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

Working Papers

2022

1. Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models
   Papers, arXiv.org View citations (2)

2016

2. 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

3. 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)
4. 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

5. 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

6. 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)
7. 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)
8. 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

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

2009

10. 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)
11. When do sudden stops really hurt?
    Policy Research Working Paper Series, The World Bank View citations (1)

2008

12. 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

13. 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)
14. 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)
15. 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)
16. M-Estimators with Non Standard Rates of Convergence and Weakly Dependent Data
    Econometrics, University Library of Munich, Germany
17. 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)
18. 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

19. Asymptotics of non-linear lasso type estimators
    Econometric Society 2004 North American Winter Meetings, Econometric Society
20. 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

21. 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

22. An Empirical Investigation of Time Varying Betas via Threshold Models
    Working Papers, Department of Economics, Bilkent University
23. Large Sample Theory for M-Estimators via Empirical Process Methods
    Working Papers, Department of Economics, Bilkent University
24. 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

25. A Direct test of the Emerging Consensus about Long-Run PPP
    Working Papers, Department of Economics, Bilkent University
26. Analyzing Unit Root Tests in Finite Samples Using Power Profiles
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (2)
27. Least Absolute Deviation Estimation of a Threshold Model
    Working Papers, Department of Economics, Bilkent University
28. 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

29. 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

1. A Nodewise Regression Approach to Estimating Large Portfolios
   Journal of Business & Economic Statistics, 2021, 39, (2), 520-531 View citations (13)

2018

2. 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

3. 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)
4. 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

5. Model Selection and Shrinkage: An Overview
   Econometric Reviews, 2016, 35, (8-10), 1343-1346
6. Moment and IV Selection Approaches: A Comparative Simulation Study
   Econometric Reviews, 2016, 35, (8-10), 1562-1581 View citations (1)
7. 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

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

2014

9. Adaptive Elastic Net for Generalized Methods of Moments
   Journal of Business & Economic Statistics, 2014, 32, (1), 30-47 View citations (27)
10. Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics
    Journal of Econometrics, 2014, 182, (2), 247-268 View citations (8)
11. 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

12. Valid tests when instrumental variables do not perfectly satisfy the exclusion restriction
    Stata Journal, 2013, 13, (3), 528-546 View citations (8)

2012

13. CUE with many weak instruments and nearly singular design
    Journal of Econometrics, 2012, 170, (2), 422-441 View citations (3)
14. The validity of instruments revisited
    Journal of Econometrics, 2012, 166, (2), 255-266 View citations (59)
    See also Working Paper (2013)

2011

15. A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
    International Econometric Review (IER), 2011, 3, (2), 13-21
16. Determinants of Investment by the Norwegian Sovereign Wealth Fund: GDP vs. Institutions
    Global Economy Journal, 2011, 11, (1), 1-34

2010

17. 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)
18. Sovereign Wealth Funds: The Norwegian Experience
    The World Economy, 2010, 33, (4), 597-614 View citations (7)
    See also Working Paper (2008)
19. Testing, Estimation in GMM and CUE with Nearly-Weak Identification
    Econometric Reviews, 2010, 29, (3), 330-363 View citations (15)

2009

20. LASSO-TYPE GMM ESTIMATOR
    Econometric Theory, 2009, 25, (1), 270-290 View citations (46)
21. Le fonds souverain norvégien
    Revue d'Économie Financière, 2009, 9, (1), 125-131
22. Performance and Transparency of the Norwegian Sovereign Wealth Fund
    Revue d'Économie Financière, 2009, 9, (1), 119-125

2008

23. Are "Nearly Exogenous Instruments" reliable?
    Economics Letters, 2008, 101, (1), 20-23 View citations (36)
    See also Working Paper (2013)
24. 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

25. 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

26. 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

27. 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

28. INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
    Econometric Theory, 2004, 20, (5), 813-843 View citations (339)

2003

29. Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
    Studies in Nonlinear Dynamics & Econometrics, 2003, 6, (4), 1-18 View citations (22)

2002

30. A NOTE ON LEAST ABSOLUTE DEVIATION ESTIMATION OF A THRESHOLD MODEL
    Econometric Theory, 2002, 18, (3), 800-814 View citations (14)

2001

31. 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)
32. Threshold Autoregression with a Unit Root
    Econometrica, 2001, 69, (6), 1555-1596 View citations (398)
    See also Working Paper (1997)

1998

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

1997

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