Details about Marine Carrasco
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
- Functional Partial Least-Squares: Optimal Rates and Adaptation
Papers, arXiv.org
2023
- Score-type tests for normal mixtures
CIRANO Working Papers, CIRANO 
Also in Working Papers, CEMFI (2022)
- Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility
CIRANO Working Papers, CIRANO 
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) (2024)
2019
- The Continuum-GMM Estimation: Theory and Application
Post-Print, HAL
2017
- Efficient Estimation Using the Characteristic Function
Post-Print, HAL View citations (5)
Also in CIRANO Working Papers, CIRANO (2013) View citations (2) Working Papers, HAL (2013) View citations (7)
See also Journal Article EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION, Econometric Theory, Cambridge University Press (2017) View citations (5) (2017)
- 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) View citations (13) (2017)
- Testing Distributional Assumptions Using a Continuum of Moments
Working Papers, CEMFI 
See also Journal Article Testing distributional assumptions using a continuum of moments, Journal of Econometrics, Elsevier (2020) View citations (7) (2020)
2016
- In-sample Inference and Forecasting in Misspecified Factor Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (39)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2016) 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) View citations (37) (2016)
- Regularization Based Anderson Rubin Tests for Many Instruments
Studies in Economics, School of Economics, University of Kent View citations (6)
2015
- Efficient estimation with many weak instruments using regularization techniques
Studies in Economics, School of Economics, University of Kent View citations (2)
Also in CIRANO Working Papers, CIRANO (2013) View citations (1)
See also Journal Article Efficient Estimation with Many Weak Instruments Using Regularization Techniques, Econometric Reviews, Taylor & Francis Journals (2016) View citations (5) (2016)
- Regularized LIML for many instruments
Studies in Economics, School of Economics, University of Kent View citations (20)
Also in CIRANO Working Papers, CIRANO (2013) View citations (8)
See also Journal Article Regularized LIML for many instruments, Journal of Econometrics, Elsevier (2015) View citations (21) (2015)
2014
- Adaptive Realized Kernels
Post-Print, HAL
Also in Working Papers, HAL (2013)  CIRANO Working Papers, CIRANO (2011) 
See also Journal Article Adaptive Realized Kernels, Journal of Financial Econometrics, Oxford University Press (2015) View citations (1) (2015)
2010
- Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
Post-Print, HAL View citations (21)
Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2004) View citations (22) CIRANO Working Papers, CIRANO (2009) 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) View citations (21) (2010)
2009
- Nonlinearity and Temporal Dependence
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (15) CIRANO Working Papers, CIRANO (2009) View citations (2) Working Papers, Yale University, Department of Economics (2008) View citations (5)
See also Journal Article Nonlinearity and temporal dependence, Journal of Econometrics, Elsevier (2010) View citations (39) (2010)
- Spectral Method for Deconvolving a Density
IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (7)
See also Journal Article A SPECTRAL METHOD FOR DECONVOLVING A DENSITY, Econometric Theory, Cambridge University Press (2011) View citations (35) (2011)
2004
- Chi-square Tests for Parameter Stability
RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
- On the Asymptotic Efficiency of GMM
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (3)
Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2003) 
See also Journal Article ON THE ASYMPTOTIC EFFICIENCY OF GMM, Econometric Theory, Cambridge University Press (2014) View citations (12) (2014)
- 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) View citations (26)
- 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) View citations (88) (2004)
2003
- Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions
CIRANO Working Papers, CIRANO View citations (7)
Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2002) View citations (10)
2002
- Efficient GMM Estimation Using the Empirical Characteristic Function
IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (20)
Also in Working Papers, Center for Research in Economics and Statistics (2000) View citations (6)
2000
- Chi-square Tests when a Nuisance Parameter is Present only under the Alternative
Working Papers, Center for Research in Economics and Statistics
- Estimation of a Mixture via the Empirical Characteristic Function
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
1999
- b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models
Working Papers, Center for Research in Economics and Statistics View citations (8)
Undated
- 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
- REGULARIZED ESTIMATION OF DYNAMIC PANEL MODELS
Econometric Theory, 2024, 40, (2), 360-418
- Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility
Journal of Financial Econometrics, 2024, 22, (4), 908-953 
See also Working Paper Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility, CIRANO Working Papers (2023) (2023)
2022
- Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV
The Econometrics Journal, 2022, 25, (1), 71-97 View citations (1)
2020
- Testing distributional assumptions using a continuum of moments
Journal of Econometrics, 2020, 218, (2), 655-689 View citations (7)
See also Working Paper Testing Distributional Assumptions Using a Continuum of Moments, Working Papers (2017) (2017)
2017
- EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
Econometric Theory, 2017, 33, (2), 479-526 View citations (5)
See also Working Paper Efficient Estimation Using the Characteristic Function, Post-Print (2017) View citations (5) (2017)
- Efficient Estimation Using Regularized Jackknife IV Estimator
Annals of Economics and Statistics, 2017, (128), 109-149 View citations (4)
- Functional linear regression with functional response
Journal of Econometrics, 2017, 201, (2), 269-291 View citations (13)
See also Working Paper Functional linear regression with functional response, Post-Print (2017) View citations (10) (2017)
2016
- Efficient Estimation with Many Weak Instruments Using Regularization Techniques
Econometric Reviews, 2016, 35, (8-10), 1609-1637 View citations (5)
See also Working Paper Efficient estimation with many weak instruments using regularization techniques, Studies in Economics (2015) View citations (2) (2015)
- In-Sample Inference and Forecasting in Misspecified Factor Models
Journal of Business & Economic Statistics, 2016, 34, (3), 313-338 View citations (37)
See also Working Paper In-sample Inference and Forecasting in Misspecified Factor Models, CEPR Discussion Papers (2016) View citations (39) (2016)
- Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models
Journal of Business & Economic Statistics, 2016, 34, (3), 353-356 View citations (7)
2015
- Adaptive Realized Kernels
Journal of Financial Econometrics, 2015, 13, (4), 757-797 View citations (1)
See also Working Paper Adaptive Realized Kernels, Post-Print (2014) (2014)
- Regularized LIML for many instruments
Journal of Econometrics, 2015, 186, (2), 427-442 View citations (21)
See also Working Paper Regularized LIML for many instruments, Studies in Economics (2015) View citations (20) (2015)
2014
- ON THE ASYMPTOTIC EFFICIENCY OF GMM
Econometric Theory, 2014, 30, (2), 372-406 View citations (12)
See also Working Paper On the Asymptotic Efficiency of GMM, Econometric Society 2004 North American Winter Meetings (2004) View citations (3) (2004)
- Optimal Test for Markov Switching Parameters
Econometrica, 2014, 82, (2), 765-784 View citations (52)
2012
- A regularization approach to the many instruments problem
Journal of Econometrics, 2012, 170, (2), 383-398 View citations (75)
2011
- A SPECTRAL METHOD FOR DECONVOLVING A DENSITY
Econometric Theory, 2011, 27, (3), 546-581 View citations (35)
See also Working Paper Spectral Method for Deconvolving a Density, IDEI Working Papers (2009) View citations (7) (2009)
2010
- Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model
Annals of Economics and Statistics, 2010, (99-100), 395-427 View citations (21)
See also Working Paper Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model, Post-Print (2010) View citations (21) (2010)
- Nonlinearity and temporal dependence
Journal of Econometrics, 2010, 155, (2), 155-169 View citations (39)
See also Working Paper Nonlinearity and Temporal Dependence, Cowles Foundation Discussion Papers (2009) View citations (2) (2009)
2007
- Efficient estimation of general dynamic models with a continuum of moment conditions
Journal of Econometrics, 2007, 140, (2), 529-573 View citations (68)
2004
- 03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution
Econometric Theory, 2004, 20, (1), 228-229 View citations (3)
- 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 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
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
Econometric Theory, 2002, 18, (1), 17-39 View citations (295)
- Misspecified Structural Change, Threshold, and Markov-switching models
Journal of Econometrics, 2002, 109, (2), 239-273 View citations (52)
- Policy Evaluation in Macroeconometric Doubly Stochastic Models
Annals of Economics and Statistics, 2002, (67-68), 73-109 View citations (2)
- Simulation-Based Method of Moments and Efficiency
Journal of Business & Economic Statistics, 2002, 20, (4), 482-92 View citations (32)
2000
- GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
Econometric Theory, 2000, 16, (6), 797-834 View citations (135)
Chapters
2023
- 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
2007
- Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization
Chapter 77 in Handbook of Econometrics, 2007, vol. 6B View citations (211)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|