Access Statistics for Juan Carlos Escanciano

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Consistent Diagnostic Test for Regression Models Using Projections 0 0 1 295 1 3 8 1,205
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 0 0 175 0 1 2 433
A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments 0 0 0 33 1 2 5 51
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 1 2 2 2 16
Asymptotic distribution-free tests for semiparametric regressions 0 0 0 0 0 1 1 4
Asymptotic distribution-free tests for semiparametric regressions with dependent data 0 0 0 0 2 2 3 10
Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects 0 0 0 44 1 2 2 162
Automatic Debiased Estimation with Machine Learning-Generated Regressors 0 0 2 22 1 2 9 20
Automatic Portmanteau Tests with Applications to Market Risk Management 0 0 0 38 0 0 1 95
Backtesting Expected Shortfall: Accounting for Tail Risk 0 0 3 303 3 8 19 797
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 2 152 0 2 4 435
Conditional stochastic dominance testing 1 1 1 63 2 2 2 122
Data-Driven Smooth Tests for the Martingale Difference Hypothesis 0 0 0 112 2 2 3 298
Debiased Machine Learning U-statistics 1 2 4 26 5 10 22 69
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 2 3 4 741
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods 1 2 2 24 2 3 5 21
Generalized spectral tests for the martingale difference hypothesis 0 0 0 18 2 12 13 94
Goodness-of-fit Tests for Linear and Non-linear Time Series Models 0 0 0 703 0 0 2 2,630
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 0 0 0 42 2 3 5 93
Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity 0 0 0 41 3 4 5 81
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity 0 0 0 10 0 0 0 18
Joint Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 81 0 0 1 371
Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 47 1 1 1 170
Locally Robust Semiparametric Estimation 0 0 1 27 1 3 7 193
Locally robust semiparametric estimation 0 0 0 32 0 1 4 168
Locally robust semiparametric estimation 0 0 0 0 3 4 6 10
Locally robust semiparametric estimation 0 0 1 18 3 4 8 98
Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE 0 0 26 29 1 3 16 20
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 22 0 0 2 127
Model Checks Using Residual Marked Empirical Processes 1 1 1 119 2 5 6 417
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 2 2 4 32
Nonparametric Euler Equation Identification and Estimation 0 0 1 52 3 5 8 184
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 1 1 1 102
Nonparametric Euler equation identification and estimation 0 0 0 0 1 2 5 7
Nonparametric Euler equation identification and estimation 0 0 0 41 1 1 1 117
On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions 0 0 0 73 1 3 3 356
On the Existence and Information of Orthogonal Moments 0 0 0 14 1 1 2 16
On the identification of structural linear functionals 0 0 0 16 0 3 4 64
On the identification of structural linear functionals 0 0 0 0 1 1 4 4
Optimal Linear Instrumental Variables Approximations 0 0 1 29 0 0 1 36
PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH 0 0 0 0 0 0 1 18
Pitfalls in Backtesting Historical Simulation VaR Models 0 0 2 18 2 6 10 83
Quantile-Regression Inference With Adaptive Control of Size 0 0 1 30 1 1 3 62
Regression Discontinuity Design with Multivalued Treatments 0 0 0 34 6 6 9 63
Robust Minimum Distance Inference in Structural Models 0 0 0 6 1 3 4 11
SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS 0 0 0 11 0 1 2 61
Semiparametric Estimation of Risk-return Relationships 0 0 0 0 1 2 3 7
Semiparametric Estimation of Risk-return Relationships 0 0 0 1 4 5 5 9
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 0 40 0 0 1 122
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 1 4 2 2 6 12
Specification Analysis of Structural Quantile Regression Models 0 0 0 79 1 2 4 218
Specification Tests of Parametric Dynamic Conditional Quantiles 0 0 0 3 0 4 6 21
Specification tests of parametric dynamic conditional quantiles 0 0 0 3 2 3 4 49
Testing conditional monotonicity in the absence of smoothness 0 0 0 32 1 1 1 104
Testing for Fundamental Vector Moving Average Representations 0 0 0 57 0 1 3 109
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 0 113 3 5 7 423
The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models 0 0 0 1 1 1 2 36
Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 0 1 2 4 30
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing 0 0 0 56 2 2 3 235
Uniform Rates for Kernel Estimators of Weakly Dependent Data 0 0 0 10 1 4 4 30
Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments 0 0 1 26 0 0 2 51
Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 7 1 4 6 19
Total Working Papers 4 6 51 3,539 83 159 291 11,660

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS 0 0 5 74 2 5 16 221
A Nonparametric Distribution-Free Test for Serial Independence of Errors 0 0 0 13 0 2 2 50
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model 0 0 1 5 0 1 2 45
A simple and robust estimator for linear regression models with strictly exogenous instruments 0 0 0 1 0 0 1 20
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 27 0 1 3 93
An automatic Portmanteau test for serial correlation 1 1 9 319 4 8 26 939
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications 0 0 0 123 1 2 7 448
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models 0 0 0 22 0 1 3 76
Automatic portmanteau tests with applications to market risk management 0 0 0 15 0 1 3 64
Backtesting Parametric Value-at-Risk With Estimation Risk 1 2 4 131 2 4 10 323
Conditional Stochastic Dominance Testing 0 0 0 25 0 1 2 90
Data-driven smooth tests for the martingale difference hypothesis 0 0 0 14 2 3 4 101
Distribution-free tests of stochastic monotonicity 0 0 0 23 0 1 4 108
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve 0 1 2 7 0 2 7 23
Generalized spectral tests for the martingale difference hypothesis 0 0 3 187 2 6 15 495
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models 0 0 1 127 1 2 4 306
IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT 0 0 1 5 0 1 4 20
Identification and estimation of semiparametric two‐step models 0 0 0 12 1 2 4 68
Irregular identification of structural models with nonparametric unobserved heterogeneity 1 1 1 1 4 5 7 13
Joint and marginal specification tests for conditional mean and variance models 0 0 2 77 1 1 9 196
Locally Robust Semiparametric Estimation 0 0 1 17 4 10 18 65
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 10 1 3 3 32
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 0 1 4 1 2 5 18
Nonparametric tests for conditional symmetry in dynamic models 0 0 0 57 1 2 3 142
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS 0 0 0 51 4 9 12 158
Optimal Linear Instrumental Variables Approximations 0 0 0 4 1 3 4 27
Pitfalls in backtesting Historical Simulation VaR models 0 0 0 72 1 1 6 345
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS 0 0 0 66 3 3 10 164
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 2 0 0 5 22
Regression discontinuity design with multivalued treatments 0 0 2 8 4 5 14 25
Robust Backtesting Tests for Value-at-risk Models 0 0 2 67 0 2 4 193
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION 0 0 0 2 0 0 0 10
Semiparametric Estimation of Risk–Return Relationships 0 0 0 1 1 4 5 27
Semiparametric estimation of dynamic conditional expected shortfall models 0 0 0 41 1 1 2 133
Specification analysis of linear quantile models 0 0 1 52 0 1 2 181
Specification tests of parametric dynamic conditional quantiles 0 0 1 68 0 0 4 176
Testing for fundamental vector moving average representations 0 0 0 5 2 7 9 43
Testing single-index restrictions with a focus on average derivatives 0 0 0 30 1 1 3 158
Testing the martingale difference hypothesis using integrated regression functions 0 0 0 51 2 2 3 125
The case for CASE: Estimating heterogeneous systemic effects 0 1 1 3 0 1 3 7
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing 0 0 1 22 1 3 5 138
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators 0 0 0 30 0 0 2 112
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing 0 0 0 35 1 1 1 95
n-uniformly consistent density estimation in nonparametric regression models 1 1 1 57 1 1 2 174
Total Journal Articles 4 7 40 1,963 50 111 258 6,269
1 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 0 0 1 0 0 1 6
Testing the Martingale Hypothesis 0 0 0 2 1 3 6 22
Total Chapters 0 0 0 3 1 3 7 28

Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
MMEIV: Stata module to perform Multiple Marginal Effects IV Estimation 0 0 4 43 2 5 25 282
Total Software Items 0 0 4 43 2 5 25 282

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Statistics updated 2025-12-06