Details about Mehmet Caner

Access statistics for papers by Mehmet Caner.

Last updated 2024-02-07. Update your information in the RePEc Author Service.

Short-id: pca228

Working Papers

2024

1. Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints
   Papers, arXiv.org

2022

2. Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models
   Papers, arXiv.org View citations (2)
   See also Journal Article Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models, Journal of Econometrics, Elsevier (2023) View citations (3) (2023)

2021

3. Generalized Linear Models with Structured Sparsity Estimators
   Papers, arXiv.org
   See also Journal Article Generalized linear models with structured sparsity estimators, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
4. Shoiuld Humans Lie to Machines: The Incentive Compatibility of Lasso and General Weighted Lasso
   Papers, arXiv.org View citations (1)

2020

5. An Upper Bound for Functions of Estimators in High Dimensions
   Papers, arXiv.org
   See also Journal Article An upper bound for functions of estimators in high dimensions, Econometric Reviews, Taylor & Francis Journals (2021) (2021)

2019

6. New Evidence on Debt as an Obstacle to US Economic Growth
   Working Papers, George Mason University, Mercatus Center

2016

7. 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

8. 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)
   See also Journal Article Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (20) (2018)
9. 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 Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (1) (2017)

2014

10. 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 Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso, Journal of Econometrics, Elsevier (2018) View citations (34) (2018)

2013

11. 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 Are "Nearly Exogenous Instruments" reliable?, Economics Letters, Elsevier (2008) View citations (38) (2008)
12. 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 Oracle Inequalities for Convex Loss Functions with Nonlinear Targets, Econometric Reviews, Taylor & Francis Journals (2016) View citations (1) (2016)
13. The Validity of Instruments Revisited
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University View citations (1)
    See also Journal Article The validity of instruments revisited, Journal of Econometrics, Elsevier (2012) View citations (60) (2012)

2010

14. Finding the tipping point -- when sovereign debt turns bad
    Policy Research Working Paper Series, The World Bank View citations (114)

2009

15. 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)
16. When do sudden stops really hurt?
    Policy Research Working Paper Series, The World Bank View citations (1)

2008

17. Sovereign Wealth Funds: the Norwegian Experience
    Working Paper Series, North Carolina State University, Department of Economics
    See also Journal Article Sovereign Wealth Funds: The Norwegian Experience, The World Economy, Wiley Blackwell (2010) View citations (8) (2010)

2005

18. 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 Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2005) View citations (20) (2005)
19. 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 Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases, Journal of Econometrics, Elsevier (2007) View citations (11) (2007)
20. Exponential Tilting with Weak Instruments: Estimation and Testing
    Econometrics, University Library of Munich, Germany View citations (7)
    See also Journal Article Exponential Tilting with Weak Instruments: Estimation and Testing*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2010) View citations (3) (2010)
21. M-Estimators with Non Standard Rates of Convergence and Weakly Dependent Data
    Econometrics, University Library of Munich, Germany
22. NEARLY SINGULAR DESIGN IN GMM AND GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS
    Econometrics, University Library of Munich, Germany View citations (1)
    See also Journal Article Nearly-singular design in GMM and generalized empirical likelihood estimators, Journal of Econometrics, Elsevier (2008) View citations (7) (2008)
23. 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

24. Asymptotics of non-linear lasso type estimators
    Econometric Society 2004 North American Winter Meetings, Econometric Society
25. 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

26. 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 Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate, Journal of International Money and Finance, Elsevier (2001) View citations (128) (2001)

1999

27. An Empirical Investigation of Time Varying Betas via Threshold Models
    Working Papers, Department of Economics, Bilkent University
28. Large Sample Theory for M-Estimators via Empirical Process Methods
    Working Papers, Department of Economics, Bilkent University
29. 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

30. A Direct test of the Emerging Consensus about Long-Run PPP
    Working Papers, Department of Economics, Bilkent University
31. Analyzing Unit Root Tests in Finite Samples Using Power Profiles
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (2)
32. Least Absolute Deviation Estimation of a Threshold Model
    Working Papers, Department of Economics, Bilkent University
33. 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

34. Threshold Autoregressions with a Unit Root
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (17)
    See also Journal Article Threshold Autoregression with a Unit Root, Econometrica, Econometric Society (2001) View citations (414) (2001)

Journal Articles

2023

1. Generalized linear models with structured sparsity estimators
   Journal of Econometrics, 2023, 236, (2) View citations (1)
   See also Working Paper Generalized Linear Models with Structured Sparsity Estimators, Papers (2021) (2021)
2. Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models
   Journal of Econometrics, 2023, 235, (2), 393-417 View citations (3)
   See also Working Paper Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models, Papers (2022) View citations (2) (2022)

2021

3. A Nodewise Regression Approach to Estimating Large Portfolios
   Journal of Business & Economic Statistics, 2021, 39, (2), 520-531 View citations (19)
4. A Starting Note: A Historical Perspective in Lasso
   International Econometric Review (IER), 2021, 13, (1), 1-3
5. An upper bound for functions of estimators in high dimensions
   Econometric Reviews, 2021, 40, (1), 1-13
   See also Working Paper An Upper Bound for Functions of Estimators in High Dimensions, Papers (2020) (2020)
6. Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth
   International Review of Economics & Finance, 2021, 76, (C), 694-711 View citations (1)

2018

7. Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
   Journal of Business & Economic Statistics, 2018, 36, (1), 24-46 View citations (20)
   See also Working Paper Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection, Center for Policy Research Working Papers (2015) View citations (2) (2015)
8. Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
   Journal of Econometrics, 2018, 203, (1), 143-168 View citations (34)
   See also Working Paper Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso, CREATES Research Papers (2014) View citations (4) (2014)

2017

9. 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)
10. 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 Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models, CREATES Research Papers (2015) View citations (1) (2015)

2016

11. Model Selection and Shrinkage: An Overview
    Econometric Reviews, 2016, 35, (8-10), 1343-1346
12. Moment and IV Selection Approaches: A Comparative Simulation Study
    Econometric Reviews, 2016, 35, (8-10), 1562-1581 View citations (1)
13. Oracle Inequalities for Convex Loss Functions with Nonlinear Targets
    Econometric Reviews, 2016, 35, (8-10), 1377-1411 View citations (1)
    See also Working Paper Oracle Inequalities for Convex Loss Functions with Non-Linear Targets, CREATES Research Papers (2013) (2013)

2015

14. Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso
    Journal of Econometrics, 2015, 187, (1), 256-274 View citations (8)

2014

15. Adaptive Elastic Net for Generalized Methods of Moments
    Journal of Business & Economic Statistics, 2014, 32, (1), 30-47 View citations (34)
16. Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics
    Journal of Econometrics, 2014, 182, (2), 247-268 View citations (9)
17. 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 (24)

2013

18. Valid tests when instrumental variables do not perfectly satisfy the exclusion restriction
    Stata Journal, 2013, 13, (3), 528-546 View citations (9)

2012

19. CUE with many weak instruments and nearly singular design
    Journal of Econometrics, 2012, 170, (2), 422-441 View citations (3)
20. The validity of instruments revisited
    Journal of Econometrics, 2012, 166, (2), 255-266 View citations (60)
    See also Working Paper The Validity of Instruments Revisited, Working Papers (2013) View citations (1) (2013)

2011

21. A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
    International Econometric Review (IER), 2011, 3, (2), 13-21
22. Determinants of Investment by the Norwegian Sovereign Wealth Fund: GDP vs. Institutions
    Global Economy Journal, 2011, 11, (1), 34
23. PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
    Econometric Theory, 2011, 27, (2), 413-426 View citations (3)

2010

24. 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 Exponential Tilting with Weak Instruments: Estimation and Testing, Econometrics (2005) View citations (7) (2005)
25. Sovereign Wealth Funds: The Norwegian Experience
    The World Economy, 2010, 33, (4), 597-614 View citations (8)
    See also Working Paper Sovereign Wealth Funds: the Norwegian Experience, Working Paper Series (2008) (2008)
26. Testing, Estimation in GMM and CUE with Nearly-Weak Identification
    Econometric Reviews, 2010, 29, (3), 330-363 View citations (16)

2009

27. LASSO-TYPE GMM ESTIMATOR
    Econometric Theory, 2009, 25, (1), 270-290 View citations (48)
28. Le fonds souverain norvégien
    Revue d'Économie Financière, 2009, 9, (1), 125-131
29. Performance and Transparency of the Norwegian Sovereign Wealth Fund
    Revue d'Économie Financière, 2009, 9, (1), 119-125

2008

30. Are "Nearly Exogenous Instruments" reliable?
    Economics Letters, 2008, 101, (1), 20-23 View citations (38)
    See also Working Paper Are "Nearly Exogenous" Instruments Reliable?, Working Papers (2013) View citations (5) (2013)
31. Nearly-singular design in GMM and generalized empirical likelihood estimators
    Journal of Econometrics, 2008, 144, (2), 511-523 View citations (7)
    See also Working Paper NEARLY SINGULAR DESIGN IN GMM AND GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS, Econometrics (2005) View citations (1) (2005)

2007

32. 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 Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak Identification and Completely Unidentified Cases, Econometrics (2005) (2005)

2006

33. 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), 6 View citations (3)

2005

34. Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (4), 21 View citations (20)
    See also Working Paper Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a new Threshold Unit Root Test, International Finance (2005) View citations (18) (2005)

2004

35. INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
    Econometric Theory, 2004, 20, (5), 813-843 View citations (405)

2003

36. Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
    Studies in Nonlinear Dynamics & Econometrics, 2003, 6, (4), 18 View citations (21)

2002

37. A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
    Econometric Theory, 2002, 18, (3), 800-814 View citations (15)

2001

38. 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 (128)
    See also Working Paper Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate, CEPR Discussion Papers (2000) View citations (5) (2000)
39. Threshold Autoregression with a Unit Root
    Econometrica, 2001, 69, (6), 1555-1596 View citations (414)
    See also Working Paper Threshold Autoregressions with a Unit Root, Boston College Working Papers in Economics (1997) View citations (17) (1997)

1998

40. A Locally Optimal Seaosnal Unit-Root Test
    Journal of Business & Economic Statistics, 1998, 16, (3), 349-56 View citations (17)
41. Tests for cointegration with infinite variance errors
    Journal of Econometrics, 1998, 86, (1), 155-175 View citations (18)

1997

42. Weak Convergence to a Matrix Stochastic Integral with Stable Processes
    Econometric Theory, 1997, 13, (4), 506-528 View citations (5)