics 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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