EconPapers    
Economics at your fingertips  
 

Details about Juan Carlos Escanciano

E-mail:
Workplace:Departamento de Economía (Department of Economics), Universidad Carlos III de Madrid (Carlos III University of Madrid), (more information at EDIRC)

Access statistics for papers by Juan Carlos Escanciano.

Last updated 2019-03-29. Update your information in the RePEc Author Service.

Short-id: pes22


Jump to Journal Articles Edited books Editor

Working Papers

2018

  1. Locally Robust Semiparametric Estimation
    Papers, arXiv.org Downloads View citations (4)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) Downloads
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) Downloads View citations (9)
  2. Optimal Linear Instrumental Variables Approximations
    Papers, arXiv.org Downloads
  3. Quantile-Regression Inference With Adaptive Control of Size
    Papers, arXiv.org Downloads

2017

  1. 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 Downloads
    See also Journal Article in Stata Journal (2017)
  2. 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 Downloads
  3. 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 Downloads

2016

  1. 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 Downloads
    See also Journal Article in Econometrics Journal (2018)

2015

  1. Backtesting Expected Shortfall: Accounting for Tail Risk
    CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington Downloads View citations (4)
  2. 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 Downloads
  3. Nonparametric Euler Equation Identification andEstimation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (2)
  4. Testing for Fundamental Vector Moving Average Representations
    CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington Downloads View citations (4)
    See also Journal Article in Quantitative Economics (2017)
  5. 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 Downloads

2013

  1. On the identification of structural linear functionals
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
  2. SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS
    CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2017)
  3. Set inferences and sensitivity analysis in semiparametric conditionally identified models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)

2012

  1. Pitfalls in Backtesting Historical Simulation VaR Models
    CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington Downloads
    See also Journal Article in Journal of Banking & Finance (2012)
  2. 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 Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2014)

2011

  1. A Simple Test for Identification in GMM under Conditional Moment Restrictions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  2. Conditional stochastic dominance testing
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2013)

2010

  1. Specification Analysis of Structural Quantile Regression Models
    Working Papers, University of Toronto, Department of Economics Downloads View citations (1)
  2. Specification tests of parametric dynamic conditional quantiles
    Post-Print, HAL Downloads View citations (12)
    Also in CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (2008) Downloads

    See also Journal Article in Journal of Econometrics (2010)
  3. Testing conditional monotonicity in the absence of smoothness
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (1)
  4. 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 Downloads

2009

  1. 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 Downloads
    See also Journal Article in Econometric Theory (2010)
  2. PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH
    CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington Downloads

2008

  1. Backtesting Parametric Value-at-Risk with Estimation Risk
    CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2010)

2007

  1. 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 Downloads View citations (1)
  2. Data-Driven Smooth Tests for the Martingale Difference Hypothesis
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2010)
  3. Estimation risk effects on backtesting for parametric value-at-risk models
    Working Papers, Department of Economics, City University London Downloads View citations (8)
  4. 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 Downloads View citations (3)

2006

  1. Joint Diagnostic Tests for Conditional Mean and Variance Specifications
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
  2. Testing the Martingale Difference Hypothesis Using Integrated Regression Functions
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2006)

2005

  1. A Consistent Diagnostic Test for Regression Models Using Projections
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
    See also Journal Article in Econometric Theory (2006)
  2. Goodness-of-fit Tests for Linear and Non-linear Time Series Models
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (9)
    See also Journal Article in Journal of the American Statistical Association (2006)
  3. On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)

2004

  1. Model Checks Using Residual Marked Empirical Processes
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (8)

2003

  1. Generalized spectral tests for the martingale difference hypothesis
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2006)

Journal Articles

2018

  1. A simple and robust estimator for linear regression models with strictly exogenous instruments
    Econometrics Journal, 2018, 21, (1), 36-54 Downloads View citations (1)
    See also Working Paper (2016)

2017

  1. Automatic portmanteau tests with applications to market risk management
    Stata Journal, 2017, 17, (4), 901-915 Downloads
    See also Working Paper (2017)
  2. Semiparametric Estimation of Risk–Return Relationships
    Journal of Business & Economic Statistics, 2017, 35, (1), 40-52 Downloads View citations (1)
    See also Working Paper (2013)
  3. Testing for fundamental vector moving average representations
    Quantitative Economics, 2017, 8, (1), 149-180 Downloads View citations (6)
    See also Working Paper (2015)

2016

  1. Identification and estimation of semiparametric two‐step models
    Quantitative Economics, 2016, 7, (2), 561-589 Downloads View citations (8)

2015

  1. A Nonparametric Distribution-Free Test for Serial Independence of Errors
    Econometric Reviews, 2015, 34, (6-10), 1011-1034 Downloads View citations (1)
  2. A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model
    Econometric Reviews, 2015, 34, (6-10), 734-762 Downloads

2014

  1. Specification analysis of linear quantile models
    Journal of Econometrics, 2014, 178, (P3), 495-507 Downloads View citations (3)
  2. Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
    Journal of Econometrics, 2014, 178, (P3), 426-443 Downloads View citations (17)
    See also Working Paper (2012)

2013

  1. Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models
    Journal of Business & Economic Statistics, 2013, 31, (4), 426-437 Downloads View citations (2)
  2. Conditional Stochastic Dominance Testing
    Journal of Business & Economic Statistics, 2013, 31, (1), 16-28 Downloads View citations (6)
    See also Working Paper (2011)

2012

  1. Distribution-free tests of stochastic monotonicity
    Journal of Econometrics, 2012, 170, (1), 68-75 Downloads View citations (11)
  2. Pitfalls in backtesting Historical Simulation VaR models
    Journal of Banking & Finance, 2012, 36, (8), 2233-2244 Downloads View citations (14)
    See also Working Paper (2012)

2011

  1. Robust Backtesting Tests for Value-at-risk Models
    Journal of Financial Econometrics, 2011, 9, (1), 132-161 Downloads View citations (17)

2010

  1. ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
    Econometric Theory, 2010, 26, (03), 744-773 Downloads View citations (3)
    See also Working Paper (2009)
  2. Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
    Computational Statistics & Data Analysis, 2010, 54, (3), 625-636 Downloads View citations (5)
  3. Backtesting Parametric Value-at-Risk With Estimation Risk
    Journal of Business & Economic Statistics, 2010, 28, (1), 36-51 Downloads View citations (31)
    See also Working Paper (2008)
  4. Data-driven smooth tests for the martingale difference hypothesis
    Computational Statistics & Data Analysis, 2010, 54, (8), 1983-1998 Downloads View citations (4)
    See also Working Paper (2007)
  5. Specification tests of parametric dynamic conditional quantiles
    Journal of Econometrics, 2010, 159, (1), 209-221 Downloads View citations (13)
    See also Working Paper (2010)
  6. Testing single-index restrictions with a focus on average derivatives
    Journal of Econometrics, 2010, 156, (2), 377-391 Downloads View citations (7)

2009

  1. An automatic Portmanteau test for serial correlation
    Journal of Econometrics, 2009, 151, (2), 140-149 Downloads View citations (62)
  2. ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
    Econometric Theory, 2009, 25, (01), 162-194 Downloads View citations (12)
  3. QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
    Econometric Theory, 2009, 25, (02), 561-570 Downloads View citations (14)
  4. Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators
    Economics Bulletin, 2009, 29, (3), 1889-1895 Downloads

2008

  1. Joint and marginal specification tests for conditional mean and variance models
    Journal of Econometrics, 2008, 143, (1), 74-87 Downloads View citations (8)
  2. Semiparametric estimation of dynamic conditional expected shortfall models
    International Journal of Monetary Economics and Finance, 2008, 1, (2), 106-120 Downloads View citations (4)

2007

  1. Nonparametric tests for conditional symmetry in dynamic models
    Journal of Econometrics, 2007, 141, (2), 652-682 Downloads View citations (30)
  2. Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
    Journal of Multivariate Analysis, 2007, 98, (7), 1321-1336 Downloads View citations (10)

2006

  1. A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
    Econometric Theory, 2006, 22, (06), 1030-1051 Downloads View citations (28)
    See also Working Paper (2005)
  2. Generalized spectral tests for the martingale difference hypothesis
    Journal of Econometrics, 2006, 134, (1), 151-185 Downloads View citations (61)
    See also Working Paper (2003)
  3. Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
    Journal of the American Statistical Association, 2006, 101, 531-541 Downloads View citations (25)
    See also Working Paper (2005)
  4. Testing the martingale difference hypothesis using integrated regression functions
    Computational Statistics & Data Analysis, 2006, 51, (4), 2278-2294 Downloads View citations (3)
    See also Working Paper (2006)

Edited books

2017

  1. Regression Discontinuity Designs, vol 38
    Advances in Econometrics, Emerald Publishing Ltd Downloads

Editor

  1. Advances in Econometrics
    Emerald Publishing Ltd
  2. Advances in Econometrics
    Emerald Publishing Ltd
 
Page updated 2019-04-25