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 9 274 3 6 32 1,137
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 0 0 174 1 3 18 400
A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments 0 0 2 31 0 0 4 38
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 0 1 2 6 6
Asymptotic distribution-free tests for semiparametric regressions with dependent data 0 0 0 0 0 1 1 1
Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects 0 0 1 44 0 0 4 156
Automatic Portmanteau Tests with Applications to Market Risk Management 0 0 3 35 2 2 13 72
Backtesting Expected Shortfall: Accounting for Tail Risk 1 8 30 271 7 18 62 670
Backtesting Parametric Value-at-Risk with Estimation Risk 0 1 3 135 7 12 27 375
Conditional stochastic dominance testing 0 0 0 60 0 0 7 105
Data-Driven Smooth Tests for the Martingale Difference Hypothesis 0 0 0 110 1 1 7 288
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 232 2 5 14 719
Generalized spectral tests for the martingale difference hypothesis 0 1 2 11 0 3 11 36
Goodness-of-fit Tests for Linear and Non-linear Time Series Models 0 0 3 703 0 3 28 2,619
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 0 0 1 35 2 3 13 49
Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity 0 0 1 34 0 0 7 57
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity 0 8 8 8 1 6 6 6
Joint Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 81 5 5 13 362
Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 1 47 0 0 4 161
Locally Robust Semiparametric Estimation 0 0 2 9 5 12 37 53
Locally robust semiparametric estimation 1 2 5 8 2 5 26 43
Locally robust semiparametric estimation 0 0 1 28 2 7 28 80
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 3 17 1 2 16 35
Model Checks Using Residual Marked Empirical Processes 0 0 0 114 1 2 7 392
Nonparametric Euler Equation Identification and Estimation 0 0 1 49 0 1 9 133
Nonparametric Euler Equation Identification andEstimation 0 0 0 43 1 4 21 66
Nonparametric Euler equation identification and estimation 0 0 0 41 2 5 11 90
On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions 0 0 0 73 1 2 6 351
On the identification of structural linear functionals 0 0 0 16 1 2 8 55
Optimal Linear Instrumental Variables Approximations 0 0 3 28 2 3 14 26
PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH 0 0 0 0 1 3 7 8
Pitfalls in Backtesting Historical Simulation VaR Models 0 0 3 4 3 6 24 27
Quantile-Regression Inference With Adaptive Control of Size 0 0 3 23 0 0 23 47
Regression Discontinuity Design with Multivalued Treatments 4 13 13 13 4 9 9 9
SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS 0 0 0 11 2 2 9 54
Semiparametric Estimation of Risk-return Relationships 0 1 1 1 0 1 1 1
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 1 2 36 1 5 14 81
Specification Analysis of Structural Quantile Regression Models 0 1 1 69 1 4 9 181
Specification Tests of Parametric Dynamic Conditional Quantiles 0 0 1 2 0 3 8 9
Specification tests of parametric dynamic conditional quantiles 0 0 0 3 0 4 11 39
Testing conditional monotonicity in the absence of smoothness 0 0 1 31 0 0 5 96
Testing for Fundamental Vector Moving Average Representations 0 0 0 55 1 1 10 88
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 3 108 0 1 14 399
The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models 0 0 1 1 2 2 13 13
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing 0 1 1 54 3 10 26 190
Uniform Rates for Kernel Estimators of Weakly Dependent Data 0 8 8 8 2 17 17 17
Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments 0 0 1 24 0 0 2 40
Total Working Papers 7 46 118 3,154 70 183 662 9,880


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 3 60 0 0 11 167
A Nonparametric Distribution-Free Test for Serial Independence of Errors 0 0 0 12 0 0 3 36
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model 0 1 1 3 0 3 7 35
A simple and robust estimator for linear regression models with strictly exogenous instruments 0 0 0 1 0 1 4 12
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 27 0 1 9 88
An automatic Portmanteau test for serial correlation 1 1 14 232 6 11 56 726
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications 0 0 0 113 0 1 7 407
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models 0 0 0 17 0 1 3 64
Automatic portmanteau tests with applications to market risk management 0 0 0 12 0 4 13 48
Backtesting Parametric Value-at-Risk With Estimation Risk 1 1 9 106 1 1 21 260
Conditional Stochastic Dominance Testing 0 0 0 18 0 0 6 58
Data-driven smooth tests for the martingale difference hypothesis 0 0 0 14 1 1 5 84
Distribution-free tests of stochastic monotonicity 1 1 2 22 2 4 15 81
Generalized spectral tests for the martingale difference hypothesis 0 2 5 150 1 8 20 386
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models 0 1 1 124 1 3 10 286
Identification and estimation of semiparametric two‐step models 0 0 1 10 1 3 14 42
Joint and marginal specification tests for conditional mean and variance models 1 1 3 69 1 1 7 175
Nonparametric tests for conditional symmetry in dynamic models 0 1 1 54 0 1 7 132
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS 0 0 0 49 0 0 4 137
Pitfalls in backtesting Historical Simulation VaR models 0 0 1 69 0 2 16 306
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS 0 0 1 58 0 0 3 138
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 0 3 3 4 4
Robust Backtesting Tests for Value-at-risk Models 1 2 2 52 2 5 12 166
Semiparametric Estimation of Risk–Return Relationships 0 0 0 0 0 0 6 16
Specification analysis of linear quantile models 0 1 4 49 0 5 25 163
Specification tests of parametric dynamic conditional quantiles 2 6 9 59 2 12 26 151
Testing for fundamental vector moving average representations 0 0 0 2 1 3 9 19
Testing single-index restrictions with a focus on average derivatives 0 0 3 28 1 1 9 130
Testing the martingale difference hypothesis using integrated regression functions 0 0 1 51 0 0 8 114
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing 0 3 4 18 1 8 17 104
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators 0 0 1 26 0 0 7 92
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing 0 0 0 33 0 0 2 86
Total Journal Articles 7 21 66 1,538 24 83 366 4,713


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 3 8 10 5 18 60 95
Total Software Items 0 3 8 10 5 18 60 95


Statistics updated 2020-09-04