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Details about Juan Carlos Escanciano

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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 2022-02-09. Update your information in the RePEc Author Service.

Short-id: pes22


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Working Papers

2020

  1. Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity
    Papers, arXiv.org Downloads
  2. Locally Robust Semiparametric Estimation
    Papers, arXiv.org Downloads View citations (16)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) Downloads View citations (22)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) Downloads View citations (55)
  3. Nonparametric Euler Equation Identi?cation and Estimation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (4)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (8)
    Boston College Working Papers in Economics, Boston College Department of Economics (2020) Downloads View citations (13)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2015) Downloads View citations (1)

    See also Journal Article NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION, Econometric Theory, Cambridge University Press (2021) Downloads View citations (3) (2021)
  4. Optimal Linear Instrumental Variables Approximations
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article Optimal Linear Instrumental Variables Approximations, Journal of Econometrics, Elsevier (2021) Downloads View citations (3) (2021)
  5. Regression Discontinuity Design with Multivalued Treatments
    Papers, arXiv.org Downloads View citations (1)
  6. Two-Step Semiparametric Empirical Likelihood Inference
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (9)
  7. Uniform Rates for Kernel Estimators of Weakly Dependent Data
    Papers, arXiv.org Downloads View citations (1)

2019

  1. Quantile-Regression Inference With Adaptive Control of Size
    Papers, arXiv.org Downloads 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) Downloads View citations (1) (2019)

2018

  1. 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 (6)

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 View citations (1)
    See also Journal Article Automatic portmanteau tests with applications to market risk management, Stata Journal, StataCorp LP (2017) Downloads View citations (1) (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
    See also Journal Article Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) Downloads (2021)
  4. 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) Downloads View citations (1)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2013) Downloads View citations (1)

    See also Journal Article Semiparametric Estimation of Risk–Return Relationships, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) Downloads View citations (2) (2017)

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 A simple and robust estimator for linear regression models with strictly exogenous instruments, Econometrics Journal, Royal Economic Society (2018) Downloads View citations (8) (2018)

2015

  1. Asymptotic distribution-free tests for semiparametric regressions
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Downloads
  2. 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 (12)
  3. 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
  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 (5)
    See also Journal Article Testing for fundamental vector moving average representations, Quantitative Economics, Econometric Society (2017) Downloads View citations (14) (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 View citations (2)
  2. 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 (12)

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 View citations (17)
    See also Journal Article Pitfalls in backtesting Historical Simulation VaR models, Journal of Banking & Finance, Elsevier (2012) Downloads View citations (21) (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 Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing, Journal of Econometrics, Elsevier (2014) Downloads View citations (40) (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 (4)
  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 Conditional Stochastic Dominance Testing, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) Downloads View citations (9) (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 (22)
    Also in CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (2008) Downloads View citations (1)

    See also Journal Article Specification tests of parametric dynamic conditional quantiles, Journal of Econometrics, Elsevier (2010) Downloads View citations (25) (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 (2)
  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 ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, Econometric Theory, Cambridge University Press (2010) Downloads View citations (10) (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 View citations (1)

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 Backtesting Parametric Value-at-Risk With Estimation Risk, Journal of Business & Economic Statistics, American Statistical Association (2010) Downloads View citations (58) (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 Data-driven smooth tests for the martingale difference hypothesis, Computational Statistics & Data Analysis, Elsevier (2010) Downloads View citations (5) (2010)
  3. 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 (4)

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 (4)
    See also Journal Article Testing the martingale difference hypothesis using integrated regression functions, Computational Statistics & Data Analysis, Elsevier (2006) Downloads View citations (4) (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 A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS, Econometric Theory, Cambridge University Press (2006) Downloads View citations (55) (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 Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models, Journal of the American Statistical Association, American Statistical Association (2006) Downloads View citations (42) (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 (11)

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 (8)
    See also Journal Article Generalized spectral tests for the martingale difference hypothesis, Journal of Econometrics, Elsevier (2006) Downloads View citations (98) (2006)

Journal Articles

2021

  1. IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT
    Econometric Theory, 2021, 37, (3), 464-494 Downloads View citations (2)
  2. Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
    Journal of Business & Economic Statistics, 2021, 39, (2), 453-465 Downloads
    See also Working Paper Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk, CAEPR Working Papers (2017) Downloads (2017)
  3. NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
    Econometric Theory, 2021, 37, (5), 851-891 Downloads View citations (3)
    See also Working Paper Nonparametric Euler Equation Identi?cation and Estimation, Cambridge Working Papers in Economics (2020) Downloads View citations (4) (2020)
  4. Optimal Linear Instrumental Variables Approximations
    Journal of Econometrics, 2021, 221, (1), 223-246 Downloads View citations (3)
    See also Working Paper Optimal Linear Instrumental Variables Approximations, Papers (2020) Downloads View citations (1) (2020)

2019

  1. Quantile-Regression Inference With Adaptive Control of Size
    Journal of the American Statistical Association, 2019, 114, (527), 1382-1393 Downloads View citations (1)
    See also Working Paper Quantile-Regression Inference With Adaptive Control of Size, Papers (2019) Downloads View citations (1) (2019)

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 (8)
    See also Working Paper A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments, CAEPR Working Papers (2016) Downloads (2016)

2017

  1. Automatic portmanteau tests with applications to market risk management
    Stata Journal, 2017, 17, (4), 901-915 Downloads View citations (1)
    See also Working Paper Automatic Portmanteau Tests with Applications to Market Risk Management, CAEPR Working Papers (2017) Downloads View citations (1) (2017)
  2. Semiparametric Estimation of Risk–Return Relationships
    Journal of Business & Economic Statistics, 2017, 35, (1), 40-52 Downloads View citations (2)
    See also Working Paper Semiparametric Estimation of Risk-return Relationships, LIDAM Reprints ISBA (2017) View citations (2) (2017)
  3. Testing for fundamental vector moving average representations
    Quantitative Economics, 2017, 8, (1), 149-180 Downloads View citations (14)
    See also Working Paper Testing for Fundamental Vector Moving Average Representations, CAEPR Working Papers (2015) Downloads View citations (5) (2015)

2016

  1. Identification and estimation of semiparametric two‐step models
    Quantitative Economics, 2016, 7, (2), 561-589 Downloads View citations (21)

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 View citations (2)

2014

  1. Specification analysis of linear quantile models
    Journal of Econometrics, 2014, 178, (P3), 495-507 Downloads View citations (19)
  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 (40)
    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) Downloads View citations (4) (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 (7)
  2. Conditional Stochastic Dominance Testing
    Journal of Business & Economic Statistics, 2013, 31, (1), 16-28 Downloads View citations (9)
    See also Working Paper Conditional stochastic dominance testing, UC3M Working papers. Economics (2011) Downloads View citations (1) (2011)

2012

  1. Distribution-free tests of stochastic monotonicity
    Journal of Econometrics, 2012, 170, (1), 68-75 Downloads View citations (33)
  2. Pitfalls in backtesting Historical Simulation VaR models
    Journal of Banking & Finance, 2012, 36, (8), 2233-2244 Downloads View citations (21)
    See also Working Paper Pitfalls in Backtesting Historical Simulation VaR Models, CAEPR Working Papers (2012) Downloads View citations (17) (2012)

2011

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

2010

  1. ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
    Econometric Theory, 2010, 26, (3), 744-773 Downloads View citations (10)
    See also Working Paper ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, CAEPR Working Papers (2009) Downloads (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 (58)
    See also Working Paper Backtesting Parametric Value-at-Risk with Estimation Risk, CAEPR Working Papers (2008) Downloads (2008)
  4. Data-driven smooth tests for the martingale difference hypothesis
    Computational Statistics & Data Analysis, 2010, 54, (8), 1983-1998 Downloads View citations (5)
    See also Working Paper Data-Driven Smooth Tests for the Martingale Difference Hypothesis, Faculty Working Papers (2007) Downloads View citations (2) (2007)
  5. Specification tests of parametric dynamic conditional quantiles
    Journal of Econometrics, 2010, 159, (1), 209-221 Downloads View citations (25)
    See also Working Paper Specification tests of parametric dynamic conditional quantiles, Post-Print (2010) Downloads View citations (22) (2010)
  6. Testing single-index restrictions with a focus on average derivatives
    Journal of Econometrics, 2010, 156, (2), 377-391 Downloads View citations (9)

2009

  1. An automatic Portmanteau test for serial correlation
    Journal of Econometrics, 2009, 151, (2), 140-149 Downloads View citations (127)
  2. ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
    Econometric Theory, 2009, 25, (1), 162-194 Downloads View citations (20)
  3. QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
    Econometric Theory, 2009, 25, (2), 561-570 Downloads View citations (19)
  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 (19)

2007

  1. Nonparametric tests for conditional symmetry in dynamic models
    Journal of Econometrics, 2007, 141, (2), 652-682 Downloads View citations (34)
  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 (13)

2006

  1. A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
    Econometric Theory, 2006, 22, (6), 1030-1051 Downloads View citations (55)
    See also Working Paper A Consistent Diagnostic Test for Regression Models Using Projections, Faculty Working Papers (2005) Downloads View citations (1) (2005)
  2. Generalized spectral tests for the martingale difference hypothesis
    Journal of Econometrics, 2006, 134, (1), 151-185 Downloads View citations (98)
    See also Working Paper Generalized spectral tests for the martingale difference hypothesis, DES - Working Papers. Statistics and Econometrics. WS (2003) Downloads View citations (8) (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 (42)
    See also Working Paper Goodness-of-fit Tests for Linear and Non-linear Time Series Models, Faculty Working Papers (2005) Downloads View citations (9) (2005)
  4. Testing the martingale difference hypothesis using integrated regression functions
    Computational Statistics & Data Analysis, 2006, 51, (4), 2278-2294 Downloads View citations (4)
    See also Working Paper Testing the Martingale Difference Hypothesis Using Integrated Regression Functions, Faculty Working Papers (2006) Downloads View citations (4) (2006)

Chapters

2009

  1. Testing the Martingale Hypothesis
    Palgrave Macmillan View citations (19)

Software Items

2019

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

Editor

  1. Advances in Econometrics
    Emerald Group Publishing Limited
 
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