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Details about Marine Carrasco

Homepage:https://marinecarrasco.openum.ca/en/
Phone:(514) 343-2394
Postal address:University of Montreal Departement de sciences economiques CP 6128, succ Centre Ville Montreal, QC H3C3J7 Canada
Workplace:Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (Center for Interuniversity Research in Quantitative Economics), (more information at EDIRC)
Département de Sciences Économiques (Department of Economics), Université de Montréal (University of Montreal), (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 2024-11-06. Update your information in the RePEc Author Service.

Short-id: pca65


Jump to Journal Articles Chapters

Working Papers

2024

  1. Functional Partial Least-Squares: Optimal Rates and Adaptation
    Papers, arXiv.org Downloads

2023

  1. Score-type tests for normal mixtures
    CIRANO Working Papers, CIRANO Downloads
    Also in Working Papers, CEMFI (2022) Downloads
  2. Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility
    CIRANO Working Papers, CIRANO Downloads
    See also Journal Article Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility, Journal of Financial Econometrics, Oxford University Press (2024) Downloads (2024)

2019

  1. The Continuum-GMM Estimation: Theory and Application
    Post-Print, HAL

2017

  1. Efficient Estimation Using the Characteristic Function
    Post-Print, HAL View citations (5)
    Also in CIRANO Working Papers, CIRANO (2013) Downloads View citations (2)
    Working Papers, HAL (2013) Downloads View citations (7)

    See also Journal Article EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION, Econometric Theory, Cambridge University Press (2017) Downloads View citations (5) (2017)
  2. Functional linear regression with functional response
    Post-Print, HAL View citations (10)
    See also Journal Article Functional linear regression with functional response, Journal of Econometrics, Elsevier (2017) Downloads View citations (13) (2017)
  3. Testing Distributional Assumptions Using a Continuum of Moments
    Working Papers, CEMFI Downloads
    See also Journal Article Testing distributional assumptions using a continuum of moments, Journal of Econometrics, Elsevier (2020) Downloads View citations (7) (2020)

2016

  1. In-sample Inference and Forecasting in Misspecified Factor Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (39)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2016) Downloads View citations (39)

    See also Journal Article In-Sample Inference and Forecasting in Misspecified Factor Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) Downloads View citations (37) (2016)
  2. Regularization Based Anderson Rubin Tests for Many Instruments
    Studies in Economics, School of Economics, University of Kent Downloads View citations (6)

2015

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

    See also Journal Article Efficient Estimation with Many Weak Instruments Using Regularization Techniques, Econometric Reviews, Taylor & Francis Journals (2016) Downloads View citations (5) (2016)
  2. Regularized LIML for many instruments
    Studies in Economics, School of Economics, University of Kent Downloads View citations (20)
    Also in CIRANO Working Papers, CIRANO (2013) Downloads View citations (8)

    See also Journal Article Regularized LIML for many instruments, Journal of Econometrics, Elsevier (2015) Downloads View citations (21) (2015)

2014

  1. Adaptive Realized Kernels
    Post-Print, HAL
    Also in Working Papers, HAL (2013) Downloads
    CIRANO Working Papers, CIRANO (2011) Downloads

    See also Journal Article Adaptive Realized Kernels, Journal of Financial Econometrics, Oxford University Press (2015) Downloads View citations (1) (2015)

2010

  1. Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
    Post-Print, HAL Downloads View citations (21)
    Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2004) Downloads View citations (22)
    CIRANO Working Papers, CIRANO (2009) Downloads View citations (2)

    See also Journal Article Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model, Annals of Economics and Statistics, GENES (2010) Downloads View citations (21) (2010)

2009

  1. Nonlinearity and Temporal Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) Downloads View citations (15)
    CIRANO Working Papers, CIRANO (2009) Downloads View citations (2)
    Working Papers, Yale University, Department of Economics (2008) Downloads View citations (5)

    See also Journal Article Nonlinearity and temporal dependence, Journal of Econometrics, Elsevier (2010) Downloads View citations (39) (2010)
  2. Spectral Method for Deconvolving a Density
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse Downloads View citations (7)
    See also Journal Article A SPECTRAL METHOD FOR DECONVOLVING A DENSITY, Econometric Theory, Cambridge University Press (2011) Downloads View citations (35) (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 ON THE ASYMPTOTIC EFFICIENCY OF GMM, Econometric Theory, Cambridge University Press (2014) Downloads View citations (12) (2014)
  3. Optimal test for Markov switching
    2004 Meeting Papers, Society for Economic Dynamics View citations (29)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) Downloads View citations (26)
  4. Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship
    Post-Print, HAL View citations (3)
    See also Journal Article Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship, Journal of Business & Economic Statistics, American Statistical Association (2004) Downloads View citations (88) (2004)

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 (10)

2002

  1. Efficient GMM Estimation Using the Empirical Characteristic Function
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse Downloads View citations (20)
    Also in Working Papers, Center for Research in Economics and Statistics (2000) Downloads View citations (6)

2000

  1. Chi-square Tests when a Nuisance Parameter is Present only under the Alternative
    Working Papers, Center for Research in Economics and Statistics 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, Center for Research in Economics and Statistics Downloads View citations (8)

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

2024

  1. REGULARIZED ESTIMATION OF DYNAMIC PANEL MODELS
    Econometric Theory, 2024, 40, (2), 360-418 Downloads
  2. Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility
    Journal of Financial Econometrics, 2024, 22, (4), 908-953 Downloads
    See also Working Paper Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility, CIRANO Working Papers (2023) Downloads (2023)

2022

  1. Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV
    The Econometrics Journal, 2022, 25, (1), 71-97 Downloads View citations (1)

2020

  1. Testing distributional assumptions using a continuum of moments
    Journal of Econometrics, 2020, 218, (2), 655-689 Downloads View citations (7)
    See also Working Paper Testing Distributional Assumptions Using a Continuum of Moments, Working Papers (2017) Downloads (2017)

2017

  1. EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
    Econometric Theory, 2017, 33, (2), 479-526 Downloads View citations (5)
    See also Working Paper Efficient Estimation Using the Characteristic Function, Post-Print (2017) View citations (5) (2017)
  2. Efficient Estimation Using Regularized Jackknife IV Estimator
    Annals of Economics and Statistics, 2017, (128), 109-149 Downloads View citations (4)
  3. Functional linear regression with functional response
    Journal of Econometrics, 2017, 201, (2), 269-291 Downloads View citations (13)
    See also Working Paper Functional linear regression with functional response, Post-Print (2017) View citations (10) (2017)

2016

  1. Efficient Estimation with Many Weak Instruments Using Regularization Techniques
    Econometric Reviews, 2016, 35, (8-10), 1609-1637 Downloads View citations (5)
    See also Working Paper Efficient estimation with many weak instruments using regularization techniques, Studies in Economics (2015) Downloads View citations (2) (2015)
  2. In-Sample Inference and Forecasting in Misspecified Factor Models
    Journal of Business & Economic Statistics, 2016, 34, (3), 313-338 Downloads View citations (37)
    See also Working Paper In-sample Inference and Forecasting in Misspecified Factor Models, CEPR Discussion Papers (2016) Downloads View citations (39) (2016)
  3. Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models
    Journal of Business & Economic Statistics, 2016, 34, (3), 353-356 Downloads View citations (7)

2015

  1. Adaptive Realized Kernels
    Journal of Financial Econometrics, 2015, 13, (4), 757-797 Downloads View citations (1)
    See also Working Paper Adaptive Realized Kernels, Post-Print (2014) (2014)
  2. Regularized LIML for many instruments
    Journal of Econometrics, 2015, 186, (2), 427-442 Downloads View citations (21)
    See also Working Paper Regularized LIML for many instruments, Studies in Economics (2015) Downloads View citations (20) (2015)

2014

  1. ON THE ASYMPTOTIC EFFICIENCY OF GMM
    Econometric Theory, 2014, 30, (2), 372-406 Downloads View citations (12)
    See also Working Paper On the Asymptotic Efficiency of GMM, Econometric Society 2004 North American Winter Meetings (2004) Downloads View citations (3) (2004)
  2. Optimal Test for Markov Switching Parameters
    Econometrica, 2014, 82, (2), 765-784 Downloads View citations (52)

2012

  1. A regularization approach to the many instruments problem
    Journal of Econometrics, 2012, 170, (2), 383-398 Downloads View citations (75)

2011

  1. A SPECTRAL METHOD FOR DECONVOLVING A DENSITY
    Econometric Theory, 2011, 27, (3), 546-581 Downloads View citations (35)
    See also Working Paper Spectral Method for Deconvolving a Density, IDEI Working Papers (2009) Downloads View citations (7) (2009)

2010

  1. Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model
    Annals of Economics and Statistics, 2010, (99-100), 395-427 Downloads View citations (21)
    See also Working Paper Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model, Post-Print (2010) Downloads View citations (21) (2010)
  2. Nonlinearity and temporal dependence
    Journal of Econometrics, 2010, 155, (2), 155-169 Downloads View citations (39)
    See also Working Paper Nonlinearity and Temporal Dependence, Cowles Foundation Discussion Papers (2009) Downloads View citations (2) (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 (68)

2004

  1. 03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution
    Econometric Theory, 2004, 20, (1), 228-229 Downloads View citations (3)
  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 (88)
    See also Working Paper Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship, Post-Print (2004) View citations (3) (2004)

2002

  1. MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2002, 18, (1), 17-39 Downloads View citations (295)
  2. Misspecified Structural Change, Threshold, and Markov-switching models
    Journal of Econometrics, 2002, 109, (2), 239-273 Downloads View citations (52)
  3. Policy Evaluation in Macroeconometric Doubly Stochastic Models
    Annals of Economics and Statistics, 2002, (67-68), 73-109 Downloads View citations (2)
  4. Simulation-Based Method of Moments and Efficiency
    Journal of Business & Economic Statistics, 2002, 20, (4), 482-92 View citations (32)

2000

  1. GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
    Econometric Theory, 2000, 16, (6), 797-834 Downloads View citations (135)

Chapters

2023

  1. Risk Neutral Density Estimation with a Functional Linear Model
    A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 133-157 Downloads

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 (211)
 
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