Details about Mehmet Caner
Access statistics for papers by Mehmet Caner.
Last updated 2022-03-08. Update your information in the RePEc Author Service.
Short-id: pca228
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Working Papers
2022
- Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models
Papers, arXiv.org View citations (2)
2016
- Inference in partially identified models with many moment inequalities using Lasso
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
2015
- Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (2)
- Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) 
See also Journal Article in Journal of Business & Economic Statistics (2017)
2014
- Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
See also Journal Article in Journal of Econometrics (2018)
2013
- Are "Nearly Exogenous" Instruments Reliable?
Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (5)
Also in Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2013) 
See also Journal Article in Economics Letters (2008)
- Oracle Inequalities for Convex Loss Functions with Non-Linear Targets
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University 
See also Journal Article in Econometric Reviews (2016)
- The Validity of Instruments Revisited
Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (1)
See also Journal Article in Journal of Econometrics (2012)
2010
- Finding the tipping point -- when sovereign debt turns bad
Policy Research Working Paper Series, The World Bank View citations (114)
2009
- A New Paradigm: A Joint Test of Structural and Correlation Parameters in Instrumental Variables Regression When Perfect Exogeneity is Violated
MPRA Paper, University Library of Munich, Germany View citations (1)
Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (1)
- When do sudden stops really hurt?
Policy Research Working Paper Series, The World Bank View citations (1)
2008
- Sovereign Wealth Funds: the Norwegian Experience
Working Paper Series, North Carolina State University, Department of Economics 
See also Journal Article in The World Economy (2010)
2005
- Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a new Threshold Unit Root Test
International Finance, University Library of Munich, Germany View citations (18)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2005)
- Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak Identification and Completely Unidentified Cases
Econometrics, University Library of Munich, Germany 
See also Journal Article in Journal of Econometrics (2007)
- Exponential Tilting with Weak Instruments: Estimation and Testing
Econometrics, University Library of Munich, Germany View citations (7)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2010)
- M-Estimators with Non Standard Rates of Convergence and Weakly Dependent Data
Econometrics, University Library of Munich, Germany
- NEARLY SINGULAR DESIGN IN GMM AND GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS
Econometrics, University Library of Munich, Germany View citations (1)
See also Journal Article in Journal of Econometrics (2008)
- Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Fixed and Many Moment Asymptotics
Econometrics, University Library of Munich, Germany View citations (2)
2004
- Asymptotics of non-linear lasso type estimators
Econometric Society 2004 North American Winter Meetings, Econometric Society
- Testing, Estimation and Higher Order Expansions in GMM with Semi-Weak Instruments
Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (1)
2000
- Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
Also in Working Papers, Michigan - Center for Research on Economic & Social Theory (1999) View citations (16)
See also Journal Article in Journal of International Money and Finance (2001)
1999
- An Empirical Investigation of Time Varying Betas via Threshold Models
Working Papers, Department of Economics, Bilkent University
- Large Sample Theory for M-Estimators via Empirical Process Methods
Working Papers, Department of Economics, Bilkent University
- Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work
Computing in Economics and Finance 1999, Society for Computational Economics View citations (5)
Also in ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies (1999) View citations (3)
1998
- A Direct test of the Emerging Consensus about Long-Run PPP
Working Papers, Department of Economics, Bilkent University
- Analyzing Unit Root Tests in Finite Samples Using Power Profiles
Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (2)
- Least Absolute Deviation Estimation of a Threshold Model
Working Papers, Department of Economics, Bilkent University
- Threshold Autoregressions with a Near Unit Root
Working Papers, Department of Economics, Bilkent University View citations (8)
Also in Working papers, Wisconsin Madison - Social Systems (1998) View citations (20)
1997
- Threshold Autoregressions with a Unit Root
Boston College Working Papers in Economics, Boston College Department of Economics View citations (17)
See also Journal Article in Econometrica (2001)
Journal Articles
2021
- A Nodewise Regression Approach to Estimating Large Portfolios
Journal of Business & Economic Statistics, 2021, 39, (2), 520-531 View citations (13)
2018
- Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
Journal of Econometrics, 2018, 203, (1), 143-168 View citations (25)
See also Working Paper (2014)
2017
- Determining the number of factors with potentially strong within-block correlations in error terms
Econometric Reviews, 2017, 36, (6-9), 946-969 View citations (1)
- Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models
Journal of Business & Economic Statistics, 2017, 35, (2), 250-264 View citations (1)
See also Working Paper (2015)
2016
- Model Selection and Shrinkage: An Overview
Econometric Reviews, 2016, 35, (8-10), 1343-1346
- Moment and IV Selection Approaches: A Comparative Simulation Study
Econometric Reviews, 2016, 35, (8-10), 1562-1581 View citations (1)
- Oracle Inequalities for Convex Loss Functions with Nonlinear Targets
Econometric Reviews, 2016, 35, (8-10), 1377-1411 View citations (1)
See also Working Paper (2013)
2015
- Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso
Journal of Econometrics, 2015, 187, (1), 256-274 View citations (8)
2014
- Adaptive Elastic Net for Generalized Methods of Moments
Journal of Business & Economic Statistics, 2014, 32, (1), 30-47 View citations (27)
- Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics
Journal of Econometrics, 2014, 182, (2), 247-268 View citations (8)
- Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators
Journal of Business & Economic Statistics, 2014, 32, (3), 359-374 View citations (21)
2013
- Valid tests when instrumental variables do not perfectly satisfy the exclusion restriction
Stata Journal, 2013, 13, (3), 528-546 View citations (8)
2012
- CUE with many weak instruments and nearly singular design
Journal of Econometrics, 2012, 170, (2), 422-441 View citations (3)
- The validity of instruments revisited
Journal of Econometrics, 2012, 166, (2), 255-266 View citations (59)
See also Working Paper (2013)
2011
- A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
International Econometric Review (IER), 2011, 3, (2), 13-21
- Determinants of Investment by the Norwegian Sovereign Wealth Fund: GDP vs. Institutions
Global Economy Journal, 2011, 11, (1), 1-34
2010
- Exponential Tilting with Weak Instruments: Estimation and Testing*
Oxford Bulletin of Economics and Statistics, 2010, 72, (3), 307-325 View citations (3)
See also Working Paper (2005)
- Sovereign Wealth Funds: The Norwegian Experience
The World Economy, 2010, 33, (4), 597-614 View citations (7)
See also Working Paper (2008)
- Testing, Estimation in GMM and CUE with Nearly-Weak Identification
Econometric Reviews, 2010, 29, (3), 330-363 View citations (15)
2009
- LASSO-TYPE GMM ESTIMATOR
Econometric Theory, 2009, 25, (1), 270-290 View citations (46)
- Le fonds souverain norvégien
Revue d'Économie Financière, 2009, 9, (1), 125-131
- Performance and Transparency of the Norwegian Sovereign Wealth Fund
Revue d'Économie Financière, 2009, 9, (1), 119-125
2008
- Are "Nearly Exogenous Instruments" reliable?
Economics Letters, 2008, 101, (1), 20-23 View citations (36)
See also Working Paper (2013)
- Nearly-singular design in GMM and generalized empirical likelihood estimators
Journal of Econometrics, 2008, 144, (2), 511-523 View citations (6)
See also Working Paper (2005)
2007
- Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases
Journal of Econometrics, 2007, 137, (1), 28-67 View citations (11)
See also Working Paper (2005)
2006
- Corrigendum to "Are Real Exchange Rates Nonlinear or Non-Stationary? Evidence from a New Threshold Unit Root Test"
Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (2), 1-6 View citations (3)
2005
- Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test
Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (4), 1-21 View citations (20)
See also Working Paper (2005)
2004
- INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
Econometric Theory, 2004, 20, (5), 813-843 View citations (339)
2003
- Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
Studies in Nonlinear Dynamics & Econometrics, 2003, 6, (4), 1-18 View citations (22)
2002
- A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
Econometric Theory, 2002, 18, (3), 800-814 View citations (14)
2001
- Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate
Journal of International Money and Finance, 2001, 20, (5), 639-657 View citations (125)
See also Working Paper (2000)
- Threshold Autoregression with a Unit Root
Econometrica, 2001, 69, (6), 1555-1596 View citations (398)
See also Working Paper (1997)
1998
- A Locally Optimal Seaosnal Unit-Root Test
Journal of Business & Economic Statistics, 1998, 16, (3), 349-56 View citations (17)
- Tests for cointegration with infinite variance errors
Journal of Econometrics, 1998, 86, (1), 155-175 View citations (18)
1997
- Weak Convergence to a Matrix Stochastic Integral with Stable Processes
Econometric Theory, 1997, 13, (4), 506-528 View citations (4)
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