Details about Juan Carlos Escanciano

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 2024-12-10. Update your information in the RePEc Author Service.

Short-id: pes22

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Working Papers

2025

1. Automatic Debiased Estimation with Machine Learning-Generated Regressors
   Papers, arXiv.org
2. Debiased Machine Learning U-statistics
   Papers, arXiv.org View citations (4)
3. Extending the Scope of Inference About Predictive Ability to Machine Learning Methods
   Papers, arXiv.org

2024

4. Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE
   Papers, arXiv.org

2023

5. On the Existence and Information of Orthogonal Moments
   Papers, arXiv.org
6. Robust Minimum Distance Inference in Structural Models
   Papers, arXiv.org

2020

7. 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)
8. Locally Robust Semiparametric Estimation
   Papers, arXiv.org View citations (17)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) View citations (22)
   CeMMAP working papers, Institute for Fiscal Studies (2016) View citations (9)
   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 (35) (2022)
9. 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)
   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)
   Boston College Working Papers in Economics, Boston College Department of Economics (2020) View citations (13)
   See also Journal Article NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION, Econometric Theory, Cambridge University Press (2021) View citations (3) (2021)
10. 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)
11. 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)
12. Two-Step Semiparametric Empirical Likelihood Inference
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (11)
13. Uniform Rates for Kernel Estimators of Weakly Dependent Data
    Papers, arXiv.org View citations (1)

2019

14. 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

15. 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

16. 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)
17. 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
18. 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) View citations (2) (2021)
19. 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 LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2013) View citations (1)
    CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (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

20. 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

21. Asymptotic distribution-free tests for semiparametric regressions
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
22. 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)
23. 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
24. 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)
25. 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
26. 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

27. 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)
28. 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

29. 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 (22)
    See also Journal Article Pitfalls in backtesting Historical Simulation VaR models, Journal of Banking & Finance, Elsevier (2012) View citations (24) (2012)
30. 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

31. 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)
32. Conditional stochastic dominance testing
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
    See also Journal Article Conditional Stochastic Dominance Testing, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (13) (2013)

2010

33. Specification Analysis of Structural Quantile Regression Models
    Working Papers, University of Toronto, Department of Economics View citations (1)
34. Specification tests of parametric dynamic conditional quantiles
    Post-Print, HAL View citations (27)
    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 (31) (2010)
35. Testing conditional monotonicity in the absence of smoothness
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
36. 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

37. 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 (11) (2010)
38. 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

39. 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 (65) (2010)

2007

40. 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)
41. 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)
42. Estimation risk effects on backtesting for parametric value-at-risk models
    Working Papers, Department of Economics, City St George's, University of London View citations (8)
43. 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

44. Joint Diagnostic Tests for Conditional Mean and Variance Specifications
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
45. 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

46. 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 (65) (2006)
47. 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 (43) (2006)
48. 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

49. Model Checks Using Residual Marked Empirical Processes
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (11)

2003

50. Generalized spectral tests for the martingale difference hypothesis
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (8)
    See also Journal Article Generalized spectral tests for the martingale difference hypothesis, Journal of Econometrics, Elsevier (2006) View citations (111) (2006)

Journal Articles

2023

1. 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)
2. 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)
3. The case for CASE: Estimating heterogeneous systemic effects
   Journal of Banking & Finance, 2023, 157, (C)

2022

4. 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)
5. Locally Robust Semiparametric Estimation
   Econometrica, 2022, 90, (4), 1501-1535 View citations (35)
   See also Working Paper Locally Robust Semiparametric Estimation, Papers (2020) View citations (17) (2020)
6. SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION
   Econometric Theory, 2022, 38, (2), 301-338 View citations (1)

2021

7. IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT
   Econometric Theory, 2021, 37, (3), 464-494 View citations (4)
8. Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
   Journal of Business & Economic Statistics, 2021, 39, (2), 453-465 View citations (2)
   See also Working Paper Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk, CAEPR Working Papers (2017) (2017)
9. 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)
10. 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

11. 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

12. 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

13. 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)
14. 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)
15. 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

16. Identification and estimation of semiparametric two‐step models
    Quantitative Economics, 2016, 7, (2), 561-589 View citations (22)

2015

17. A Nonparametric Distribution-Free Test for Serial Independence of Errors
    Econometric Reviews, 2015, 34, (6-10), 1011-1034 View citations (1)
18. A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model
    Econometric Reviews, 2015, 34, (6-10), 734-762 View citations (3)

2014

19. Specification analysis of linear quantile models
    Journal of Econometrics, 2014, 178, (P3), 495-507 View citations (24)
20. 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

21. 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)
22. Conditional Stochastic Dominance Testing
    Journal of Business & Economic Statistics, 2013, 31, (1), 16-28 View citations (13)
    See also Working Paper Conditional stochastic dominance testing, UC3M Working papers. Economics (2011) View citations (1) (2011)

2012

23. Distribution-free tests of stochastic monotonicity
    Journal of Econometrics, 2012, 170, (1), 68-75 View citations (34)
24. Pitfalls in backtesting Historical Simulation VaR models
    Journal of Banking & Finance, 2012, 36, (8), 2233-2244 View citations (24)
    See also Working Paper Pitfalls in Backtesting Historical Simulation VaR Models, CAEPR Working Papers (2012) View citations (22) (2012)
25. n-uniformly consistent density estimation in nonparametric regression models
    Journal of Econometrics, 2012, 167, (2), 305-316 View citations (11)

2011

26. Robust Backtesting Tests for Value-at-risk Models
    Journal of Financial Econometrics, 2011, 9, (1), 132-161 View citations (31)

2010

27. ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
    Econometric Theory, 2010, 26, (3), 744-773 View citations (11)
    See also Working Paper ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, CAEPR Working Papers (2009) (2009)
28. 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)
29. Backtesting Parametric Value-at-Risk With Estimation Risk
    Journal of Business & Economic Statistics, 2010, 28, (1), 36-51 View citations (65)
    See also Working Paper Backtesting Parametric Value-at-Risk with Estimation Risk, CAEPR Working Papers (2008) (2008)
30. 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)
31. Specification tests of parametric dynamic conditional quantiles
    Journal of Econometrics, 2010, 159, (1), 209-221 View citations (31)
    See also Working Paper Specification tests of parametric dynamic conditional quantiles, Post-Print (2010) View citations (27) (2010)
32. Testing single-index restrictions with a focus on average derivatives
    Journal of Econometrics, 2010, 156, (2), 377-391 View citations (10)

2009

33. An automatic Portmanteau test for serial correlation
    Journal of Econometrics, 2009, 151, (2), 140-149 View citations (145)
34. ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
    Econometric Theory, 2009, 25, (1), 162-194 View citations (22)
35. QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
    Econometric Theory, 2009, 25, (2), 561-570 View citations (20)
36. Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators
    Economics Bulletin, 2009, 29, (3), 1889-1895

2008

37. Joint and marginal specification tests for conditional mean and variance models
    Journal of Econometrics, 2008, 143, (1), 74-87 View citations (21)
38. Semiparametric estimation of dynamic conditional expected shortfall models
    International Journal of Monetary Economics and Finance, 2008, 1, (2), 106-120 View citations (5)

2007

39. Nonparametric tests for conditional symmetry in dynamic models
    Journal of Econometrics, 2007, 141, (2), 652-682 View citations (35)
40. Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
    Journal of Multivariate Analysis, 2007, 98, (7), 1321-1336 View citations (14)

2006

41. A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
    Econometric Theory, 2006, 22, (6), 1030-1051 View citations (65)
    See also Working Paper A Consistent Diagnostic Test for Regression Models Using Projections, Faculty Working Papers (2005) View citations (1) (2005)
42. Generalized spectral tests for the martingale difference hypothesis
    Journal of Econometrics, 2006, 134, (1), 151-185 View citations (111)
    See also Working Paper Generalized spectral tests for the martingale difference hypothesis, DES - Working Papers. Statistics and Econometrics. WS (2003) View citations (8) (2003)
43. Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
    Journal of the American Statistical Association, 2006, 101, 531-541 View citations (43)
    See also Working Paper Goodness-of-fit Tests for Linear and Non-linear Time Series Models, Faculty Working Papers (2005) View citations (9) (2005)
44. 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

1. 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

2. Testing the Martingale Hypothesis
   Palgrave Macmillan View citations (22)

Software Items

2019

1. MMEIV: Stata module to perform Multiple Marginal Effects IV Estimation
   Statistical Software Components, Boston College Department of Economics

Editor

1. Advances in Econometrics
   Emerald Group Publishing Limited