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 4 12 1,213
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 0 0 175 0 3 9 441
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 0 2 12 26
Asymptotic distribution-free tests for semiparametric regressions 0 0 0 0 0 2 5 8
Asymptotic distribution-free tests for semiparametric regressions with dependent data 0 0 0 0 0 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 0 7 22 39
Automatic Portmanteau Tests with Applications to Market Risk Management 0 0 0 38 0 1 14 109
Backtesting Expected Shortfall: Accounting for Tail Risk 0 0 7 309 2 9 38 826
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 0 152 1 4 9 442
Conditional stochastic dominance testing 1 1 2 64 1 1 9 129
Data-Driven Smooth Tests for the Martingale Difference Hypothesis 0 0 1 113 0 2 11 307
Debiased Machine Learning U-statistics 0 0 2 26 3 8 44 101
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 1 3 14 752
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods 0 0 3 25 0 3 12 30
Generalized spectral tests for the martingale difference hypothesis 0 1 1 19 1 5 24 105
Goodness-of-fit Tests for Linear and Non-linear Time Series Models 0 0 0 703 1 5 11 2,640
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 0 1 1 43 1 5 20 109
Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity 0 0 0 41 0 5 14 90
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity 0 0 0 10 1 1 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 5 174
Locally Robust Semiparametric Estimation 0 0 0 27 0 3 25 213
Locally robust semiparametric estimation 0 0 0 0 0 6 20 26
Locally robust semiparametric estimation 0 0 0 18 1 2 13 106
Locally robust semiparametric estimation 0 0 0 32 0 2 5 172
Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE 0 0 0 29 1 3 16 32
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 22 0 4 5 131
Model Checks Using Residual Marked Empirical Processes 0 0 1 119 1 2 14 426
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 0 8 13 43
Nonparametric Euler Equation Identification and Estimation 0 0 0 52 2 5 14 192
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 7 9 29 130
Nonparametric Euler equation identification and estimation 0 0 0 41 0 3 8 124
Nonparametric Euler equation identification and estimation 0 0 0 0 0 5 13 16
On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions 0 0 0 73 0 1 10 363
On the Existence and Information of Orthogonal Moments 0 0 0 14 1 5 10 25
On the identification of structural linear functionals 0 0 0 16 0 2 15 75
On the identification of structural linear functionals 0 0 0 0 0 2 12 15
Optimal Linear Instrumental Variables Approximations 0 0 0 29 0 1 8 44
PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH 0 0 0 0 0 2 7 25
Pitfalls in Backtesting Historical Simulation VaR Models 0 0 1 18 0 10 29 105
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 30 0 4 12 72
Regression Discontinuity Design with Multivalued Treatments 0 0 0 34 0 4 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 0 4 7 66
Semiparametric Estimation of Risk-return Relationships 0 0 0 0 0 4 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 1 4 0 0 12 20
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 0 40 1 4 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 0 0 7 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 0 2 11 114
Testing for Fundamental Vector Moving Average Representations 0 0 0 57 0 2 5 112
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 0 113 0 3 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 1 3 16 42
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing 0 0 0 56 0 3 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 0 3 9 60
Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference 0 0 1 8 1 2 12 26
Total Working Papers 1 3 23 3,553 29 199 855 12,323

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 2 16 229
A Nonparametric Distribution-Free Test for Serial Independence of Errors 1 1 1 14 1 4 8 56
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model 0 0 0 5 0 2 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 2 6 323 2 5 34 962
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 1 2 14 88
Automatic portmanteau tests with applications to market risk management 0 0 0 15 0 1 9 71
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 2 131 1 3 16 334
Conditional Stochastic Dominance Testing 0 0 0 25 0 1 7 96
Data-driven smooth tests for the martingale difference hypothesis 0 0 0 14 0 4 14 111
Distribution-free tests of stochastic monotonicity 0 0 0 23 0 5 14 120
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve 0 0 2 8 0 7 15 35
Generalized spectral tests for the martingale difference hypothesis 0 0 5 191 5 10 32 518
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 1 1 1 6 1 3 10 27
Identification and estimation of semiparametric two‐step models 0 0 0 12 0 5 16 82
Irregular identification of structural models with nonparametric unobserved heterogeneity 0 0 1 1 1 2 33 40
Joint and marginal specification tests for conditional mean and variance models 0 0 0 77 1 6 16 207
Locally Robust Semiparametric Estimation 0 0 0 17 36 45 67 120
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 0 5 13 28
Nonparametric tests for conditional symmetry in dynamic models 0 0 0 57 1 1 12 152
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS 0 0 1 52 1 2 20 168
Optimal Linear Instrumental Variables Approximations 0 0 0 4 0 2 18 41
Pitfalls in backtesting Historical Simulation VaR models 0 0 0 72 1 8 21 364
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS 0 0 0 66 0 4 18 177
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 2 0 2 9 29
Regression discontinuity design with multivalued treatments 0 0 0 8 0 4 25 43
Robust Backtesting Tests for Value-at-risk Models 0 0 2 68 0 4 21 211
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION 0 1 1 3 0 2 9 19
Semiparametric Estimation of Risk–Return Relationships 0 0 0 1 0 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 0 3 15 51
Testing single-index restrictions with a focus on average derivatives 0 0 0 30 0 1 10 166
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 1 4 10 16
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing 0 0 0 22 2 4 19 154
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators 0 0 0 30 0 7 11 123
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing 0 0 0 35 0 5 8 102
n-uniformly consistent density estimation in nonparametric regression models 0 0 1 57 0 0 10 183
Total Journal Articles 3 5 27 1,977 56 186 674 6,790
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 1 1 2 0 5 10 16
Testing the Martingale Hypothesis 0 0 0 2 1 2 14 32
Total Chapters 0 1 1 4 1 7 24 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 2 45 0 4 26 301
Total Software Items 0 1 2 45 0 4 26 301

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Statistics updated 2026-07-10