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 1 3 12 1,212
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 0 0 175 0 3 10 441
A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments 0 0 0 33 0 1 13 59
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 1 1 2 12 26
Asymptotic distribution-free tests for semiparametric regressions 0 0 0 0 2 2 5 8
Asymptotic distribution-free tests for semiparametric regressions with dependent data 0 0 0 0 1 3 8 15
Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects 0 0 0 44 0 4 10 170
Automatic Locally Robust GMM with Machine-Learning-Generated Regressors 0 0 0 22 4 8 22 39
Automatic Portmanteau Tests with Applications to Market Risk Management 0 0 0 38 0 3 14 109
Backtesting Expected Shortfall: Accounting for Tail Risk 0 3 8 309 1 15 37 824
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 0 152 0 3 8 441
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 4 11 307
Debiased Machine Learning U-statistics 0 0 2 26 3 8 42 98
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 0 2 13 751
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods 0 1 3 25 0 4 12 30
Generalized spectral tests for the martingale difference hypothesis 1 1 1 19 1 5 23 104
Goodness-of-fit Tests for Linear and Non-linear Time Series Models 0 0 0 703 0 4 10 2,639
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 1 1 1 43 2 5 19 108
Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity 0 0 0 41 1 7 14 90
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity 0 0 0 10 0 0 4 22
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 5 174
Locally Robust Semiparametric Estimation 0 0 0 27 0 6 25 213
Locally robust semiparametric estimation 0 0 0 18 0 3 12 105
Locally robust semiparametric estimation 0 0 0 32 1 3 5 172
Locally robust semiparametric estimation 0 0 0 0 2 7 21 26
Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE 0 0 0 29 0 2 16 31
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 22 1 4 5 131
Model Checks Using Residual Marked Empirical Processes 0 0 1 119 0 3 13 425
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 3 8 14 43
Nonparametric Euler Equation Identification and Estimation 0 0 1 52 0 3 14 190
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 1 2 22 123
Nonparametric Euler equation identification and estimation 0 0 0 0 3 5 13 16
Nonparametric Euler equation identification and estimation 0 0 0 41 2 3 8 124
On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions 0 0 0 73 0 2 10 363
On the Existence and Information of Orthogonal Moments 0 0 0 14 2 4 10 24
On the identification of structural linear functionals 0 0 0 0 0 3 13 15
On the identification of structural linear functionals 0 0 0 16 0 3 15 75
Optimal Linear Instrumental Variables Approximations 0 0 0 29 0 2 8 44
PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH 0 0 0 0 0 3 7 25
Pitfalls in Backtesting Historical Simulation VaR Models 0 0 1 18 3 16 29 105
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 30 1 5 12 72
Regression Discontinuity Design with Multivalued Treatments 0 0 0 34 0 6 18 75
Robust Minimum Distance Inference in Structural Models 0 0 0 6 0 3 9 17
SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS 0 0 0 11 1 4 7 66
Semiparametric Estimation of Risk-return Relationships 0 0 0 0 1 5 10 15
Semiparametric Estimation of Risk-return Relationships 0 0 0 1 0 0 43 47
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 0 40 0 3 7 129
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 1 4 0 1 13 20
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 0 2 15 60
Testing conditional monotonicity in the absence of smoothness 0 0 0 32 1 2 11 114
Testing for Fundamental Vector Moving Average Representations 0 0 0 57 1 2 5 112
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 0 113 2 4 12 430
The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models 0 0 0 1 0 2 5 40
Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 0 0 2 15 41
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing 0 0 0 56 0 10 30 262
Uniform Rates for Kernel Estimators of Weakly Dependent Data 0 0 0 10 0 0 16 42
Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments 0 0 0 26 1 3 9 60
Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference 0 1 1 8 0 4 12 25
Total Working Papers 2 7 24 3,552 44 230 840 12,294

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 1 74 1 1 18 228
A Nonparametric Distribution-Free Test for Serial Independence of Errors 0 0 0 13 0 3 7 55
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model 0 0 0 5 1 3 7 51
A simple and robust estimator for linear regression models with strictly exogenous instruments 0 0 0 1 0 3 6 26
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 27 0 1 18 109
An automatic Portmanteau test for serial correlation 1 1 6 322 3 5 34 960
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications 0 0 0 123 0 2 7 453
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models 0 0 0 22 0 3 14 87
Automatic portmanteau tests with applications to market risk management 0 0 0 15 0 2 9 71
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 2 131 0 4 15 333
Conditional Stochastic Dominance Testing 0 0 0 25 0 2 7 96
Data-driven smooth tests for the martingale difference hypothesis 0 0 0 14 1 5 14 111
Distribution-free tests of stochastic monotonicity 0 0 0 23 1 5 15 120
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve 0 1 2 8 0 8 15 35
Generalized spectral tests for the martingale difference hypothesis 0 0 5 191 0 6 27 513
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models 0 0 0 127 0 3 10 313
IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT 0 0 0 5 1 3 9 26
Identification and estimation of semiparametric two‐step models 0 0 0 12 1 6 18 82
Irregular identification of structural models with nonparametric unobserved heterogeneity 0 0 1 1 0 1 32 39
Joint and marginal specification tests for conditional mean and variance models 0 0 0 77 0 5 15 206
Locally Robust Semiparametric Estimation 0 0 0 17 4 10 31 84
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 10 0 3 14 43
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 0 0 4 2 5 13 28
Nonparametric tests for conditional symmetry in dynamic models 0 0 0 57 0 0 11 151
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS 0 0 1 52 0 1 19 167
Optimal Linear Instrumental Variables Approximations 0 0 0 4 0 3 18 41
Pitfalls in backtesting Historical Simulation VaR models 0 0 0 72 0 10 20 363
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS 0 0 0 66 0 6 18 177
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 2 0 3 9 29
Regression discontinuity design with multivalued treatments 0 0 0 8 1 5 25 43
Robust Backtesting Tests for Value-at-risk Models 0 0 3 68 2 5 22 211
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION 1 1 1 3 2 2 9 19
Semiparametric Estimation of Risk–Return Relationships 0 0 0 1 2 4 13 35
Semiparametric estimation of dynamic conditional expected shortfall models 0 0 0 41 0 1 8 140
Specification analysis of linear quantile models 0 0 1 52 0 2 6 185
Specification tests of parametric dynamic conditional quantiles 0 0 1 68 0 0 6 180
Testing for fundamental vector moving average representations 0 0 0 5 1 5 16 51
Testing single-index restrictions with a focus on average derivatives 0 0 0 30 0 1 11 166
Testing the martingale difference hypothesis using integrated regression functions 0 0 0 51 0 2 9 132
The case for CASE: Estimating heterogeneous systemic effects 0 0 1 3 0 4 10 15
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing 0 0 0 22 1 2 17 152
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators 0 0 0 30 1 9 11 123
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing 0 0 0 35 1 6 8 102
n-uniformly consistent density estimation in nonparametric regression models 0 0 1 57 0 2 10 183
Total Journal Articles 2 3 26 1,974 26 162 631 6,734
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 1 1 1 2 2 5 11 16
Testing the Martingale Hypothesis 0 0 0 2 0 2 13 31
Total Chapters 1 1 1 4 2 7 24 47

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 45 0 9 28 301
Total Software Items 0 1 3 45 0 9 28 301

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Statistics updated 2026-06-04