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 1 296 2 3 12 1,211
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 0 0 175 3 3 10 441
A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments 0 0 0 33 1 1 13 59
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 1 1 3 11 25
Asymptotic distribution-free tests for semiparametric regressions 0 0 0 0 0 1 3 6
Asymptotic distribution-free tests for semiparametric regressions with dependent data 0 0 0 0 2 3 7 14
Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects 0 0 0 44 4 5 10 170
Automatic Locally Robust GMM with Machine-Learning-Generated Regressors 0 0 1 22 3 7 19 35
Automatic Portmanteau Tests with Applications to Market Risk Management 0 0 0 38 1 6 14 109
Backtesting Expected Shortfall: Accounting for Tail Risk 0 3 8 309 6 16 37 823
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 1 152 3 3 9 441
Conditional stochastic dominance testing 0 0 1 63 0 1 8 128
Data-Driven Smooth Tests for the Martingale Difference Hypothesis 0 0 1 113 1 3 10 306
Debiased Machine Learning U-statistics 0 0 2 26 2 12 40 95
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 2 2 13 751
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods 0 1 3 25 3 5 12 30
Generalized spectral tests for the martingale difference hypothesis 0 0 0 18 3 4 22 103
Goodness-of-fit Tests for Linear and Non-linear Time Series Models 0 0 0 703 4 4 10 2,639
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 0 0 0 42 2 7 17 106
Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity 0 0 0 41 4 6 13 89
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity 0 0 0 10 0 1 4 22
Joint Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 81 0 0 3 373
Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 47 1 1 5 174
Locally Robust Semiparametric Estimation 0 0 1 27 3 9 26 213
Locally robust semiparametric estimation 0 0 0 0 4 6 19 24
Locally robust semiparametric estimation 0 0 0 32 1 2 4 171
Locally robust semiparametric estimation 0 0 0 18 1 3 12 105
Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE 0 0 0 29 2 4 16 31
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 22 3 3 4 130
Model Checks Using Residual Marked Empirical Processes 0 0 1 119 1 3 13 425
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 5 5 11 40
Nonparametric Euler Equation Identification and Estimation 0 0 1 52 3 4 14 190
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 1 2 21 122
Nonparametric Euler equation identification and estimation 0 0 0 0 2 2 10 13
Nonparametric Euler equation identification and estimation 0 0 0 41 1 1 6 122
On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions 0 0 0 73 1 3 10 363
On the Existence and Information of Orthogonal Moments 0 0 0 14 2 2 8 22
On the identification of structural linear functionals 0 0 0 16 2 5 15 75
On the identification of structural linear functionals 0 0 0 0 2 4 13 15
Optimal Linear Instrumental Variables Approximations 0 0 0 29 1 3 8 44
PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH 0 0 0 0 2 4 7 25
Pitfalls in Backtesting Historical Simulation VaR Models 0 0 2 18 7 14 27 102
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 30 3 4 11 71
Regression Discontinuity Design with Multivalued Treatments 0 0 0 34 4 6 19 75
Robust Minimum Distance Inference in Structural Models 0 0 0 6 3 5 9 17
SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS 0 0 0 11 3 3 6 65
Semiparametric Estimation of Risk-return Relationships 0 0 0 0 3 4 9 14
Semiparametric Estimation of Risk-return Relationships 0 0 0 1 0 2 43 47
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 1 4 0 1 13 20
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 0 40 3 3 7 129
Specification Analysis of Structural Quantile Regression Models 0 0 1 80 0 1 9 225
Specification Tests of Parametric Dynamic Conditional Quantiles 0 0 0 3 0 1 8 24
Specification tests of parametric dynamic conditional quantiles 0 0 0 3 2 3 15 60
Testing conditional monotonicity in the absence of smoothness 0 0 0 32 1 1 10 113
Testing for Fundamental Vector Moving Average Representations 0 0 0 57 1 1 4 111
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 0 113 1 2 12 428
The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models 0 0 0 1 2 2 5 40
Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 0 2 3 15 41
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing 0 0 0 56 3 13 30 262
Uniform Rates for Kernel Estimators of Weakly Dependent Data 0 0 0 10 0 3 16 42
Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments 0 0 0 26 2 2 8 59
Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference 0 1 1 8 1 4 12 25
Total Working Papers 0 5 26 3,550 126 240 807 12,250

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 2 74 0 0 18 227
A Nonparametric Distribution-Free Test for Serial Independence of Errors 0 0 0 13 3 3 7 55
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model 0 0 0 5 1 2 6 50
A simple and robust estimator for linear regression models with strictly exogenous instruments 0 0 0 1 3 4 6 26
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 27 1 5 18 109
An automatic Portmanteau test for serial correlation 0 1 5 321 0 5 35 957
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications 0 0 0 123 2 2 8 453
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models 0 0 0 22 1 4 14 87
Automatic portmanteau tests with applications to market risk management 0 0 0 15 1 2 9 71
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 2 131 2 6 17 333
Conditional Stochastic Dominance Testing 0 0 0 25 1 3 7 96
Data-driven smooth tests for the martingale difference hypothesis 0 0 0 14 3 4 13 110
Distribution-free tests of stochastic monotonicity 0 0 0 23 4 5 15 119
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve 0 1 2 8 7 8 15 35
Generalized spectral tests for the martingale difference hypothesis 0 1 5 191 5 11 29 513
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models 0 0 1 127 3 3 11 313
IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT 0 0 0 5 1 3 8 25
Identification and estimation of semiparametric two‐step models 0 0 0 12 4 8 17 81
Irregular identification of structural models with nonparametric unobserved heterogeneity 0 0 1 1 1 4 32 39
Joint and marginal specification tests for conditional mean and variance models 0 0 1 77 5 5 16 206
Locally Robust Semiparametric Estimation 0 0 0 17 5 7 27 80
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 10 3 4 14 43
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 0 1 4 3 4 13 26
Nonparametric tests for conditional symmetry in dynamic models 0 0 0 57 0 6 11 151
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS 0 0 1 52 1 2 19 167
Optimal Linear Instrumental Variables Approximations 0 0 0 4 2 4 18 41
Pitfalls in backtesting Historical Simulation VaR models 0 0 0 72 7 15 21 363
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS 0 0 0 66 4 7 18 177
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 2 2 3 9 29
Regression discontinuity design with multivalued treatments 0 0 0 8 3 6 25 42
Robust Backtesting Tests for Value-at-risk Models 0 0 3 68 2 5 20 209
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION 0 0 0 2 0 2 7 17
Semiparametric Estimation of Risk–Return Relationships 0 0 0 1 2 3 11 33
Semiparametric estimation of dynamic conditional expected shortfall models 0 0 0 41 1 3 9 140
Specification analysis of linear quantile models 0 0 1 52 2 2 6 185
Specification tests of parametric dynamic conditional quantiles 0 0 1 68 0 1 6 180
Testing for fundamental vector moving average representations 0 0 0 5 2 4 16 50
Testing single-index restrictions with a focus on average derivatives 0 0 0 30 1 2 11 166
Testing the martingale difference hypothesis using integrated regression functions 0 0 0 51 2 2 9 132
The case for CASE: Estimating heterogeneous systemic effects 0 0 1 3 3 6 10 15
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing 0 0 0 22 1 2 16 151
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators 0 0 0 30 6 8 10 122
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing 0 0 0 35 4 5 7 101
n-uniformly consistent density estimation in nonparametric regression models 0 0 1 57 0 6 10 183
Total Journal Articles 0 3 28 1,972 104 196 624 6,708
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 3 4 9 14
Testing the Martingale Hypothesis 0 0 0 2 1 2 13 31
Total Chapters 0 0 0 3 4 6 22 45

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 1 2 3 45 4 12 31 301
Total Software Items 1 2 3 45 4 12 31 301

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Statistics updated 2026-05-06