Juan Carlos Escanciano : Citation Profile

Are you Juan Carlos Escanciano?

Universidad Carlos III de Madrid

17

H index

25

i10 index

1001

Citations

RESEARCH PRODUCTION:

36

Articles

50

Papers

1

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   18 years (2003 - 2021). See details.
   Cites by year: 55
   Journals where Juan Carlos Escanciano has often published
   Relations with other researchers
   Recent citing documents: 140.    Total self citations: 38 (3.66 %)

EXPERT IN:

   Instrumental Variables (IV) Estimation
   Model Construction and Estimation
   Price Level; Inflation; Deflation

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pes22
   Updated: 2024-12-03    RAS profile: 2022-02-09    
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Relations with other researchers

Works with:

Lewbel, Arthur (3)

Srisuma, Sorawoot (3)

hoderlein, stefan (3)

LINTON, OLIVER (3)

Goh, Chuan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Juan Carlos Escanciano.

Is cited by:

Sant'Anna, Pedro (28)

Darné, Olivier (26)

Kim, Jae (26)

Zhu, Ke (24)

Chernozhukov, Victor (24)

Zakoian, Jean-Michel (15)

Francq, Christian (15)

Lyócsa, Štefan (14)

CHARLES, Amelie (13)

Newey, Whitney (13)

Hurlin, Christophe (12)

Cites to:

Chen, Xiaohong (56)

Bierens, Herman (35)

LINTON, OLIVER (29)

Newey, Whitney (27)

Van Keilegom, Ingrid (24)

Li, Qi (22)

Hong, Yongmiao (22)

Velasco, Carlos (19)

Chernozhukov, Victor (18)

Powell, James (18)

Andrews, Donald (15)

Main data

Where Juan Carlos Escanciano has published?

Journals with more than one article published# docs
Journal of Econometrics10
Econometric Theory6
Journal of Business & Economic Statistics4
Computational Statistics & Data Analysis3
Econometric Reviews2

Working Papers Series with more than one paper published# docs
CAEPR Working Papers / Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington16
Papers / arXiv.org6
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies5
LIDAM Reprints ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
Boston College Working Papers in Economics / Boston College Department of Economics2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
LIDAM Discussion Papers ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2

Recent works citing Juan Carlos Escanciano (2024 and 2023)

YearTitle of citing document
2024Double/Debiased Machine Learning for Treatment and Causal Parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1608.00060.

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2023Orthogonal Statistical Learning. (2019). Syrgkanis, Vasilis ; Foster, Dylan J. In: Papers. RePEc:arx:papers:1901.09036.

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2024Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2023Specification tests for generalized propensity scores using double projections. (2020). Song, Xiaojun. In: Papers. RePEc:arx:papers:2003.13803.

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2023Double Debiased Machine Learning Nonparametric Inference with Continuous Treatments. (2020). Lee, Ying-Ying ; Colangelo, Kyle. In: Papers. RePEc:arx:papers:2004.03036.

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2023Better Lee Bounds. (2020). Semenova, Vira. In: Papers. RePEc:arx:papers:2008.12720.

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2024Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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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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2024Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

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

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2024Automatic Debiased Machine Learning via Neural Nets for Generalized Linear Regression. (2021). Chernozhukov, Victor ; Syrgkanis, Vasilis ; Quintas-Martinez, Victor ; Newey, Whitney K. In: Papers. RePEc:arx:papers:2104.14737.

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2024Causal Inference with Corrupted Data: Measurement Error, Missing Values, Discretization, and Differential Privacy. (2021). Singh, Rahul ; Agarwal, Anish. In: Papers. RePEc:arx:papers:2107.02780.

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2023Semiparametric Estimation of Long-Term Treatment Effects. (2021). Ritzwoller, David M ; Chen, Jiafeng. In: Papers. RePEc:arx:papers:2107.14405.

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2024Multiway empirical likelihood. (2021). Otsu, Taisuke ; Matsushita, Yukitoshi ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2108.04852.

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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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2024Robustness, Heterogeneous Treatment Effects and Covariate Shifts. (2021). Spini, Pietro Emilio. In: Papers. RePEc:arx:papers:2112.09259.

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2024Omitted 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.

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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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2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2023Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664.

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2023Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685.

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2023Debiased Semiparametric U-Statistics: Machine Learning Inference on Inequality of Opportunity. (2022). Terschuur, Joel Robert ; Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:2206.05235.

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2024Isotonic propensity score matching. (2022). Otsu, Taisuke ; Xu, Mengshan. In: Papers. RePEc:arx:papers:2207.08868.

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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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2024Safe Policy Learning under Regression Discontinuity Designs. (2022). Imai, Kosuke ; Ben-Michael, Eli ; Zhang, YI. In: Papers. RePEc:arx:papers:2208.13323.

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2024A Consistent ICM-based $\chi^2$ Specification Test. (2022). Tsyawo, Emmanuel Selorm ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:2208.13370.

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2024E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991.

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2023A Bootstrap Specification Test for Semiparametric Models with Generated Regressors. (2022). Lapenta, Elia. In: Papers. RePEc:arx:papers:2212.11112.

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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2023Stable 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.

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2023Automatic Locally Robust Estimation with Generated Regressors. (2023). , Telmo ; Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:2301.10643.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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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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2024Post-Episodic Reinforcement Learning Inference. (2023). Zhan, Ruohan ; Syrgkanis, Vasilis. In: Papers. RePEc:arx:papers:2302.08854.

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2023Endogenous Linear Regressions with Included Instrumental Variables. (2023). Wang, Rui ; Gao, Wayne Yuan. In: Papers. RePEc:arx:papers:2304.00626.

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2023Robust inference for the treatment effect variance in experiments using machine learning. (2023). Sanchez-Becerra, Alejandro. In: Papers. RePEc:arx:papers:2306.03363.

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2023Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169.

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2023A maximal inequality for local empirical processes under weak dependence. (2023). Pinto, Cristine ; Alvarez, Luis. In: Papers. RePEc:arx:papers:2307.01328.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Identification and Estimation in a Class of Potential Outcomes Models. (2023). Santos, Andres ; Pinto, Rodrigo ; Navjeevan, Manu. In: Papers. RePEc:arx:papers:2310.05311.

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2024Extending the Scope of Inference About Predictive Ability to Machine Learning Methods. (2024). Parra, Ricardo ; Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:2402.12838.

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2024Structure-agnostic Optimality of Doubly Robust Learning for Treatment Effect Estimation. (2024). Syrgkanis, Vasilis ; Jin, Jikai. In: Papers. RePEc:arx:papers:2402.14264.

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2024Goodness-of-Fit for Conditional Distributions: An Approach Using Principal Component Analysis and Component Selection. (2024). Yuhao, LI ; Rui, Cui. In: Papers. RePEc:arx:papers:2403.10352.

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2024Debiased Machine Learning when Nuisance Parameters Appear in Indicator Functions. (2024). Park, Gyungbae. In: Papers. RePEc:arx:papers:2403.15934.

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2024Statistical Inference of Optimal Allocations I: Regularities and their Implications. (2024). Hong, Han ; Feng, Kai. In: Papers. RePEc:arx:papers:2403.18248.

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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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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2024Uniform Inference for Subsampled Moment Regression. (2024). Syrgkanis, Vasilis ; Ritzwoller, David M. In: Papers. RePEc:arx:papers:2405.07860.

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2023Where 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.

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2023Anticipating 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.

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2023Estimating 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.

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2023Bootstrapping 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.

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2024Empirical likelihood in a partially linear single-index model with censored response data. (2024). Xue, Liugen. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:193:y:2024:i:c:s0167947323002232.

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2024Goodness–of–fit tests based on the min–characteristic function. (2024). Meintanis, S G ; Jimenezgamero, M D ; Miloevi, B. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:197:y:2024:i:c:s0167947324000720.

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2023Price 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.

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2023Irregular 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.

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2023PELVE: 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.

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2023Estimation 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.

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2023Identification-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.

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2023Over-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.

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2023Debiased 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.

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2023Partial 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.

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2023Bootstrap 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.

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2023Testing 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.

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2023Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598.

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2023Out-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.

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2023A new generalized exponentially weighted moving average quantile model and its statistical inference. (2023). Zhu, KE. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002269.

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2023Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

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2023Semiparametric estimation of long-term treatment effects. (2023). Ritzwoller, David M ; Chen, Jiafeng. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623002610.

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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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2024Identification of multi-valued treatment effects with unobserved heterogeneity. (2024). Fusejima, Koki. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002798.

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2024Matching points: Supplementing instruments with covariates in triangular models. (2024). Feng, Junlong. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002956.

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2024Role models and revealed gender-specific costs of STEM in an extended Roy model of major choice. (2024). Mourifie, Ismael ; Meango, Romuald ; Henry, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002877.

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2024Estimation of complier expected shortfall treatment effects with a binary instrumental variable. (2024). He, Xuming ; Tan, Kean Ming ; Wei, BO. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002889.

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2024Testing specification of distribution in stochastic frontier analysis. (2024). Zhang, Xibin ; Xia, Lucy ; Wang, Shouxia ; Cheng, Ming-Yen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000677.

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2024A post-screening diagnostic study for ultrahigh dimensional data. (2024). Zhu, Liping ; Zhou, Yeqing ; Zhang, Yaowu. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001877.

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2024Local regression distribution estimators. (2024). Ma, Xinwei ; Jansson, Michael ; Cattaneo, Matias D. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407621000427.

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2024Assumption-lean falsification tests of rate double-robustness of double-machine-learning estimators. (2024). Robins, James M ; Mukherjee, Rajarshi ; Liu, Lin. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407623002166.

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2023Uncovering 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.

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2023A 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.

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2024Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. (2024). Yang, MO ; Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Chang, Jianing. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002081.

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2023Non-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.

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2023The US banking crisis in 2023: Intraday attention and price variation of banks at risk. (2023). Halouskova, Martina ; Lyocsa, Tefan ; Haugom, Erik. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005810.

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2024Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Hakim, Arief ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703.

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2023Fan tokens: Sports and speculation on the blockchain. (2023). Zimmermann, Lukas ; Scharnowski, Stefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001488.

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2023Forecasting 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.

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2023The case for CASE: Estimating heterogeneous systemic effects. (2023). Zhu, Guangwei ; Escanciano, Juan Carlos ; Du, Zaichao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:157:y:2023:i:c:s0378426623002133.

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2024Central bank policies and financial markets: Lessons from the euro crisis. (2024). Nedeljkovic, Milan ; Mody, Ashoka. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002248.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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More than 100 citations found, this list is not complete...

Juan Carlos Escanciano is editor of

Journal
Advances in Econometrics

Works by Juan Carlos Escanciano:

YearTitleTypeCited
2013Semiparametric Estimation of Risk-return Relationships In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper2
2017Semiparametric Estimation of Risk-return Relationships.(2017) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2013SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS.(2013) In: CAEPR Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2017Semiparametric 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
2015Asymptotic distribution-free tests for semiparametric regressions In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper0
2018Asymptotic distribution-free tests for semiparametric regressions with dependent data In: LIDAM Reprints ISBA.
[Citation analysis]		paper7
2020Two-Step Semiparametric Empirical Likelihood Inference In: LIDAM Reprints ISBA.
[Citation analysis]		paper10
2020Locally Robust Semiparametric Estimation In: Papers.
[Full Text][Citation analysis]		paper108
2018Locally robust semiparametric estimation.(2018) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 108		paper
2016Locally robust semiparametric estimation.(2016) In: CeMMAP working papers.
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