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 1 2 296 0 4 11 1,208
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 0 0 175 1 5 7 438
A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments 0 0 0 33 2 8 12 58
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 1 4 8 8 22
Asymptotic distribution-free tests for semiparametric regressions 0 0 0 0 0 1 2 5
Asymptotic distribution-free tests for semiparametric regressions with dependent data 0 0 0 0 1 3 4 11
Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects 0 0 0 44 2 4 5 165
Automatic Debiased Estimation with Machine Learning-Generated Regressors 0 0 2 22 6 9 16 28
Automatic Portmanteau Tests with Applications to Market Risk Management 0 0 0 38 6 8 9 103
Backtesting Expected Shortfall: Accounting for Tail Risk 2 3 5 306 4 13 25 807
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 1 152 2 3 6 438
Conditional stochastic dominance testing 0 1 1 63 4 7 7 127
Data-Driven Smooth Tests for the Martingale Difference Hypothesis 1 1 1 113 5 7 8 303
Debiased Machine Learning U-statistics 0 1 3 26 9 19 34 83
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 7 10 11 749
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods 0 1 2 24 1 6 9 25
Generalized spectral tests for the martingale difference hypothesis 0 0 0 18 4 7 18 99
Goodness-of-fit Tests for Linear and Non-linear Time Series Models 0 0 0 703 3 5 6 2,635
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 0 0 0 42 6 8 11 99
Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity 0 0 0 41 2 5 7 83
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity 0 0 0 10 3 3 3 21
Joint Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 81 2 2 3 373
Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 47 2 4 4 173
Locally Robust Semiparametric Estimation 0 0 1 27 8 12 17 204
Locally robust semiparametric estimation 0 0 0 0 8 11 13 18
Locally robust semiparametric estimation 0 0 0 18 4 7 9 102
Locally robust semiparametric estimation 0 0 0 32 0 1 3 169
Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE 0 0 0 29 2 8 12 27
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 22 0 0 1 127
Model Checks Using Residual Marked Empirical Processes 0 1 1 119 1 7 10 422
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 2 5 6 35
Nonparametric Euler Equation Identification and Estimation 0 0 1 52 1 5 10 186
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 10 19 19 120
Nonparametric Euler equation identification and estimation 0 0 0 41 3 5 5 121
Nonparametric Euler equation identification and estimation 0 0 0 0 3 5 8 11
On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions 0 0 0 73 4 5 7 360
On the Existence and Information of Orthogonal Moments 0 0 0 14 3 5 6 20
On the identification of structural linear functionals 0 0 0 16 3 6 10 70
On the identification of structural linear functionals 0 0 0 0 4 8 11 11
Optimal Linear Instrumental Variables Approximations 0 0 1 29 4 5 6 41
PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH 0 0 0 0 3 3 3 21
Pitfalls in Backtesting Historical Simulation VaR Models 0 0 2 18 4 7 15 88
Quantile-Regression Inference With Adaptive Control of Size 0 0 1 30 4 6 8 67
Regression Discontinuity Design with Multivalued Treatments 0 0 0 34 0 12 15 69
Robust Minimum Distance Inference in Structural Models 0 0 0 6 1 2 5 12
SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS 0 0 0 11 0 1 3 62
Semiparametric Estimation of Risk-return Relationships 0 0 0 0 3 4 6 10
Semiparametric Estimation of Risk-return Relationships 0 0 0 1 27 40 41 45
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 1 4 5 9 13 19
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 0 40 1 4 5 126
Specification Analysis of Structural Quantile Regression Models 0 1 1 80 4 7 10 224
Specification Tests of Parametric Dynamic Conditional Quantiles 0 0 0 3 2 2 7 23
Specification tests of parametric dynamic conditional quantiles 0 0 0 3 7 10 12 57
Testing conditional monotonicity in the absence of smoothness 0 0 0 32 8 9 9 112
Testing for Fundamental Vector Moving Average Representations 0 0 0 57 1 1 3 110
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 0 113 2 6 10 426
The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models 0 0 0 1 1 3 4 38
Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 0 8 9 12 38
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing 0 0 0 56 11 16 17 249
Uniform Rates for Kernel Estimators of Weakly Dependent Data 0 0 0 10 7 10 13 39
Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments 0 0 0 26 6 6 7 57
Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 7 1 3 8 21
Total Working Papers 3 10 26 3,545 242 433 605 12,010

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 3 8 22 227
A Nonparametric Distribution-Free Test for Serial Independence of Errors 0 0 0 13 1 2 4 52
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model 0 0 1 5 2 3 5 48
A simple and robust estimator for linear regression models with strictly exogenous instruments 0 0 0 1 1 2 2 22
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 27 8 11 14 104
An automatic Portmanteau test for serial correlation 1 2 8 320 8 17 36 952
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications 0 0 0 123 2 4 8 451
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models 0 0 0 22 6 7 10 83
Automatic portmanteau tests with applications to market risk management 0 0 0 15 3 5 8 69
Backtesting Parametric Value-at-Risk With Estimation Risk 0 1 3 131 2 6 13 327
Conditional Stochastic Dominance Testing 0 0 0 25 2 3 5 93
Data-driven smooth tests for the martingale difference hypothesis 0 0 0 14 2 7 9 106
Distribution-free tests of stochastic monotonicity 0 0 0 23 4 6 10 114
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve 0 0 2 7 3 4 10 27
Generalized spectral tests for the martingale difference hypothesis 2 3 5 190 3 9 21 502
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models 0 0 1 127 4 5 8 310
IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT 0 0 1 5 1 2 6 22
Identification and estimation of semiparametric two‐step models 0 0 0 12 4 6 9 73
Irregular identification of structural models with nonparametric unobserved heterogeneity 0 1 1 1 22 26 29 35
Joint and marginal specification tests for conditional mean and variance models 0 0 2 77 5 6 12 201
Locally Robust Semiparametric Estimation 0 0 0 17 6 12 25 73
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 10 3 8 10 39
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 0 1 4 4 5 9 22
Nonparametric tests for conditional symmetry in dynamic models 0 0 0 57 2 4 5 145
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS 1 1 1 52 5 11 19 165
Optimal Linear Instrumental Variables Approximations 0 0 0 4 9 11 14 37
Pitfalls in backtesting Historical Simulation VaR models 0 0 0 72 3 4 9 348
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS 0 0 0 66 5 9 15 170
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 2 4 4 8 26
Regression discontinuity design with multivalued treatments 0 0 1 8 7 15 22 36
Robust Backtesting Tests for Value-at-risk Models 1 1 3 68 6 11 15 204
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION 0 0 0 2 5 5 5 15
Semiparametric Estimation of Risk–Return Relationships 0 0 0 1 1 4 8 30
Semiparametric estimation of dynamic conditional expected shortfall models 0 0 0 41 2 5 6 137
Specification analysis of linear quantile models 0 0 1 52 1 2 4 183
Specification tests of parametric dynamic conditional quantiles 0 0 1 68 2 3 7 179
Testing for fundamental vector moving average representations 0 0 0 5 3 5 12 46
Testing single-index restrictions with a focus on average derivatives 0 0 0 30 3 7 9 164
Testing the martingale difference hypothesis using integrated regression functions 0 0 0 51 3 7 8 130
The case for CASE: Estimating heterogeneous systemic effects 0 0 1 3 1 2 5 9
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing 0 0 1 22 7 12 16 149
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators 0 0 0 30 2 2 3 114
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing 0 0 0 35 1 2 2 96
n-uniformly consistent density estimation in nonparametric regression models 0 1 1 57 2 4 5 177
Total Journal Articles 5 10 40 1,969 173 293 482 6,512
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 5 10
Testing the Martingale Hypothesis 0 0 0 2 6 8 13 29
Total Chapters 0 0 0 3 9 12 18 39

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 4 9 29 289
Total Software Items 0 0 4 43 4 9 29 289

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Statistics updated 2026-02-12