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 1 1 2 297 1 2 13 1,215
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 0 0 175 0 1 9 442
A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments 0 0 0 33 0 2 12 61
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 1 0 2 14 28
Asymptotic distribution-free tests for semiparametric regressions 0 0 0 0 2 2 7 10
Asymptotic distribution-free tests for semiparametric regressions with dependent data 0 0 0 0 0 1 8 16
Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects 0 0 0 44 1 2 12 172
Automatic Locally Robust GMM with Machine-Learning-Generated Regressors 0 1 1 23 0 2 22 41
Automatic Portmanteau Tests with Applications to Market Risk Management 0 0 0 38 0 1 15 110
Backtesting Expected Shortfall: Accounting for Tail Risk 1 1 7 310 5 8 45 834
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 0 152 2 2 10 444
Conditional stochastic dominance testing 0 0 2 64 2 2 11 131
Data-Driven Smooth Tests for the Martingale Difference Hypothesis 0 0 1 113 1 1 12 308
Debiased Machine Learning U-statistics 0 0 2 26 0 3 45 104
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 0 1 15 753
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods 0 1 3 26 0 1 12 31
Generalized spectral tests for the martingale difference hypothesis 0 0 1 19 0 1 24 106
Goodness-of-fit Tests for Linear and Non-linear Time Series Models 0 0 0 703 0 0 10 2,640
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 0 0 1 43 0 0 19 109
Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity 0 0 0 41 0 1 14 91
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity 0 0 0 10 0 0 5 23
Joint Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 81 0 0 2 373
Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 47 0 1 6 175
Locally Robust Semiparametric Estimation 0 0 0 27 0 1 24 214
Locally robust semiparametric estimation 0 0 0 18 0 0 12 106
Locally robust semiparametric estimation 0 0 0 0 0 0 20 26
Locally robust semiparametric estimation 0 0 0 32 0 4 9 176
Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE 0 0 0 29 0 4 18 36
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 22 0 0 4 131
Model Checks Using Residual Marked Empirical Processes 0 0 1 119 1 3 17 429
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 1 4 17 47
Nonparametric Euler Equation Identification and Estimation 0 0 0 52 0 0 13 192
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 0 4 33 134
Nonparametric Euler equation identification and estimation 0 0 0 0 0 0 11 16
Nonparametric Euler equation identification and estimation 0 0 0 41 1 1 9 125
On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions 0 0 0 73 0 0 10 363
On the identification of structural linear functionals 0 0 0 16 0 1 15 76
On the identification of structural linear functionals 0 0 0 0 0 1 13 16
Optimal Linear Instrumental Variables Approximations 0 0 0 29 1 1 9 45
PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH 0 0 0 0 0 0 7 25
Pitfalls in Backtesting Historical Simulation VaR Models 0 0 0 18 1 4 32 109
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 30 0 0 11 72
Regression Discontinuity Design with Multivalued Treatments 0 0 0 34 0 1 19 76
Robust Minimum Distance Inference in Structural Models 0 0 0 6 0 1 9 18
SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS 0 0 0 11 0 0 6 66
Semiparametric Estimation of Risk-return Relationships 0 0 0 1 0 0 43 47
Semiparametric Estimation of Risk-return Relationships 0 0 0 0 0 2 12 17
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 0 4 0 2 12 22
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 0 40 0 0 8 130
Specification Analysis of Structural Quantile Regression Models 0 0 1 80 0 0 9 225
Specification Tests of Parametric Dynamic Conditional Quantiles 0 0 0 3 1 1 8 25
Specification tests of parametric dynamic conditional quantiles 0 0 0 3 1 1 15 61
Testing conditional monotonicity in the absence of smoothness 0 0 0 32 2 2 13 116
Testing for Fundamental Vector Moving Average Representations 0 0 0 57 2 3 7 115
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 0 113 0 2 14 432
The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models 0 0 0 1 0 1 6 41
Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 0 0 1 15 43
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing 0 0 0 56 1 3 32 265
Uniform Rates for Kernel Estimators of Weakly Dependent Data 0 0 0 10 0 1 17 43
Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments 0 0 0 26 1 2 11 62
When Is Neyman-Orthogonal Inference Feasible? Existence and Relevance 0 0 0 14 0 2 12 27
Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference 0 0 1 8 0 1 11 27
Total Working Papers 2 4 23 3,557 27 90 905 12,413

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 0 74 0 0 11 229
A Nonparametric Distribution-Free Test for Serial Independence of Errors 0 0 1 14 0 0 8 56
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model 0 0 0 5 0 0 7 51
A simple and robust estimator for linear regression models with strictly exogenous instruments 0 0 0 1 0 1 7 27
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 27 0 2 19 111
An automatic Portmanteau test for serial correlation 2 3 8 326 4 5 35 967
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications 0 0 0 123 1 2 8 455
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models 0 0 0 22 0 0 12 88
Automatic portmanteau tests with applications to market risk management 0 0 0 15 0 0 7 71
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 1 131 0 2 15 336
Conditional Stochastic Dominance Testing 0 0 0 25 0 0 6 96
Data-driven smooth tests for the martingale difference hypothesis 0 0 0 14 1 1 14 112
Distribution-free tests of stochastic monotonicity 1 1 1 24 2 3 16 123
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve 0 2 3 10 2 5 18 40
Generalized spectral tests for the martingale difference hypothesis 0 2 6 193 5 11 40 529
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models 0 0 0 127 0 1 10 314
IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT 0 0 1 6 0 4 12 31
Identification and estimation of semiparametric two‐step models 0 0 0 12 0 0 16 82
Irregular identification of structural models with nonparametric unobserved heterogeneity 0 0 1 1 1 3 34 43
Joint and marginal specification tests for conditional mean and variance models 0 0 0 77 0 1 13 208
Locally Robust Semiparametric Estimation 0 2 2 19 0 44 108 164
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 1 1 11 0 1 15 44
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 0 0 4 0 1 13 29
Nonparametric tests for conditional symmetry in dynamic models 0 0 0 57 0 0 12 152
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS 1 1 2 53 1 1 20 169
Optimal Linear Instrumental Variables Approximations 0 0 0 4 0 3 20 44
Pitfalls in backtesting Historical Simulation VaR models 0 0 0 72 1 1 21 365
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS 0 0 0 66 0 0 16 177
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 2 0 0 7 29
Regression discontinuity design with multivalued treatments 0 0 0 8 0 2 24 45
Robust Backtesting Tests for Value-at-risk Models 0 0 1 68 0 0 20 211
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION 0 0 1 3 0 1 10 20
Semiparametric Estimation of Risk–Return Relationships 0 0 0 1 0 1 12 36
Semiparametric estimation of dynamic conditional expected shortfall models 0 0 0 41 0 1 9 141
Specification analysis of linear quantile models 0 0 0 52 0 0 5 185
Specification tests of parametric dynamic conditional quantiles 0 0 0 68 0 2 6 182
Testing for fundamental vector moving average representations 0 0 0 5 0 0 15 51
Testing single-index restrictions with a focus on average derivatives 0 0 0 30 0 0 9 166
Testing the martingale difference hypothesis using integrated regression functions 0 0 0 51 0 2 11 134
The case for CASE: Estimating heterogeneous systemic effects 0 0 0 3 0 0 9 16
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing 0 0 0 22 1 1 19 155
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators 0 0 0 30 0 1 12 124
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing 0 0 0 35 0 2 10 104
n-uniformly consistent density estimation in nonparametric regression models 0 0 1 57 1 1 11 184
Total Journal Articles 4 12 30 1,989 20 106 722 6,896
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 1 2 0 0 10 16
Testing the Martingale Hypothesis 0 0 0 2 0 0 12 32
Total Chapters 0 0 1 4 0 0 22 48

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 1 3 46 0 2 25 303
Total Software Items 0 1 3 46 0 2 25 303

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Statistics updated 2026-10-11