Details about Marine Carrasco

Access statistics for papers by Marine Carrasco.

Last updated 2008-12-15. Update your information in the RePEc Author Service.

Short-id: pca65

Working Papers

2008

1. Nonlinearity and Temporal Dependence
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations

2004

2. Chi-square Tests for Parameter Stability
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations
3. Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
   RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations
4. On the Asymptotic Efficiency of GMM
   Econometric Society 2004 North American Winter Meetings, Econometric Society View citations
   Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2003)
5. Optimal test for Markov switching
   2004 Meeting Papers, Society for Economic Dynamics View citations
   Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations

2003

6. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
   CIRANO Working Papers, CIRANO View citations
   Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2002) View citations

2002

7. Efficient GMM Estimation Using the Empirical Characteristic Function
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations
   Also in Working Papers, Centre de Recherche en Economie et Statistique (2000) View citations
8. Spectral Method for Deconvolving a Density
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations

2000

9. Chi-square Tests when a Nuisance Parameter is Present only under the Alternative
   Working Papers, Centre de Recherche en Economie et Statistique
10. Estimation of a Mixture via the Empirical Characteristic Function
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

Undated

11. Kernel Estimation of the Density of a Change-Point in the Mean
    Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2007

1. Efficient estimation of general dynamic models with a continuum of moment conditions
   Journal of Econometrics, 2007, 140, (2), 529-573 View citations

2004

2. 03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression Solution
   Econometric Theory, 2004, 20, (01), 228-229
3. Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship
   Journal of Business & Economic Statistics, 2004, 22, 382-395 View citations

2002

4. MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
   Econometric Theory, 2002, 18, (01), 17-39 View citations
5. Misspecified Structural Change, Threshold, and Markov-switching models
   Journal of Econometrics, 2002, 109, (2), 239-273 View citations
6. Simulation-Based Method of Moments and Efficiency
   Journal of Business & Economic Statistics, 2002, 20, (4), 482-92 View citations

2000

7. GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
   Econometric Theory, 2000, 16, (06), 797-834 View citations

Chapters

2007

1. Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization
   Chapter 77 in Handbook of Econometrics, 2007, vol. 6B View citations