Details about Marine Carrasco
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Last updated 2022-05-17. Update your information in the RePEc Author Service.
Short-id: pca65
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Working Papers
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 Working Papers, HAL (2013) View citations (7) CIRANO Working Papers, CIRANO (2013) View citations (2)
See also Journal Article in Econometric Theory (2017)
- Functional linear regression with functional response
Post-Print, HAL View citations (9)
See also Journal Article in Journal of Econometrics (2017)
- Testing Distributional Assumptions Using a Continuum of Moments
Working Papers, CEMFI 
See also Journal Article in Journal of Econometrics (2020)
2016
- In-sample Inference and Forecasting in Misspecified Factor Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (31)
Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2016) View citations (31)
See also Journal Article in Journal of Business & Economic Statistics (2016)
- Regularization Based Anderson Rubin Tests for Many Instruments
Studies in Economics, School of Economics, University of Kent View citations (5)
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 in Econometric Reviews (2016)
- Regularized LIML for many instruments
Studies in Economics, School of Economics, University of Kent View citations (17)
Also in CIRANO Working Papers, CIRANO (2013) View citations (8)
See also Journal Article in Journal of Econometrics (2015)
2014
- Adaptive Realized Kernels
Post-Print, HAL
Also in CIRANO Working Papers, CIRANO (2011)  Working Papers, HAL (2013) 
See also Journal Article in The Journal of Financial Econometrics (2015)
2010
- Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
Post-Print, HAL View citations (19)
Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2004) View citations (21) CIRANO Working Papers, CIRANO (2009) View citations (2)
See also Journal Article in Annals of Economics and Statistics (2010)
2009
- Nonlinearity and Temporal Dependence
CIRANO Working Papers, CIRANO View citations (2)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (2) Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (15) Working Papers, Yale University, Department of Economics (2008) View citations (5)
See also Journal Article in Journal of Econometrics (2010)
- Spectral Method for Deconvolving a Density
IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (7)
See also Journal Article in Econometric Theory (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 in Econometric Theory (2014)
- Optimal test for Markov switching
Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (26)
Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (29)
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 (7)
2002
- Efficient GMM Estimation Using the Empirical Characteristic Function
IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (18)
Also in Working Papers, Center for Research in Economics and Statistics (2000) View citations (7)
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 (9)
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
2020
- Testing distributional assumptions using a continuum of moments
Journal of Econometrics, 2020, 218, (2), 655-689 View citations (6)
See also Working Paper (2017)
2017
- EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
Econometric Theory, 2017, 33, (2), 479-526 View citations (5)
See also Working Paper (2017)
- Efficient Estimation Using Regularized Jackknife IV Estimator
Annals of Economics and Statistics, 2017, (128), 109-149 View citations (3)
- Functional linear regression with functional response
Journal of Econometrics, 2017, 201, (2), 269-291 View citations (12)
See also Working Paper (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 (2015)
- In-Sample Inference and Forecasting in Misspecified Factor Models
Journal of Business & Economic Statistics, 2016, 34, (3), 313-338 View citations (30)
See also Working Paper (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
The Journal of Financial Econometrics, 2015, 13, (4), 757-797 View citations (1)
See also Working Paper (2014)
- Regularized LIML for many instruments
Journal of Econometrics, 2015, 186, (2), 427-442 View citations (19)
See also Working Paper (2015)
2014
- ON THE ASYMPTOTIC EFFICIENCY OF GMM
Econometric Theory, 2014, 30, (2), 372-406 View citations (11)
See also Working Paper (2004)
- Optimal Test for Markov Switching Parameters
Econometrica, 2014, 82, (2), 765-784 View citations (43)
2012
- A regularization approach to the many instruments problem
Journal of Econometrics, 2012, 170, (2), 383-398 View citations (63)
2011
- A SPECTRAL METHOD FOR DECONVOLVING A DENSITY
Econometric Theory, 2011, 27, (3), 546-581 View citations (29)
See also Working Paper (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 (19)
See also Working Paper (2010)
- Nonlinearity and temporal dependence
Journal of Econometrics, 2010, 155, (2), 155-169 View citations (36)
See also Working Paper (2009)
2007
- Efficient estimation of general dynamic models with a continuum of moment conditions
Journal of Econometrics, 2007, 140, (2), 529-573 View citations (59)
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 (84)
2002
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
Econometric Theory, 2002, 18, (1), 17-39 View citations (269)
- Misspecified Structural Change, Threshold, and Markov-switching models
Journal of Econometrics, 2002, 109, (2), 239-273 View citations (49)
- 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 (31)
2000
- GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
Econometric Theory, 2000, 16, (6), 797-834 View citations (128)
Chapters
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 (187)
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