Details about Marine Carrasco

Access statistics for papers by Marine Carrasco.

Last updated 2022-05-17. Update your information in the RePEc Author Service.

Short-id: pca65

Working Papers

2019

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

2017

2. 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)
3. Functional linear regression with functional response
   Post-Print, HAL View citations (9)
   See also Journal Article in Journal of Econometrics (2017)
4. Testing Distributional Assumptions Using a Continuum of Moments
   Working Papers, CEMFI
   See also Journal Article in Journal of Econometrics (2020)

2016

5. 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)
6. Regularization Based Anderson Rubin Tests for Many Instruments
   Studies in Economics, School of Economics, University of Kent View citations (5)

2015

7. 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)
8. 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

9. 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

10. 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

11. 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)
12. 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

13. Chi-square Tests for Parameter Stability
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (1)
14. 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)
15. 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

16. 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

17. 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

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

1999

20. 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

21. 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

1. 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

2. EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
   Econometric Theory, 2017, 33, (2), 479-526 View citations (5)
   See also Working Paper (2017)
3. Efficient Estimation Using Regularized Jackknife IV Estimator
   Annals of Economics and Statistics, 2017, (128), 109-149 View citations (3)
4. Functional linear regression with functional response
   Journal of Econometrics, 2017, 201, (2), 269-291 View citations (12)
   See also Working Paper (2017)

2016

5. 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)
6. 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)
7. Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models
   Journal of Business & Economic Statistics, 2016, 34, (3), 353-356 View citations (7)

2015

8. Adaptive Realized Kernels
   The Journal of Financial Econometrics, 2015, 13, (4), 757-797 View citations (1)
   See also Working Paper (2014)
9. Regularized LIML for many instruments
   Journal of Econometrics, 2015, 186, (2), 427-442 View citations (19)
   See also Working Paper (2015)

2014

10. ON THE ASYMPTOTIC EFFICIENCY OF GMM
    Econometric Theory, 2014, 30, (2), 372-406 View citations (11)
    See also Working Paper (2004)
11. Optimal Test for Markov Switching Parameters
    Econometrica, 2014, 82, (2), 765-784 View citations (43)

2012

12. A regularization approach to the many instruments problem
    Journal of Econometrics, 2012, 170, (2), 383-398 View citations (63)

2011

13. A SPECTRAL METHOD FOR DECONVOLVING A DENSITY
    Econometric Theory, 2011, 27, (3), 546-581 View citations (29)
    See also Working Paper (2009)

2010

14. 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)
15. Nonlinearity and temporal dependence
    Journal of Econometrics, 2010, 155, (2), 155-169 View citations (36)
    See also Working Paper (2009)

2007

16. Efficient estimation of general dynamic models with a continuum of moment conditions
    Journal of Econometrics, 2007, 140, (2), 529-573 View citations (59)

2004

17. 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)
18. 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

19. MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
    Econometric Theory, 2002, 18, (1), 17-39 View citations (269)
20. Misspecified Structural Change, Threshold, and Markov-switching models
    Journal of Econometrics, 2002, 109, (2), 239-273 View citations (49)
21. Policy Evaluation in Macroeconometric Doubly Stochastic Models
    Annals of Economics and Statistics, 2002, (67-68), 73-109 View citations (2)
22. Simulation-Based Method of Moments and Efficiency
    Journal of Business & Economic Statistics, 2002, 20, (4), 482-92 View citations (31)

2000

23. GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
    Econometric Theory, 2000, 16, (6), 797-834 View citations (128)

Chapters

2007

1. 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)