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 3 293 1 1 7 1,195
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 1 1 175 1 4 7 420
A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments 0 0 0 33 0 0 1 46
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 1 1 1 1 1 1 1 13
Asymptotic distribution-free tests for semiparametric regressions 0 0 0 0 0 0 0 3
Asymptotic distribution-free tests for semiparametric regressions with dependent data 0 0 0 0 0 0 0 7
Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects 0 0 0 44 0 0 0 160
Automatic Portmanteau Tests with Applications to Market Risk Management 0 0 2 38 0 3 5 93
Backtesting Expected Shortfall: Accounting for Tail Risk 0 2 6 297 2 8 22 765
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 1 148 0 0 7 425
Conditional stochastic dominance testing 0 0 1 62 0 0 3 120
Data-Driven Smooth Tests for the Martingale Difference Hypothesis 0 0 0 112 1 1 1 295
Generalized spectral tests for the martingale difference hypothesis 0 0 0 18 0 1 4 79
Goodness-of-fit Tests for Linear and Non-linear Time Series Models 0 0 0 703 0 0 0 2,626
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 0 0 0 42 0 0 5 87
Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity 0 0 0 40 0 0 3 74
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity 0 0 0 10 0 0 2 18
Joint Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 81 0 0 0 370
Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 47 0 0 0 169
Locally Robust Semiparametric Estimation 0 0 1 23 0 0 16 181
Locally robust semiparametric estimation 0 0 0 32 0 0 12 163
Locally robust semiparametric estimation 0 0 1 17 1 1 5 88
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 1 22 0 0 14 125
Model Checks Using Residual Marked Empirical Processes 0 0 1 117 0 0 2 408
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 0 0 0 28
Nonparametric Euler Equation Identification and Estimation 0 0 0 51 0 0 1 175
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 0 1 4 101
Nonparametric Euler equation identification and estimation 0 0 0 41 0 0 5 115
On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions 0 0 0 73 0 0 0 353
On the identification of structural linear functionals 0 0 0 16 0 0 1 60
Optimal Linear Instrumental Variables Approximations 0 0 0 28 0 0 0 35
PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH 0 0 0 0 0 0 0 17
Pitfalls in Backtesting Historical Simulation VaR Models 0 0 3 15 1 5 13 69
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 29 0 0 0 59
Regression Discontinuity Design with Multivalued Treatments 0 0 2 33 0 0 10 52
SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS 0 0 0 11 0 0 0 59
Semiparametric Estimation of Risk-return Relationships 0 0 0 1 0 0 0 4
Semiparametric Estimation of Risk-return Relationships 0 0 0 0 0 0 0 4
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 1 40 0 0 3 116
Specification Analysis of Structural Quantile Regression Models 0 0 3 76 0 1 13 211
Specification Tests of Parametric Dynamic Conditional Quantiles 0 0 0 3 0 1 1 15
Specification tests of parametric dynamic conditional quantiles 0 0 0 3 0 0 0 45
Testing conditional monotonicity in the absence of smoothness 0 0 0 32 0 0 0 103
Testing for Fundamental Vector Moving Average Representations 0 0 0 57 0 0 0 105
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 0 113 0 0 3 416
The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models 0 0 0 1 0 0 1 32
Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 0 0 1 1 23
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing 0 0 2 56 1 2 13 229
Uniform Rates for Kernel Estimators of Weakly Dependent Data 0 0 0 10 0 0 0 25
Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments 0 0 0 25 0 0 2 49
Total Working Papers 2 5 30 3,142 9 31 188 10,430


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 1 1 2 65 1 1 4 200
A Nonparametric Distribution-Free Test for Serial Independence of Errors 0 0 0 13 0 0 1 48
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model 0 0 0 3 0 0 1 42
A simple and robust estimator for linear regression models with strictly exogenous instruments 0 0 0 1 0 0 2 17
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 27 0 0 0 90
An automatic Portmanteau test for serial correlation 3 4 17 307 4 8 26 904
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications 1 2 5 122 1 3 10 438
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models 0 1 1 22 0 1 2 73
Automatic portmanteau tests with applications to market risk management 0 0 0 15 0 0 1 61
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 3 124 0 1 6 307
Conditional Stochastic Dominance Testing 0 1 1 25 0 2 6 81
Data-driven smooth tests for the martingale difference hypothesis 0 0 0 14 0 0 1 97
Distribution-free tests of stochastic monotonicity 0 0 0 23 1 1 4 102
Generalized spectral tests for the martingale difference hypothesis 3 4 7 178 4 7 22 466
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models 0 0 1 126 0 0 3 299
IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT 0 0 1 2 0 0 6 13
Identification and estimation of semiparametric two‐step models 0 0 0 12 1 1 4 64
Joint and marginal specification tests for conditional mean and variance models 1 1 1 74 1 1 2 183
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 2 10 0 1 8 29
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 0 0 3 1 1 1 11
Nonparametric tests for conditional symmetry in dynamic models 0 0 0 57 0 0 0 139
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS 0 0 1 51 0 0 1 146
Optimal Linear Instrumental Variables Approximations 0 0 1 4 0 0 3 22
Pitfalls in backtesting Historical Simulation VaR models 0 0 1 71 0 0 5 335
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS 0 0 1 66 0 0 1 153
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 2 0 0 0 16
Robust Backtesting Tests for Value-at-risk Models 1 2 6 65 1 2 7 188
Semiparametric Estimation of Risk–Return Relationships 0 0 0 1 0 0 1 21
Specification analysis of linear quantile models 0 0 0 51 0 1 2 176
Specification tests of parametric dynamic conditional quantiles 0 0 2 65 0 0 5 169
Testing for fundamental vector moving average representations 0 0 1 5 0 0 1 32
Testing single-index restrictions with a focus on average derivatives 0 0 0 29 0 1 4 152
Testing the martingale difference hypothesis using integrated regression functions 0 0 0 51 0 1 1 122
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing 0 0 1 20 0 1 6 132
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators 0 0 0 30 0 0 3 109
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing 0 0 0 35 0 0 1 94
Total Journal Articles 10 16 55 1,769 15 34 151 5,531
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
Testing the Martingale Hypothesis 0 0 0 1 0 0 2 12
Total Chapters 0 0 0 1 0 0 2 12


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 1 32 3 10 20 236
Total Software Items 0 1 1 32 3 10 20 236


Statistics updated 2024-05-04