Details about Juan Carlos Escanciano

Access statistics for papers by Juan Carlos Escanciano.

Last updated 2009-11-25. Update your information in the RePEc Author Service.

Short-id: pes22

Working Papers

2009

1. PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH
   Caepr Working Papers, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington

2008

2. Specification Tests of Parametric Dynamic Conditional Quantiles
   Caepr Working Papers, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington

2007

3. Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations
4. Backtesting Parametric Value-at-Risk with Estimation Risk
   Caepr Working Papers, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington
5. Estimation risk effects on backtesting for parametric value-at-risk models
   City University Economics Discussion Papers, Department of Economics, City University, London View citations
6. Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications
   Caepr Working Papers, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington

2006

7. Joint Diagnostic Tests for Conditional Mean and Variance Specifications
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra

2005

8. A Consistent Diagnostic Test for Regression Models Using Projections
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations
   See also Journal Article in Econometric Theory (2006)
9. Goodness-of-fit Tests for Linear and Non-linear Time Series Models
   Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations
   See also Journal Article in Journal of the American Statistical Association (2006)
10. On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations

2004

11. Model Checks Using Residual Marked Empirical Processes
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations

2003

12. GENERALIZED SPECTRAL TESTS FOR THE MARTINGALE DIFFERENCE HYPOTHESIS
    Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría View citations
    See also Journal Article in Journal of Econometrics (2006)

Undated

13. Data-Driven Smooth Tests for the Martingale Difference Hypothesis
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra
14. Testing the Martingale Difference Hypothesis Using Integrated Regression Functions
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations
    See also Journal Article in Computational Statistics & Data Analysis (2006)

Journal Articles

2009

1. An automatic Portmanteau test for serial correlation
   Journal of Econometrics, 2009, 151, (2), 140-149
2. ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
   Econometric Theory, 2009, 25, (01), 162-194 View citations
3. QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
   Econometric Theory, 2009, 25, (02), 561-570

2008

4. Joint and marginal specification tests for conditional mean and variance models
   Journal of Econometrics, 2008, 143, (1), 74-87 View citations
5. Semiparametric estimation of dynamic conditional expected shortfall models
   International Journal of Monetary Economics and Finance, 2008, 1, (2), 106-120 View citations

2007

6. Nonparametric tests for conditional symmetry in dynamic models
   Journal of Econometrics, 2007, 141, (2), 652-682 View citations
7. Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
   Journal of Multivariate Analysis, 2007, 98, (7), 1321-1336

2006

8. A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
   Econometric Theory, 2006, 22, (06), 1030-1051 View citations
   See also Working Paper (2005)
9. Generalized spectral tests for the martingale difference hypothesis
   Journal of Econometrics, 2006, 134, (1), 151-185 View citations
   See also Working Paper (2003)
10. Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
    Journal of the American Statistical Association, 2006, 101, 531-541 View citations
    See also Working Paper (2005)
11. Testing the martingale difference hypothesis using integrated regression functions
    Computational Statistics & Data Analysis, 2006, 51, (4), 2278-2294
    See also Working Paper