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Details about Marine Carrasco

E-mail:
Homepage:https://www.webdepot.umontreal.ca/Usagers/carrascm/MonDepotPublic/carrascm/index.htm
Phone:(514) 343-2394
Postal address:University of Montreal Departement de sciences economiques CP 6128, succ Centre Ville Montreal, QC H3C3J7 Canada
Workplace:Universite de Montreal
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (Center for Interuniversity Research in Quantitative Economics), (more information at EDIRC)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (Center for Interuniversity Research and Analysis on Organizations), (more information at EDIRC)

Access statistics for papers by Marine Carrasco.

Last updated 2015-10-20. Update your information in the RePEc Author Service.

Short-id: pca65


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Working Papers

2015

  1. Efficient estimation with many weak instruments using regularization techniques
    Studies in Economics, School of Economics, University of Kent Downloads View citations (1)
    Also in CIRANO Working Papers, CIRANO (2013) Downloads View citations (1)
  2. Regularized LIML for many instruments
    Studies in Economics, School of Economics, University of Kent Downloads View citations (2)
    Also in CIRANO Working Papers, CIRANO (2013) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2015)

2013

  1. Adaptive Realized Kernels
    Working Papers, HAL Downloads
    Also in CIRANO Working Papers, CIRANO (2011) Downloads
  2. Efficient Estimation Using the Characteristic Function
    Working Papers, HAL Downloads View citations (5)
    Also in CIRANO Working Papers, CIRANO (2013) Downloads

2010

  1. Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
    Post-Print, HAL Downloads View citations (8)
    Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2004) Downloads View citations (17)
    CIRANO Working Papers, CIRANO (2009) Downloads View citations (1)

2009

  1. Nonlinearity and Temporal Dependence
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in Working Papers, Yale University, Department of Economics (2008) Downloads View citations (3)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) Downloads View citations (13)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)
  2. Spectral Method for Deconvolving a Density
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse Downloads View citations (3)
    See also Journal Article in Econometric Theory (2011)

2004

  1. Chi-square Tests for Parameter Stability
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) Downloads View citations (1)
  2. On the Asymptotic Efficiency of GMM
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads View citations (3)
    Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2003) Downloads

    See also Journal Article in Econometric Theory (2014)
  3. Optimal test for Markov switching
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (16)
    Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (21)

2003

  1. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
    CIRANO Working Papers, CIRANO Downloads View citations (7)
    Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2002) Downloads View citations (7)

2002

  1. Efficient GMM Estimation Using the Empirical Characteristic Function
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse Downloads View citations (10)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2000) Downloads View citations (4)

2000

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

1999

  1. b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)

Undated

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

Journal Articles

2015

  1. Regularized LIML for many instruments
    Journal of Econometrics, 2015, 186, (2), 427-442 Downloads View citations (3)
    See also Working Paper (2015)

2014

  1. ON THE ASYMPTOTIC EFFICIENCY OF GMM
    Econometric Theory, 2014, 30, (02), 372-406 Downloads View citations (2)
    See also Working Paper (2004)
  2. Optimal Test for Markov Switching Parameters
    Econometrica, 2014, 82, (2), 765-784 Downloads View citations (10)

2012

  1. A regularization approach to the many instruments problem
    Journal of Econometrics, 2012, 170, (2), 383-398 Downloads View citations (22)

2011

  1. A SPECTRAL METHOD FOR DECONVOLVING A DENSITY
    Econometric Theory, 2011, 27, (03), 546-581 Downloads View citations (6)
    See also Working Paper (2009)

2010

  1. Nonlinearity and temporal dependence
    Journal of Econometrics, 2010, 155, (2), 155-169 Downloads View citations (20)
    See also Working Paper (2009)

2007

  1. Efficient estimation of general dynamic models with a continuum of moment conditions
    Journal of Econometrics, 2007, 140, (2), 529-573 Downloads View citations (32)

2004

  1. 03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression Solution
    Econometric Theory, 2004, 20, (01), 228-229 Downloads
  2. 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 Downloads View citations (51)

2002

  1. MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2002, 18, (01), 17-39 Downloads View citations (193)
  2. Misspecified Structural Change, Threshold, and Markov-switching models
    Journal of Econometrics, 2002, 109, (2), 239-273 Downloads View citations (38)
  3. Simulation-Based Method of Moments and Efficiency
    Journal of Business & Economic Statistics, 2002, 20, (4), 482-92 View citations (20)

2000

  1. GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
    Econometric Theory, 2000, 16, (06), 797-834 Downloads View citations (72)

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 Downloads View citations (57)
 
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