Details about Prosper Dovonon

Access statistics for papers by Prosper Dovonon.

Last updated 2026-03-02. Update your information in the RePEc Author Service.

Short-id: pdo318

Working Papers

2025

1. A Uniformly Valid Test for Instrument Exogeneity
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta

2023

2. Efficiency bounds for moment condition models with mixed identification strength
   School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy
   See also Journal Article Efficiency bounds for moment condition models with mixed identification strength, Journal of Econometrics, Elsevier (2025) (2025)

2020

3. Robust Estimation with Exponentially Tilted Hellinger Distance
   Discussion Papers, Department of Economics, Simon Fraser University View citations (2)
   Also in Discussion Papers, Department of Economics, Simon Fraser University (2017) View citations (1)
   CIRANO Working Papers, CIRANO (2018)
   Discussion Papers, Department of Economics, Simon Fraser University (2018)
   See also Journal Article Robust estimation with exponentially tilted Hellinger distance, Journal of Econometrics, Elsevier (2021) View citations (2) (2021)

2019

4. Relevant moment selection under mixed identification strength
   School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy

2018

5. Inference in Second-Order Identified Models
   CIRANO Working Papers, CIRANO
6. The Asymptotic Properties of GMM and Indirect Inference under Second-order Identification
   CIRANO Working Papers, CIRANO View citations (21)

2017

7. Bootstrapping high-frequency jump tests
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (1)
   Also in CIRANO Working Papers, CIRANO (2016)
   TSE Working Papers, Toulouse School of Economics (TSE) (2017) View citations (10)
   See also Journal Article Bootstrapping High-Frequency Jump Tests, Journal of the American Statistical Association, Taylor & Francis Journals (2019) View citations (5) (2019)
8. Inference in Second-Order Identified Models
   Economics Discussion Paper Series, Economics, The University of Manchester
   See also Journal Article Inference in second-order identified models, Journal of Econometrics, Elsevier (2020) View citations (6) (2020)
9. The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification
   Economics Discussion Paper Series, Economics, The University of Manchester
   See also Journal Article The asymptotic properties of GMM and indirect inference under second-order identification, Journal of Econometrics, Elsevier (2018) View citations (22) (2018)

2014

10. Bootstrapping the GMM overidentification test Under first-order underidentification
    CIRANO Working Papers, CIRANO View citations (11)
    See also Journal Article Bootstrapping the GMM overidentification test under first-order underidentification, Journal of Econometrics, Elsevier (2017) View citations (14) (2017)

2012

11. Conditionally heteroskedastic factor models with skewness and leverage effects
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS WITH SKEWNESS AND LEVERAGE EFFECTS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (5) (2013)
12. Testing for Common GARCH Factors
    CIRANO Working Papers, CIRANO View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (1)

2010

13. Bootstrapping realized multivariate volatility measures
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article Bootstrapping realized multivariate volatility measures, Journal of Econometrics, Elsevier (2013) View citations (23) (2013)
14. Large sample properties of the three-step euclidean likelihood estimators under model misspecification
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification, Econometric Reviews, Taylor & Francis Journals (2016) View citations (4) (2016)

Journal Articles

2025

1. Efficiency bounds for moment condition models with mixed identification strength
   Journal of Econometrics, 2025, 248, (C)
   See also Working Paper Efficiency bounds for moment condition models with mixed identification strength, School of Economics and Public Policy Working Papers (2023) (2023)

2024

2. Specification testing for conditional moment restrictions under local identification failure
   Quantitative Economics, 2024, 15, (3), 849-891 View citations (1)

2022

3. Testing the eigenvalue structure of spot and integrated covariance
   Journal of Econometrics, 2022, 229, (2), 363-395

2021

4. Robust estimation with exponentially tilted Hellinger distance
   Journal of Econometrics, 2021, 224, (2), 330-344 View citations (2)
   See also Working Paper Robust Estimation with Exponentially Tilted Hellinger Distance, Discussion Papers (2020) View citations (2) (2020)

2020

5. Efficiency bounds for semiparametric models with singular score functions
   Econometric Reviews, 2020, 39, (6), 612-648 View citations (1)
6. Inference in second-order identified models
   Journal of Econometrics, 2020, 218, (2), 346-372 View citations (6)
   See also Working Paper Inference in Second-Order Identified Models, Economics Discussion Paper Series (2017) (2017)

2019

7. Bootstrapping High-Frequency Jump Tests
   Journal of the American Statistical Association, 2019, 114, (526), 793-803 View citations (5)
   See also Working Paper Bootstrapping high-frequency jump tests, IDEI Working Papers (2017) View citations (1) (2017)

2018

8. The asymptotic properties of GMM and indirect inference under second-order identification
   Journal of Econometrics, 2018, 205, (1), 76-111 View citations (22)
   See also Working Paper The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification, Economics Discussion Paper Series (2017) (2017)

2017

9. Bootstrapping the GMM overidentification test under first-order underidentification
   Journal of Econometrics, 2017, 201, (1), 43-71 View citations (14)
   See also Working Paper Bootstrapping the GMM overidentification test Under first-order underidentification, CIRANO Working Papers (2014) View citations (11) (2014)

2016

10. Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
    Econometric Reviews, 2016, 35, (4), 465-514 View citations (4)
    See also Working Paper Large sample properties of the three-step euclidean likelihood estimators under model misspecification, MPRA Paper (2010) View citations (4) (2010)

2013

11. Bootstrapping realized multivariate volatility measures
    Journal of Econometrics, 2013, 172, (1), 49-65 View citations (23)
    See also Working Paper Bootstrapping realized multivariate volatility measures, MPRA Paper (2010) View citations (10) (2010)
12. CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS WITH SKEWNESS AND LEVERAGE EFFECTS
    Journal of Applied Econometrics, 2013, 28, (7), 1110-1137 View citations (5)
    See also Working Paper Conditionally heteroskedastic factor models with skewness and leverage effects, MPRA Paper (2012) View citations (3) (2012)
13. Testing for Common Conditionally Heteroskedastic Factors
    Econometrica, 2013, 81, (6), 2561-2586 View citations (35)

2012

14. Inference about long run canonical correlations
    Journal of Time Series Analysis, 2012, 33, (4), 665-683 View citations (2)