Juan Carlos Escanciano
Names
| first: |
Juan Carlos |
| last: |
Escanciano |
Identifer
Contact
Affiliations
-
Universidad Carlos III de Madrid
/ Departamento de Economía
Research profile
author of:
- Semiparametric Estimation of Risk-return Relationships (RePEc:aiz:louvad:2013035)
by Escanciano, Juan Carlos & Pardo-Fernandez, Juan Carlos & Van Keilegom, Ingrid - Asymptotic distribution-free tests for semiparametric regressions (RePEc:aiz:louvad:2015001)
by Escanciano, Juan Carlos & Pardo-Fernandez, Juan Carlos & Van Keilegom, Ingrid - Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference (RePEc:aiz:louvad:2015016)
by Bravo, Francesco & Escanciano, Juan Carlos & Van Keilegom, Ingrid - Semiparametric Estimation of Risk-return Relationships (RePEc:aiz:louvar:2017007)
by Escanciano, Juan Carlos & Pardo-FernAndez, Juan Carlos & Van Keilegom, Ingrid - Asymptotic distribution-free tests for semiparametric regressions with dependent data (RePEc:aiz:louvar:2018039)
by Escanciano, Juan Carlos & Pardo-Fernandez, Juan Carlos & Van Keilegom, Ingrid - Two-Step Semiparametric Empirical Likelihood Inference (RePEc:aiz:louvar:2020046)
by Bravo, Francesco & Juan Carlos, Escanciano & Ingrid Van Keilegom, Ingrid - Locally Robust Semiparametric Estimation (RePEc:arx:papers:1608.00033)
by Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins - Optimal Linear Instrumental Variables Approximations (RePEc:arx:papers:1805.03275)
by Juan Carlos Escanciano & Wei Li - Quantile-Regression Inference With Adaptive Control of Size (RePEc:arx:papers:1807.06977)
by Juan Carlos Escanciano & Chuan Goh - Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity (RePEc:arx:papers:2005.08611)
by Juan Carlos Escanciano - Uniform Rates for Kernel Estimators of Weakly Dependent Data (RePEc:arx:papers:2005.09951)
by Juan Carlos Escanciano - Regression Discontinuity Design with Multivalued Treatments (RePEc:arx:papers:2007.00185)
by Carolina Caetano & Gregorio Caetano & Juan Carlos Escanciano - Machine Learning Inference on Inequality of Opportunity (RePEc:arx:papers:2206.05235)
by Juan Carlos Escanciano & Joel Robert Terschuur - Automatic Locally Robust Estimation with Generated Regressors (RePEc:arx:papers:2301.10643)
by Juan Carlos Escanciano & Telmo P'erez-Izquierdo - On the Existence and Information of Orthogonal Moments (RePEc:arx:papers:2303.11418)
by Facundo Arga~naraz & Juan Carlos Escanciano - Robust Minimum Distance Inference in Structural Models (RePEc:arx:papers:2310.05761)
by Joan Alegre & Juan Carlos Escanciano - Extending the Scope of Inference About Predictive Ability to Machine Learning Methods (RePEc:arx:papers:2402.12838)
by Juan Carlos Escanciano & Ricardo Parra - Machine Learning Debiasing with Conditional Moment Restrictions: An Application to LATE (RePEc:arx:papers:2410.23785)
by Facundo Arga~naraz & Juan Carlos Escanciano - Locally robust semiparametric estimation (RePEc:azt:cemmap:31/16)
by Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey - On the identification of structural linear functionals (RePEc:azt:cemmap:48/13)
by Juan Carlos Escanciano & Wei Li - Set inferences and sensitivity analysis in semiparametric conditionally identified models (RePEc:azt:cemmap:55/13)
by Juan Carlos Escanciano & Lin Zhu - Nonparametric Euler equation identification and estimation (RePEc:azt:cemmap:61/15)
by Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma - Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models (RePEc:bes:jnlasa:v:101:y:2006:p:531-541)
by Escanciano, J. Carlos - Backtesting Parametric Value-at-Risk With Estimation Risk (RePEc:bes:jnlbes:v:28:i:1:y:2010:p:36-51)
by Escanciano, J. Carlos & Olmo, Jose - MMEIV: Stata module to perform Multiple Marginal Effects IV Estimation (RePEc:boc:bocode:s458674)
by Carolina Caetano & Juan Carlos Escanciano & Alon Bergman - Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing (RePEc:boc:bocoec:756)
by Juan Carlos Escanciano & David Jacho-Chavez & Arthur Lewbel - Nonparametric Euler Equation Identification and Estimation (RePEc:boc:bocoec:757)
by Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma - Nonparametric Euler Equation Identification andEstimation (RePEc:cam:camdae:1560)
by Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton - Nonparametric Euler Equation Identi?cation and Estimation (RePEc:cam:camdae:2064)
by Escanciano, J C. & Hoderlein, S. & Lewbel, A. & Linton, O. & Srisuma, S. - Unknown item RePEc:cte:werepe:we1017 (paper)
- Unknown item RePEc:cte:werepe:we1138 (paper)
- Unknown item RePEc:cte:wsrepe:ws035312 (paper)
- Estimation risk effects on backtesting for parametric value-at-risk models (RePEc:cty:dpaper:07/11)
by Escanciano, J. C. & Olmo, J. - A Consistent Diagnostic Test For Regression Models Using Projections (RePEc:cup:etheor:v:22:y:2006:i:06:p:1030-1051_06)
by Escanciano, J. Carlos - On The Lack Of Power Of Omnibus Specification Tests (RePEc:cup:etheor:v:25:y:2009:i:01:p:162-194_09)
by Escanciano, J. Carlos - Quasi-Maximum Likelihood Estimation Of Semi-Strong Garch Models (RePEc:cup:etheor:v:25:y:2009:i:02:p:561-570_09)
by Escanciano, Juan Carlos - Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models (RePEc:cup:etheor:v:26:y:2010:i:03:p:744-773_99)
by Escanciano, J. Carlos - Identifying Multiple Marginal Effects With A Single Instrument (RePEc:cup:etheor:v:37:y:2021:i:3:p:464-494_2)
by Caetano, Carolina & Escanciano, Juan Carlos - Nonparametric Euler Equation Identification And Estimation (RePEc:cup:etheor:v:37:y:2021:i:5:p:851-891_1)
by Escanciano, Juan Carlos & Hoderlein, Stefan & Lewbel, Arthur & Linton, Oliver & Srisuma, Sorawoot - Semiparametric Identification And Fisher Information (RePEc:cup:etheor:v:38:y:2022:i:2:p:301-338_3)
by Escanciano, Juan Carlos - A Simple Test for Identification in GMM under Conditional Moment Restrictions (RePEc:cwl:cwldpp:1790)
by Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu - Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators (RePEc:ebl:ecbull:eb-09-00404)
by Juan carlos Escanciano & David Jacho-chavez - Testing the martingale difference hypothesis using integrated regression functions (RePEc:eee:csdana:v:51:y:2006:i:4:p:2278-2294)
by Escanciano, J. Carlos & Velasco, Carlos - Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications (RePEc:eee:csdana:v:54:y:2010:i:3:p:625-636)
by Escanciano, Juan Carlos & Jacho-Chávez, David T. - Data-driven smooth tests for the martingale difference hypothesis (RePEc:eee:csdana:v:54:y:2010:i:8:p:1983-1998)
by Escanciano, Juan Carlos & Mayoral, Silvia - Generalized spectral tests for the martingale difference hypothesis (RePEc:eee:econom:v:134:y:2006:i:1:p:151-185)
by Escanciano, J. Carlos & Velasco, Carlos - Nonparametric tests for conditional symmetry in dynamic models (RePEc:eee:econom:v:141:y:2007:i:2:p:652-682)
by Delgado, Miguel A. & Carlos Escanciano, J. - Joint and marginal specification tests for conditional mean and variance models (RePEc:eee:econom:v:143:y:2008:i:1:p:74-87)
by Carlos Escanciano, J. - An automatic Portmanteau test for serial correlation (RePEc:eee:econom:v:151:y:2009:i:2:p:140-149)
by Escanciano, J. Carlos & Lobato, Ignacio N. - Testing single-index restrictions with a focus on average derivatives (RePEc:eee:econom:v:156:y:2010:i:2:p:377-391)
by Escanciano, Juan Carlos & Song, Kyungchul - Specification tests of parametric dynamic conditional quantiles (RePEc:eee:econom:v:159:y:2010:i:1:p:209-221)
by Escanciano, Juan Carlos & Velasco, Carlos - n-uniformly consistent density estimation in nonparametric regression models (RePEc:eee:econom:v:167:y:2012:i:2:p:305-316)
by Escanciano, Juan Carlos & Jacho-Chávez, David T. - Distribution-free tests of stochastic monotonicity (RePEc:eee:econom:v:170:y:2012:i:1:p:68-75)
by Delgado, Miguel A. & Escanciano, Juan Carlos - Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing (RePEc:eee:econom:v:178:y:2014:i:p3:p:426-443)
by Escanciano, Juan Carlos & Jacho-Chávez, David T. & Lewbel, Arthur - Specification analysis of linear quantile models (RePEc:eee:econom:v:178:y:2014:i:p3:p:495-507)
by Escanciano, J.C. & Goh, S.C. - Optimal Linear Instrumental Variables Approximations (RePEc:eee:econom:v:221:y:2021:i:1:p:223-246)
by Escanciano, Juan Carlos & Li, Wei - Irregular identification of structural models with nonparametric unobserved heterogeneity (RePEc:eee:econom:v:234:y:2023:i:1:p:106-127)
by Escanciano, Juan Carlos - The case for CASE: Estimating heterogeneous systemic effects (RePEc:eee:jbfina:v:157:y:2023:i:c:s0378426623002133)
by Du, Zaichao & Escanciano, Juan Carlos & Zhu, Guangwei - Pitfalls in backtesting Historical Simulation VaR models (RePEc:eee:jbfina:v:36:y:2012:i:8:p:2233-2244)
by Escanciano, Juan Carlos & Pei, Pei - Weak convergence of non-stationary multivariate marked processes with applications to martingale testing (RePEc:eee:jmvana:v:98:y:2007:i:7:p:1321-1336)
by Escanciano, J. Carlos - Advances in Econometrics (RePEc:eme:aecopp)
from Emerald Publishing Ltd as editor - Unknown item RePEc:eme:aecopp:aeco.2017.38 (book)
- Advances in Econometrics (RePEc:eme:aecozz)
from Emerald Group Publishing Limited as editor - A Simple Test for Identification in GMM under Conditional Moment Restrictions (RePEc:eme:aecozz:s0731-9053(2012)0000029020)
by Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu - Specification tests of parametric dynamic conditional quantiles (RePEc:hal:journl:hal-00732534)
by J. Carlos Escanciano & Carlos Velasco - Semiparametric estimation of dynamic conditional expected shortfall models (RePEc:ids:ijmefi:v:1:y:2008:i:2:p:106-120)
by Juan Carlos Escanciano & Silvia Mayoral - Locally robust semiparametric estimation (RePEc:ifs:cemmap:30/18)
by Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins - Locally robust semiparametric estimation (RePEc:ifs:cemmap:31/16)
by Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey - On the identification of structural linear functionals (RePEc:ifs:cemmap:48/13)
by Juan Carlos Escanciano & Wei Li - Set inferences and sensitivity analysis in semiparametric conditionally identified models (RePEc:ifs:cemmap:55/13)
by Juan Carlos Escanciano & Lin Zhu - Nonparametric Euler equation identification and estimation (RePEc:ifs:cemmap:61/15)
by Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma - Unknown item RePEc:inm:ormnsc:v:63:y:2017:i:4:p:940-958 (article)
- Backtesting Parametric Value-at-Risk with Estimation Risk (RePEc:inu:caeprp:2007005)
by Juan Carlos Escanciano & Jose Olmo - Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications (RePEc:inu:caeprp:2007009)
by Juan Carlos Escanciano - Specification Tests of Parametric Dynamic Conditional Quantiles (RePEc:inu:caeprp:2008021)
by Juan Carlos Escanciano & Carlos Velasco - Persistence In Nonlinear Time Series: A Nonparametric Approach (RePEc:inu:caeprp:2009003)
by Juan Carlos Escanciano & Javier Hualde - Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models (RePEc:inu:caeprp:2009019)
by J. Carlos Escanciano - The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models (RePEc:inu:caeprp:2010001)
by Juan Carlos Escanciano - Pitfalls in Backtesting Historical Simulation VaR Models (RePEc:inu:caeprp:2012003)
by Juan Carlos Escanciano & Pei Pei - Semiparametric Estimation Of Risk-Return Relationships (RePEc:inu:caeprp:2013004)
by Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom - Backtesting Expected Shortfall: Accounting for Tail Risk (RePEc:inu:caeprp:2015001)
by Juan Carlos Escanciano & Zaichao Du - Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity (RePEc:inu:caeprp:2015009)
by Carolina Caetano & Juan Carlos Escaniano - Testing for Fundamental Vector Moving Average Representations (RePEc:inu:caeprp:2015022)
by Bin Chen & Jinho Choi & Juan Carlos Escanciano - Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments (RePEc:inu:caeprp:2015023)
by Juan Carlos Escanciano - A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments (RePEc:inu:caeprp:2017001)
by Juan Carlos Escanciano - Automatic Portmanteau Tests with Applications to Market Risk Management (RePEc:inu:caeprp:2017002)
by Zaichao Du & Juan Carlos Escanciano & Guangwei Zhu - Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve (RePEc:inu:caeprp:2017014)
by Junjie Guo & Juan Carlos Escanciano & Jinho Choi - Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk (RePEc:inu:caeprp:2017017)
by Juan Carlos Escanciano & Javier Hualde - Robust Backtesting Tests for Value-at-risk Models (RePEc:oup:jfinec:v:9:y:2011:i:1:p:132-161)
by J. Carlos Escanciano & Jose Olmo - Testing the Martingale Hypothesis (RePEc:pal:palchp:978-0-230-24440-5_20)
by J. Carlos Escanciano & Ignacio N. Lobato - Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects (RePEc:pen:papers:07-005)
by Juan Carlos Escanciano & Kyungchul Song - A Nonparametric Distribution-Free Test for Serial Independence of Errors (RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:1011-1034)
by Zaichao Du & Juan Carlos Escanciano - A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model (RePEc:taf:emetrv:v:34:y:2015:i:6-10:p:734-762)
by Juan Carlos Escanciano & Lin Zhu - Quantile-Regression Inference With Adaptive Control of Size (RePEc:taf:jnlasa:v:114:y:2019:i:527:p:1382-1393)
by J. C. Escanciano & S. C. Goh - Conditional Stochastic Dominance Testing (RePEc:taf:jnlbes:v:31:y:2013:i:1:p:16-28)
by Miguel A. Delgado & Juan Carlos Escanciano - Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models (RePEc:taf:jnlbes:v:31:y:2013:i:4:p:426-437)
by Juan Carlos Escanciano & Ignacio N. Lobato & Lin Zhu - Semiparametric Estimation of Risk–Return Relationships (RePEc:taf:jnlbes:v:35:y:2017:i:1:p:40-52)
by Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom - Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk (RePEc:taf:jnlbes:v:39:y:2021:i:2:p:453-465)
by Juan Carlos Escanciano & Javier Hualde - Specification Analysis of Structural Quantile Regression Models (RePEc:tor:tecipa:tecipa-415)
by Juan Carlos Escanciano & Chuan Goh - Automatic portmanteau tests with applications to market risk management (RePEc:tsj:stataj:v:17:y:2017:i:4:p:901-915)
by Guangwei Zhu & Zaichao Du & Juan Carlos Escanciano - Data-Driven Smooth Tests for the Martingale Difference Hypothesis (RePEc:una:unccee:wp0107)
by Juan Carlos Escanciano & Silvia Mayoral - Goodness-of-fit Tests for Linear and Non-linear Time Series Models (RePEc:una:unccee:wp0205)
by Juan Carlos Escanciano - Joint Diagnostic Tests for Conditional Mean and Variance Specifications (RePEc:una:unccee:wp0206)
by Juan Carlos Escanciano - Testing the Martingale Difference Hypothesis Using Integrated Regression Functions (RePEc:una:unccee:wp0606)
by Juan Carlos Escanciano & Carlos Velasco - On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions (RePEc:una:unccee:wp0705)
by Juan Carlos Escanciano - A Consistent Diagnostic Test for Regression Models Using Projections (RePEc:una:unccee:wp0905)
by Juan Carlos Escanciano - Model Checks Using Residual Marked Empirical Processes (RePEc:una:unccee:wp1304)
by Juan Carlos Escanciano - Locally Robust Semiparametric Estimation (RePEc:wly:emetrp:v:90:y:2022:i:4:p:1501-1535)
by Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins - A simple and robust estimator for linear regression models with strictly exogenous instruments (RePEc:wly:emjrnl:v:21:y:2018:i:1:p:36-54)
by Juan Carlos Escanciano - Generalized band spectrum estimation with an application to the New Keynesian Phillips curve (RePEc:wly:japmet:v:37:y:2022:i:5:p:1055-1078)
by Jinho Choi & Juan Carlos Escanciano & Junjie Guo - Regression discontinuity design with multivalued treatments (RePEc:wly:japmet:v:38:y:2023:i:6:p:840-856)
by Carolina Caetano & Gregorio Caetano & Juan Carlos Escanciano - Identification and estimation of semiparametric two‐step models (RePEc:wly:quante:v:7:y:2016:i:2:p:561-589)
by Juan Carlos Escanciano & David Jacho‐Chávez & Arthur Lewbel - Testing for fundamental vector moving average representations (RePEc:wly:quante:v:8:y:2017:i:1:p:149-180)
by Bin Chen & Jinho Choi & Juan Carlos Escanciano