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Juan C. Escanciano - Publications

Affiliations: 
Economics Indiana University, Bloomington, Bloomington, IN, United States 
Area:
Finance
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39 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Bravo F, Escanciano JC, Keilegom IV. Two-step semiparametric empirical likelihood inference Annals of Statistics. 48: 1-26. DOI: 10.1214/18-Aos1788  0.425
2020 Escanciano JC, Li W. Optimal Linear Instrumental Variables Approximations Journal of Econometrics. DOI: 10.1016/J.Jeconom.2020.05.002  0.52
2019 Escanciano JC, Goh SC. Quantile-Regression Inference With Adaptive Control of Size Journal of the American Statistical Association. 114: 1382-1393. DOI: 10.1080/01621459.2018.1505624  0.515
2018 Escanciano JC, Pardo-Fernández JC, Keilegom IV. Asymptotic distribution-free tests for semiparametric regressions with dependent data Annals of Statistics. 46: 1167-1196. DOI: 10.1214/17-Aos1581  0.487
2018 Escanciano JC. A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments Econometrics Journal. 21: 36-54. DOI: 10.1111/Ectj.12087  0.461
2017 Chen B, Choi J, Escanciano JC. Testing for fundamental vector moving average representations: Testing for fundamental VMA representations Quantitative Economics. 8: 149-180. DOI: 10.3982/Qe393  0.52
2017 Zhu G, Du Z, Escanciano JC. Automatic Portmanteau Tests with Applications to Market Risk Management Stata Journal. 17: 901-915. DOI: 10.2139/Ssrn.2929340  0.607
2017 Du Z, Escanciano JC. Backtesting Expected Shortfall: Accounting for Tail Risk Management Science. 63: 940-958. DOI: 10.1287/Mnsc.2015.2342  0.532
2017 Escanciano JC, Pardo-Fernández JC, Keilegom IV. Semiparametric Estimation of Risk–Return Relationships Journal of Business & Economic Statistics. 35: 40-52. DOI: 10.1080/07350015.2015.1052879  0.489
2016 Escanciano JC, Jacho-Chávez D, Lewbel A. Identification and estimation of semiparametric two-step models Quantitative Economics. 7: 561-589. DOI: 10.3982/Qe328  0.411
2016 Delgado MA, Escanciano JC. Distribution-free tests of conditional moment inequalities Journal of Statistical Planning and Inference. 173: 99-108. DOI: 10.1016/J.Jspi.2015.12.005  0.578
2015 Chen B, Choi J, Escanciano JC. Testing for Fundamental Vector Moving Average Representations Quantitative Economics. 8: 149-180. DOI: 10.2139/Ssrn.2704860  0.628
2015 Du Z, Escanciano JC. A Nonparametric Distribution-Free Test for Serial Independence of Errors Econometric Reviews. 34: 1011-1034. DOI: 10.1080/07474938.2014.956616  0.592
2015 Escanciano JC, Zhu L. A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model Econometric Reviews. 34: 734-762. DOI: 10.1080/07474938.2014.956577  0.478
2014 Escanciano JC, Goh SC. Specification analysis of linear quantile models Journal of Econometrics. 178: 495-507. DOI: 10.1016/J.Jeconom.2013.07.006  0.508
2014 Escanciano JC, Jacho-Chávez DT, Lewbel A. Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing Journal of Econometrics. 178: 426-443. DOI: 10.1016/J.Jeconom.2013.06.004  0.517
2013 Escanciano JC, Lobato IN, Zhu L. Automatic specification testing for vector autoregressions and multivariate nonlinear time series models Journal of Business and Economic Statistics. 31: 426-437. DOI: 10.1080/07350015.2013.803973  0.563
2013 Delgado MA, Escanciano JC. Conditional stochastic dominance testing Journal of Business and Economic Statistics. 31: 16-28. DOI: 10.1080/07350015.2012.723556  0.555
2012 Escanciano JC, Pei P. Pitfalls in backtesting Historical Simulation VaR models Journal of Banking and Finance. 36: 2233-2244. DOI: 10.2139/Ssrn.2026537  0.409
2012 Escanciano JC, Jacho-Chávez DT. √n-uniformly consistent density estimation in nonparametric regression models Journal of Econometrics. 167: 305-316. DOI: 10.2139/Ssrn.1134796  0.471
2012 Bravo F, Escanciano JC, Otsu T. A simple test for identification in GMM under conditional moment restrictions Advances in Econometrics. 29: 455-477. DOI: 10.1108/S0731-9053(2012)0000029020  0.506
2012 Delgado MA, Escanciano JC. Distribution-free tests of stochastic monotonicity Journal of Econometrics. 170: 68-75. DOI: 10.1016/J.Jeconom.2012.02.005  0.551
2010 Escanciano JC, Olmo J. Backtesting parametric value-at-risk with estimation risk Journal of Business and Economic Statistics. 28: 36-51. DOI: 10.1198/Jbes.2009.07063  0.527
2010 Escanciano JC. Asymptotic distribution-free diagnostic tests for heteroskedastic time series models Econometric Theory. 26: 744-773. DOI: 10.1017/S0266466609990090  0.472
2010 Escanciano JC, Velasco C. Specification tests of parametric dynamic conditional quantiles Journal of Econometrics. 159: 209-221. DOI: 10.1016/J.Jeconom.2010.06.003  0.556
2010 Escanciano JC, Song K. Testing single-index restrictions with a focus on average derivatives Journal of Econometrics. 156: 377-391. DOI: 10.1016/J.Jeconom.2009.11.007  0.572
2010 Escanciano JC, Mayoral S. Data-driven smooth tests for the martingale difference hypothesis Computational Statistics and Data Analysis. 54: 1983-1998. DOI: 10.1016/J.Csda.2010.02.023  0.534
2010 Escanciano JC, Jacho-Chávez DT. Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications Computational Statistics and Data Analysis. 54: 625-636. DOI: 10.1016/J.Csda.2008.05.016  0.558
2009 Escanciano JC. Quasi-maximum likelihood estimation of semi-strong garch models Econometric Theory. 25: 561-570. DOI: 10.2139/Ssrn.1305255  0.457
2009 Escanciano JC. On the lack of power of omnibus specification tests Econometric Theory. 25: 162-194. DOI: 10.1017/S0266466608090051  0.429
2009 Escanciano JC, Lobato IN. An automatic Portmanteau test for serial correlation Journal of Econometrics. 151: 140-149. DOI: 10.1016/j.jeconom.2009.03.001  0.511
2009 Escanciano Jc, Jacho-chavez D. Uniform in bandwidth consistency of smooth varying coefficient estimators Economics Bulletin. 29: 1889-1895.  0.315
2008 Escanciano JC, Mayoral S. Semiparametric estimation of dynamic conditional expected shortfall models International Journal of Monetary Economics and Finance. 1: 106-120. DOI: 10.2139/Ssrn.1342418  0.481
2007 Escanciano JC. Weak convergence of non-stationary multivariate marked processes with applications to martingale testing Journal of Multivariate Analysis. 98: 1321-1336. DOI: 10.1016/j.jmva.2007.03.004  0.402
2007 Escanciano JC. Model checks using residual marked empirical processes Statistica Sinica. 17: 115-138.  0.511
2006 Escanciano JC. Goodness-of-fit tests for linear and nonlinear time series models Journal of the American Statistical Association. 101: 531-541. DOI: 10.1198/016214505000001050  0.464
2006 Escanciano JC. A consistent diagnostic test for regression models using projections Econometric Theory. 22: 1030-1051. DOI: 10.1017/S0266466606060506  0.596
2006 Escanciano JC, Velasco C. Generalized spectral tests for the martingale difference hypothesis Journal of Econometrics. 134: 151-185. DOI: 10.1016/J.Jeconom.2005.06.019  0.481
2006 Escanciano JC, Velasco C. Testing the martingale difference hypothesis using integrated regression functions Computational Statistics and Data Analysis. 51: 2278-2294. DOI: 10.1016/J.Csda.2006.07.039  0.463
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