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 1 4 12 1,209
A Simple Test for Identification in GMM under Conditional Moment Restrictions 0 0 0 175 0 5 7 438
A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments 0 0 0 33 0 7 12 58
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 1 2 8 10 24
Asymptotic distribution-free tests for semiparametric regressions 0 0 0 0 1 2 3 6
Asymptotic distribution-free tests for semiparametric regressions with dependent data 0 0 0 0 1 2 5 12
Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects 0 0 0 44 1 4 6 166
Automatic Debiased Estimation with Machine Learning-Generated Regressors 0 0 2 22 3 11 18 31
Automatic Portmanteau Tests with Applications to Market Risk Management 0 0 0 38 3 11 12 106
Backtesting Expected Shortfall: Accounting for Tail Risk 0 3 5 306 2 12 24 809
Backtesting Parametric Value-at-Risk with Estimation Risk 0 0 1 152 0 3 6 438
Conditional stochastic dominance testing 0 0 1 63 0 5 7 127
Data-Driven Smooth Tests for the Martingale Difference Hypothesis 0 1 1 113 0 5 8 303
Debiased Machine Learning U-statistics 0 0 2 26 7 21 37 90
Estimation risk effects on backtesting for parametric value-at-risk models 0 0 0 233 0 8 11 749
Extending the Scope of Inference About Predictive Ability to Machine Learning Methods 0 0 2 24 1 5 9 26
Generalized spectral tests for the martingale difference hypothesis 0 0 0 18 0 5 18 99
Goodness-of-fit Tests for Linear and Non-linear Time Series Models 0 0 0 703 0 5 6 2,635
Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve 0 0 0 42 4 10 14 103
Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity 0 0 0 41 0 2 7 83
Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity 0 0 0 10 1 4 4 22
Joint Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 81 0 2 3 373
Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications 0 0 0 47 0 3 4 173
Locally Robust Semiparametric Estimation 0 0 1 27 3 14 20 207
Locally robust semiparametric estimation 0 0 0 18 0 4 9 102
Locally robust semiparametric estimation 0 0 0 0 1 9 14 19
Locally robust semiparametric estimation 0 0 0 32 0 1 2 169
Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE 0 0 0 29 2 9 14 29
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 0 1 119 0 5 10 422
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 0 3 6 35
Nonparametric Euler Equation Identification and Estimation 0 0 1 52 1 3 11 187
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 1 19 20 121
Nonparametric Euler equation identification and estimation 0 0 0 0 0 4 8 11
Nonparametric Euler equation identification and estimation 0 0 0 41 0 4 5 121
On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions 0 0 0 73 1 5 8 361
On the Existence and Information of Orthogonal Moments 0 0 0 14 0 4 6 20
On the identification of structural linear functionals 0 0 0 16 2 8 12 72
On the identification of structural linear functionals 0 0 0 0 1 8 12 12
Optimal Linear Instrumental Variables Approximations 0 0 0 29 1 6 6 42
PERSISTENCE IN NONLINEAR TIME SERIES: A NONPARAMETRIC APPROACH 0 0 0 0 1 4 4 22
Pitfalls in Backtesting Historical Simulation VaR Models 0 0 2 18 1 6 16 89
Quantile-Regression Inference With Adaptive Control of Size 0 0 1 30 0 5 8 67
Regression Discontinuity Design with Multivalued Treatments 0 0 0 34 0 6 14 69
Robust Minimum Distance Inference in Structural Models 0 0 0 6 2 3 7 14
SEMIPARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS 0 0 0 11 0 1 3 62
Semiparametric Estimation of Risk-return Relationships 0 0 0 0 0 3 5 10
Semiparametric Estimation of Risk-return Relationships 0 0 0 1 2 38 43 47
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 0 40 0 4 4 126
Set inferences and sensitivity analysis in semiparametric conditionally identified models 0 0 1 4 0 7 13 19
Specification Analysis of Structural Quantile Regression Models 0 1 1 80 0 6 9 224
Specification Tests of Parametric Dynamic Conditional Quantiles 0 0 0 3 0 2 7 23
Specification tests of parametric dynamic conditional quantiles 0 0 0 3 1 9 13 58
Testing conditional monotonicity in the absence of smoothness 0 0 0 32 0 8 9 112
Testing for Fundamental Vector Moving Average Representations 0 0 0 57 0 1 3 110
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 0 113 0 3 10 426
The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models 0 0 0 1 0 2 4 38
Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 0 1 9 13 39
Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing 0 0 0 56 3 17 20 252
Uniform Rates for Kernel Estimators of Weakly Dependent Data 0 0 0 10 3 12 16 42
Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments 0 0 0 26 0 6 7 57
Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference 0 0 0 7 0 2 8 21
Total Working Papers 0 6 24 3,545 54 404 643 12,064

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 0 6 22 227
A Nonparametric Distribution-Free Test for Serial Independence of Errors 0 0 0 13 0 2 4 52
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model 0 0 1 5 0 3 5 48
A simple and robust estimator for linear regression models with strictly exogenous instruments 0 0 0 1 1 3 3 23
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS 0 0 0 27 4 15 18 108
An automatic Portmanteau test for serial correlation 1 2 7 321 3 16 36 955
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications 0 0 0 123 0 3 7 451
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models 0 0 0 22 1 8 11 84
Automatic portmanteau tests with applications to market risk management 0 0 0 15 0 5 7 69
Backtesting Parametric Value-at-Risk With Estimation Risk 0 0 3 131 2 6 15 329
Conditional Stochastic Dominance Testing 0 0 0 25 1 4 5 94
Data-driven smooth tests for the martingale difference hypothesis 0 0 0 14 0 5 9 106
Distribution-free tests of stochastic monotonicity 0 0 0 23 1 7 11 115
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve 0 0 2 7 0 4 10 27
Generalized spectral tests for the martingale difference hypothesis 1 4 6 191 5 12 25 507
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models 0 0 1 127 0 4 8 310
IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT 0 0 0 5 1 3 6 23
Identification and estimation of semiparametric two‐step models 0 0 0 12 3 8 12 76
Irregular identification of structural models with nonparametric unobserved heterogeneity 0 0 1 1 3 25 32 38
Joint and marginal specification tests for conditional mean and variance models 0 0 1 77 0 5 11 201
Locally Robust Semiparametric Estimation 0 0 0 17 1 9 24 74
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk 0 0 0 10 1 8 11 40
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 0 1 4 1 5 10 23
Nonparametric tests for conditional symmetry in dynamic models 0 0 0 57 6 9 11 151
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS 0 1 1 52 1 8 18 166
Optimal Linear Instrumental Variables Approximations 0 0 0 4 1 11 15 38
Pitfalls in backtesting Historical Simulation VaR models 0 0 0 72 5 8 13 353
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS 0 0 0 66 1 7 14 171
Quantile-Regression Inference With Adaptive Control of Size 0 0 0 2 0 4 6 26
Regression discontinuity design with multivalued treatments 0 0 0 8 2 13 23 38
Robust Backtesting Tests for Value-at-risk Models 0 1 3 68 2 13 17 206
SEMIPARAMETRIC IDENTIFICATION AND FISHER INFORMATION 0 0 0 2 2 7 7 17
Semiparametric Estimation of Risk–Return Relationships 0 0 0 1 1 4 9 31
Semiparametric estimation of dynamic conditional expected shortfall models 0 0 0 41 2 6 8 139
Specification analysis of linear quantile models 0 0 1 52 0 2 4 183
Specification tests of parametric dynamic conditional quantiles 0 0 1 68 1 4 8 180
Testing for fundamental vector moving average representations 0 0 0 5 0 3 12 46
Testing single-index restrictions with a focus on average derivatives 0 0 0 30 1 7 10 165
Testing the martingale difference hypothesis using integrated regression functions 0 0 0 51 0 5 7 130
The case for CASE: Estimating heterogeneous systemic effects 0 0 1 3 2 4 7 11
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing 0 0 1 22 1 12 17 150
Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators 0 0 0 30 0 2 3 114
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing 0 0 0 35 0 1 2 96
n-uniformly consistent density estimation in nonparametric regression models 0 0 1 57 4 7 9 181
Total Journal Articles 2 8 37 1,971 60 303 522 6,572
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 1 5 6 11
Testing the Martingale Hypothesis 0 0 0 2 0 7 13 29
Total Chapters 0 0 0 3 1 12 19 40

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 1 1 4 44 3 10 27 292
Total Software Items 1 1 4 44 3 10 27 292

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Statistics updated 2026-03-04