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

Working Papers

2025

1. Functional Partial Least-Squares: Adaptive Estimation and Inference
   Papers, arXiv.org

2023

2. Score-type tests for normal mixtures
   CIRANO Working Papers, CIRANO
   Also in Working Papers, CEMFI (2022)
3. 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

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

2017

5. 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 EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION, Econometric Theory, Cambridge University Press (2017) View citations (5) (2017)
6. Functional linear regression with functional response
   Post-Print, HAL View citations (11)
   See also Journal Article Functional linear regression with functional response, Journal of Econometrics, Elsevier (2017) View citations (20) (2017)
7. 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

8. In-sample Inference and Forecasting in Misspecified Factor Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (40)
   Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2016) View citations (40)
   See also Journal Article In-Sample Inference and Forecasting in Misspecified Factor Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (38) (2016)
9. Regularization Based Anderson Rubin Tests for Many Instruments
   Studies in Economics, School of Economics, University of Kent View citations (7)

2015

10. 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 (6) (2016)
11. 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

12. Adaptive Realized Kernels
    Post-Print, HAL
    Also in CIRANO Working Papers, CIRANO (2011)
    Working Papers, HAL (2013)
    See also Journal Article Adaptive Realized Kernels, Journal of Financial Econometrics, Oxford University Press (2015) View citations (1) (2015)

2010

13. 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

14. Nonlinearity and Temporal Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in CIRANO Working Papers, CIRANO (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 Nonlinearity and temporal dependence, Journal of Econometrics, Elsevier (2010) View citations (40) (2010)
15. 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

16. Chi-square Tests for Parameter Stability
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
17. 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 (13) (2014)
18. 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)
19. 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

20. 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

21. 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

22. Chi-square Tests when a Nuisance Parameter is Present only under the Alternative
    Working Papers, Center for Research in Economics and Statistics
23. Estimation of a Mixture via the Empirical Characteristic Function
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society

1999

24. 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

25. 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 View citations (1)
2. 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

3. Testing overidentifying restrictions with many instruments and heteroscedasticity using regularised jackknife IV
   The Econometrics Journal, 2022, 25, (1), 71-97 View citations (2)

2020

4. 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

5. 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)
6. Efficient Estimation Using Regularized Jackknife IV Estimator
   Annals of Economics and Statistics, 2017, (128), 109-149 View citations (5)
7. Functional linear regression with functional response
   Journal of Econometrics, 2017, 201, (2), 269-291 View citations (20)
   See also Working Paper Functional linear regression with functional response, Post-Print (2017) View citations (11) (2017)

2016

8. Efficient Estimation with Many Weak Instruments Using Regularization Techniques
   Econometric Reviews, 2016, 35, (8-10), 1609-1637 View citations (6)
   See also Working Paper Efficient estimation with many weak instruments using regularization techniques, Studies in Economics (2015) View citations (2) (2015)
9. In-Sample Inference and Forecasting in Misspecified Factor Models
   Journal of Business & Economic Statistics, 2016, 34, (3), 313-338 View citations (38)
   See also Working Paper In-sample Inference and Forecasting in Misspecified Factor Models, CEPR Discussion Papers (2016) View citations (40) (2016)
10. Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models
    Journal of Business & Economic Statistics, 2016, 34, (3), 353-356 View citations (7)

2015

11. 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)
12. 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

13. ON THE ASYMPTOTIC EFFICIENCY OF GMM
    Econometric Theory, 2014, 30, (2), 372-406 View citations (13)
    See also Working Paper On the Asymptotic Efficiency of GMM, Econometric Society 2004 North American Winter Meetings (2004) View citations (3) (2004)
14. Optimal Test for Markov Switching Parameters
    Econometrica, 2014, 82, (2), 765-784 View citations (53)

2012

15. A regularization approach to the many instruments problem
    Journal of Econometrics, 2012, 170, (2), 383-398 View citations (78)

2011

16. 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

17. 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)
18. Nonlinearity and temporal dependence
    Journal of Econometrics, 2010, 155, (2), 155-169 View citations (40)
    See also Working Paper Nonlinearity and Temporal Dependence, Cowles Foundation Discussion Papers (2009) View citations (2) (2009)

2007

19. Efficient estimation of general dynamic models with a continuum of moment conditions
    Journal of Econometrics, 2007, 140, (2), 529-573 View citations (68)

2004

20. 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)
21. 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

22. MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2002, 18, (1), 17-39 View citations (297)
23. Misspecified Structural Change, Threshold, and Markov-switching models
    Journal of Econometrics, 2002, 109, (2), 239-273 View citations (52)
24. Policy Evaluation in Macroeconometric Doubly Stochastic Models
    Annals of Economics and Statistics, 2002, (67-68), 73-109 View citations (2)
25. Simulation-Based Method of Moments and Efficiency
    Journal of Business & Economic Statistics, 2002, 20, (4), 482-92 View citations (33)

2000

26. GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
    Econometric Theory, 2000, 16, (6), 797-834 View citations (138)

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

2007

2. Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization
   Chapter 77 in Handbook of Econometrics, 2007, vol. 6B View citations (212)