Details about Juan Carlos Escanciano
Access statistics for papers by Juan Carlos Escanciano.
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Short-id: pes22
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Working Papers
2024
- Extending the Scope of Inference About Predictive Ability to Machine Learning Methods
Papers, arXiv.org
- Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE
Papers, arXiv.org
2023
- Automatic Locally Robust Estimation with Generated Regressors
Papers, arXiv.org
- Machine Learning Inference on Inequality of Opportunity
Papers, arXiv.org View citations (4)
- On the Existence and Information of Orthogonal Moments
Papers, arXiv.org
- Robust Minimum Distance Inference in Structural Models
Papers, arXiv.org
2020
- Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity
Papers, arXiv.org 
See also Journal Article Irregular identification of structural models with nonparametric unobserved heterogeneity, Journal of Econometrics, Elsevier (2023) (2023)
- Locally Robust Semiparametric Estimation
Papers, arXiv.org View citations (17)
Also in CeMMAP working papers, Institute for Fiscal Studies (2016) View citations (9) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) View citations (22) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (56)
See also Journal Article Locally Robust Semiparametric Estimation, Econometrica, Econometric Society (2022) View citations (29) (2022)
- Nonparametric Euler Equation Identi?cation and Estimation
Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
Also in CeMMAP working papers, Institute for Fiscal Studies (2015) View citations (1) Boston College Working Papers in Economics, Boston College Department of Economics (2020) View citations (13) Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2015) View citations (1) CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (8)
See also Journal Article NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION, Econometric Theory, Cambridge University Press (2021) View citations (3) (2021)
- Optimal Linear Instrumental Variables Approximations
Papers, arXiv.org View citations (1)
See also Journal Article Optimal Linear Instrumental Variables Approximations, Journal of Econometrics, Elsevier (2021) View citations (3) (2021)
- Regression Discontinuity Design with Multivalued Treatments
Papers, arXiv.org View citations (1)
See also Journal Article Regression discontinuity design with multivalued treatments, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) View citations (1) (2023)
- Two-Step Semiparametric Empirical Likelihood Inference
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (10)
- Uniform Rates for Kernel Estimators of Weakly Dependent Data
Papers, arXiv.org View citations (1)
2019
- Quantile-Regression Inference With Adaptive Control of Size
Papers, arXiv.org View citations (1)
See also Journal Article Quantile-Regression Inference With Adaptive Control of Size, Journal of the American Statistical Association, Taylor & Francis Journals (2019) View citations (1) (2019)
2018
- Asymptotic distribution-free tests for semiparametric regressions with dependent data
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
2017
- Automatic Portmanteau Tests with Applications to Market Risk Management
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (2)
See also Journal Article Automatic portmanteau tests with applications to market risk management, Stata Journal, StataCorp LLC (2017) View citations (2) (2017)
- Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington 
See also Journal Article Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) (2021)
- Semiparametric Estimation of Risk-return Relationships
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)
Also in CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (2013) View citations (1) LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2013) View citations (1)
See also Journal Article Semiparametric Estimation of Risk–Return Relationships, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (2) (2017)
2016
- A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington 
See also Journal Article A simple and robust estimator for linear regression models with strictly exogenous instruments, Econometrics Journal, Royal Economic Society (2018) View citations (10) (2018)
2015
- Asymptotic distribution-free tests for semiparametric regressions
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
- Backtesting Expected Shortfall: Accounting for Tail Risk
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (13)
- Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington
- Testing for Fundamental Vector Moving Average Representations
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (5)
See also Journal Article Testing for fundamental vector moving average representations, Quantitative Economics, Econometric Society (2017) View citations (15) (2017)
- Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington
- Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (4)
2013
- On the identification of structural linear functionals
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
Also in CeMMAP working papers, Institute for Fiscal Studies (2013)
- Set inferences and sensitivity analysis in semiparametric conditionally identified models
CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (12)
Also in CeMMAP working papers, Institute for Fiscal Studies (2013) View citations (1)
2012
- Pitfalls in Backtesting Historical Simulation VaR Models
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (21)
See also Journal Article Pitfalls in backtesting Historical Simulation VaR models, Journal of Banking & Finance, Elsevier (2012) View citations (21) (2012)
- Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing
Boston College Working Papers in Economics, Boston College Department of Economics View citations (4)
See also Journal Article Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing, Journal of Econometrics, Elsevier (2014) View citations (41) (2014)
2011
- A Simple Test for Identification in GMM under Conditional Moment Restrictions
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (4)
See also Chapter A Simple Test for Identification in GMM under Conditional Moment Restrictions, Advances in Econometrics, Emerald Group Publishing Limited (2012) View citations (1) (2012)
2010
- Specification Analysis of Structural Quantile Regression Models
Working Papers, University of Toronto, Department of Economics View citations (1)
- Specification tests of parametric dynamic conditional quantiles
Post-Print, HAL View citations (25)
Also in CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (2008) View citations (1)
See also Journal Article Specification tests of parametric dynamic conditional quantiles, Journal of Econometrics, Elsevier (2010) View citations (29) (2010)
- The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington
2009
- ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington 
See also Journal Article ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, Econometric Theory, Cambridge University Press (2010) View citations (10) (2010)
- PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (1)
2008
- Backtesting Parametric Value-at-Risk with Estimation Risk
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington 
See also Journal Article Backtesting Parametric Value-at-Risk With Estimation Risk, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (63) (2010)
2007
- Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (1)
- Data-Driven Smooth Tests for the Martingale Difference Hypothesis
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)
See also Journal Article Data-driven smooth tests for the martingale difference hypothesis, Computational Statistics & Data Analysis, Elsevier (2010) View citations (5) (2010)
- Estimation risk effects on backtesting for parametric value-at-risk models
Working Papers, Department of Economics, City University London View citations (8)
- Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications
CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (4)
2006
- Joint Diagnostic Tests for Conditional Mean and Variance Specifications
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
- Testing the Martingale Difference Hypothesis Using Integrated Regression Functions
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (4)
See also Journal Article Testing the martingale difference hypothesis using integrated regression functions, Computational Statistics & Data Analysis, Elsevier (2006) View citations (4) (2006)
2005
- A Consistent Diagnostic Test for Regression Models Using Projections
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
See also Journal Article A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS, Econometric Theory, Cambridge University Press (2006) View citations (58) (2006)
- Goodness-of-fit Tests for Linear and Non-linear Time Series Models
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (9)
See also Journal Article Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models, Journal of the American Statistical Association, American Statistical Association (2006) View citations (42) (2006)
- On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
2004
- Model Checks Using Residual Marked Empirical Processes
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (11)
Journal Articles
2023
- Irregular identification of structural models with nonparametric unobserved heterogeneity
Journal of Econometrics, 2023, 234, (1), 106-127 
See also Working Paper Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity, Papers (2020) (2020)
- Regression discontinuity design with multivalued treatments
Journal of Applied Econometrics, 2023, 38, (6), 840-856 View citations (1)
See also Working Paper Regression Discontinuity Design with Multivalued Treatments, Papers (2020) View citations (1) (2020)
- The case for CASE: Estimating heterogeneous systemic effects
Journal of Banking & Finance, 2023, 157, (C)
2022
- Generalized band spectrum estimation with an application to the New Keynesian Phillips curve
Journal of Applied Econometrics, 2022, 37, (5), 1055-1078 View citations (2)
- Locally Robust Semiparametric Estimation
Econometrica, 2022, 90, (4), 1501-1535 View citations (29)
See also Working Paper Locally Robust Semiparametric Estimation, Papers (2020) View citations (17) (2020)
- SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION
Econometric Theory, 2022, 38, (2), 301-338 View citations (1)
2021
- IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT
Econometric Theory, 2021, 37, (3), 464-494 View citations (4)
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
Journal of Business & Economic Statistics, 2021, 39, (2), 453-465 
See also Working Paper Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk, CAEPR Working Papers (2017) (2017)
- NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
Econometric Theory, 2021, 37, (5), 851-891 View citations (3)
See also Working Paper Nonparametric Euler Equation Identi?cation and Estimation, Cambridge Working Papers in Economics (2020) View citations (4) (2020)
- Optimal Linear Instrumental Variables Approximations
Journal of Econometrics, 2021, 221, (1), 223-246 View citations (3)
See also Working Paper Optimal Linear Instrumental Variables Approximations, Papers (2020) View citations (1) (2020)
2019
- Quantile-Regression Inference With Adaptive Control of Size
Journal of the American Statistical Association, 2019, 114, (527), 1382-1393 View citations (1)
See also Working Paper Quantile-Regression Inference With Adaptive Control of Size, Papers (2019) View citations (1) (2019)
2018
- A simple and robust estimator for linear regression models with strictly exogenous instruments
Econometrics Journal, 2018, 21, (1), 36-54 View citations (10)
See also Working Paper A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments, CAEPR Working Papers (2016) (2016)
2017
- Automatic portmanteau tests with applications to market risk management
Stata Journal, 2017, 17, (4), 901-915 View citations (2)
See also Working Paper Automatic Portmanteau Tests with Applications to Market Risk Management, CAEPR Working Papers (2017) View citations (2) (2017)
- Semiparametric Estimation of Risk–Return Relationships
Journal of Business & Economic Statistics, 2017, 35, (1), 40-52 View citations (2)
See also Working Paper Semiparametric Estimation of Risk-return Relationships, LIDAM Reprints ISBA (2017) View citations (2) (2017)
- Testing for fundamental vector moving average representations
Quantitative Economics, 2017, 8, (1), 149-180 View citations (15)
See also Working Paper Testing for Fundamental Vector Moving Average Representations, CAEPR Working Papers (2015) View citations (5) (2015)
2016
- Identification and estimation of semiparametric two‐step models
Quantitative Economics, 2016, 7, (2), 561-589 View citations (21)
2015
- A Nonparametric Distribution-Free Test for Serial Independence of Errors
Econometric Reviews, 2015, 34, (6-10), 1011-1034 View citations (1)
- A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model
Econometric Reviews, 2015, 34, (6-10), 734-762 View citations (2)
2014
- Specification analysis of linear quantile models
Journal of Econometrics, 2014, 178, (P3), 495-507 View citations (22)
- Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
Journal of Econometrics, 2014, 178, (P3), 426-443 View citations (41)
See also Working Paper Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing, Boston College Working Papers in Economics (2012) View citations (4) (2012)
2013
- Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models
Journal of Business & Economic Statistics, 2013, 31, (4), 426-437 View citations (8)
- Conditional Stochastic Dominance Testing
Journal of Business & Economic Statistics, 2013, 31, (1), 16-28 View citations (10)
2012
- Distribution-free tests of stochastic monotonicity
Journal of Econometrics, 2012, 170, (1), 68-75 View citations (34)
- Pitfalls in backtesting Historical Simulation VaR models
Journal of Banking & Finance, 2012, 36, (8), 2233-2244 View citations (21)
See also Working Paper Pitfalls in Backtesting Historical Simulation VaR Models, CAEPR Working Papers (2012) View citations (21) (2012)
- n-uniformly consistent density estimation in nonparametric regression models
Journal of Econometrics, 2012, 167, (2), 305-316 View citations (11)
2011
- Robust Backtesting Tests for Value-at-risk Models
Journal of Financial Econometrics, 2011, 9, (1), 132-161 View citations (31)
2010
- ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
Econometric Theory, 2010, 26, (3), 744-773 View citations (10)
See also Working Paper ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, CAEPR Working Papers (2009) (2009)
- Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
Computational Statistics & Data Analysis, 2010, 54, (3), 625-636 View citations (6)
- Backtesting Parametric Value-at-Risk With Estimation Risk
Journal of Business & Economic Statistics, 2010, 28, (1), 36-51 View citations (63)
See also Working Paper Backtesting Parametric Value-at-Risk with Estimation Risk, CAEPR Working Papers (2008) (2008)
- Data-driven smooth tests for the martingale difference hypothesis
Computational Statistics & Data Analysis, 2010, 54, (8), 1983-1998 View citations (5)
See also Working Paper Data-Driven Smooth Tests for the Martingale Difference Hypothesis, Faculty Working Papers (2007) View citations (2) (2007)
- Specification tests of parametric dynamic conditional quantiles
Journal of Econometrics, 2010, 159, (1), 209-221 View citations (29)
See also Working Paper Specification tests of parametric dynamic conditional quantiles, Post-Print (2010) View citations (25) (2010)
- Testing single-index restrictions with a focus on average derivatives
Journal of Econometrics, 2010, 156, (2), 377-391 View citations (10)
2009
- An automatic Portmanteau test for serial correlation
Journal of Econometrics, 2009, 151, (2), 140-149 View citations (136)
- ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
Econometric Theory, 2009, 25, (1), 162-194 View citations (22)
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
Econometric Theory, 2009, 25, (2), 561-570 View citations (20)
- Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators
Economics Bulletin, 2009, 29, (3), 1889-1895
2008
- Joint and marginal specification tests for conditional mean and variance models
Journal of Econometrics, 2008, 143, (1), 74-87 View citations (20)
- Semiparametric estimation of dynamic conditional expected shortfall models
International Journal of Monetary Economics and Finance, 2008, 1, (2), 106-120 View citations (5)
2007
- Nonparametric tests for conditional symmetry in dynamic models
Journal of Econometrics, 2007, 141, (2), 652-682 View citations (35)
- Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
Journal of Multivariate Analysis, 2007, 98, (7), 1321-1336 View citations (13)
2006
- A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
Econometric Theory, 2006, 22, (6), 1030-1051 View citations (58)
See also Working Paper A Consistent Diagnostic Test for Regression Models Using Projections, Faculty Working Papers (2005) View citations (1) (2005)
- Generalized spectral tests for the martingale difference hypothesis
Journal of Econometrics, 2006, 134, (1), 151-185 View citations (106)
- Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
Journal of the American Statistical Association, 2006, 101, 531-541 View citations (42)
See also Working Paper Goodness-of-fit Tests for Linear and Non-linear Time Series Models, Faculty Working Papers (2005) View citations (9) (2005)
- Testing the martingale difference hypothesis using integrated regression functions
Computational Statistics & Data Analysis, 2006, 51, (4), 2278-2294 View citations (4)
See also Working Paper Testing the Martingale Difference Hypothesis Using Integrated Regression Functions, Faculty Working Papers (2006) View citations (4) (2006)
Chapters
2012
- A Simple Test for Identification in GMM under Conditional Moment Restrictions
A chapter in Essays in Honor of Jerry Hausman, 2012, pp 455-477 View citations (1)
See also Working Paper A Simple Test for Identification in GMM under Conditional Moment Restrictions, Cowles Foundation for Research in Economics, Yale University (2011) View citations (4) (2011)
2009
- Testing the Martingale Hypothesis
Palgrave Macmillan View citations (20)
Software Items
2019
- MMEIV: Stata module to perform Multiple Marginal Effects IV Estimation
Statistical Software Components, Boston College Department of Economics
Editor
- Advances in Econometrics
Emerald Group Publishing Limited
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