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Juan Carlos Escanciano

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This is information that was supplied by Juan Carlos Escanciano in registering through RePEc. If you are Juan Carlos Escanciano , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Juan Carlos
Middle Name:
Last Name: Escanciano
Suffix:

RePEc Short-ID: pes22

Email:
Homepage: http://mypage.iu.edu/~jescanci/
Postal Address:
Phone:

Affiliation

Department of Economics
Indiana University
Location: Bloomington, Indiana (United States)
Homepage: http://www.indiana.edu/~econweb/
Email:
Phone: 812-855-1021
Fax: 812-855-3736
Postal: Wylie Hall Room 105, Bloomington, IN 47405-6620
Handle: RePEc:edi:deiubus (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. Universidad Carlos III de Madrid Economics PhD Alumni

Works

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Working papers

  1. Juan Carlos Escanciano Author-X-Name-First: Juan Carlos Author-X-Name-Last: Escanciano & JuanCarlosPardo-FernándezAuthor-X-Name-First: JuanCarlos Author-X-Name-Last: Pardo-Fernández & IngridVanKeile, 2013. "Semiparametricestimationofrisk-Returnrelationships," Caepr Working Papers 2013-004, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  2. Juan Carlos Escanciano & Lin Zhu, 2013. "Set inferences and sensitivity analysis in semiparametric conditionally identified models," CeMMAP working papers CWP55/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Juan Carlos Escanciano & Wei Li, 2013. "On the identification of structural linear functionals," CeMMAP working papers CWP48/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Juan Carlos Escanciano & Pei Pei, 2012. "Pitfalls in Backtesting Historical Simulation VaR Models," Caepr Working Papers 2012-003, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  5. Francesco Bravo & Juan Carlos Escanciano & Taisuke Otsu, 2011. "A Simple Test for Identification in GMM under Conditional Moment Restrictions," Cowles Foundation Discussion Papers 1789, Cowles Foundation for Research in Economics, Yale University.
  6. Miguel A. Delgado & Juan Carlos Escanciano, 2011. "Conditional stochastic dominance testing," Economics Working Papers we1138, Universidad Carlos III, Departamento de Economía.
  7. Juan Carlos Escanciano & David Jacho-Chavez & Arthur Lewbel, 2010. "Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing," Boston College Working Papers in Economics 756, Boston College Department of Economics, revised 31 Jan 2012.
  8. Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
  9. Miguel A. Delgado & Juan Carlos Escanciano, 2010. "Testing conditional monotonicity in the absence of smoothness," Economics Working Papers we1017, Universidad Carlos III, Departamento de Economía.
  10. Juan Carlos Escanciano, 2010. "The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models," Caepr Working Papers 2010-001, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  11. Juan Carlos Escanciano, Javier Hualde, 2009. "Persistence In Nonlinear Time Series: A Nonparametric Approach," Caepr Working Papers 2009-003, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  12. J. Carlos Escanciano, 2009. "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models," Caepr Working Papers 2009-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  13. Juan Carlos Escanciano & Carlos Velasco, 2008. "Specification Tests of Parametric Dynamic Conditional Quantiles," Caepr Working Papers 2008-021, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  14. Escanciano, J. C. & Olmo, J., 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers 07/11, Department of Economics, City University London.
  15. Juan Carlos Escanciano & Kyungchul Song, 2007. "Asymptotically Optimal Tests for Single-Index Restrictions with a Focus on Average Partial Effects," PIER Working Paper Archive 07-005, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  16. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," Caepr Working Papers 2007-005_updated, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  17. Juan Carlos Escanciano, 2007. "Joint and Marginal Diagnostic Tests for Conditional Mean and Variance Specifications," Caepr Working Papers 2007-009, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  18. Juan Carlos Escanciano, 2006. "Joint Diagnostic Tests for Conditional Mean and Variance Specifications," Faculty Working Papers 02/06, School of Economics and Business Administration, University of Navarra.
  19. Juan Carlos Escanciano, 2005. "A Consistent Diagnostic Test for Regression Models Using Projections," Faculty Working Papers 09/05, School of Economics and Business Administration, University of Navarra.
  20. Juan Carlos Escanciano, 2005. "Goodness-of-fit Tests for Linear and Non-linear Time Series Models," Faculty Working Papers 02/05, School of Economics and Business Administration, University of Navarra.
  21. Juan Carlos Escanciano, 2005. "On the Asymptotic Power Properties of Specification Tests for Dynamic Parametric Regressions," Faculty Working Papers 07/05, School of Economics and Business Administration, University of Navarra.
  22. Juan Carlos Escanciano, 2004. "Model Checks Using Residual Marked Empirical Processes," Faculty Working Papers 13/04, School of Economics and Business Administration, University of Navarra.
  23. J. Carlos Escanciano & Carlos Velasco, 2003. "Generalized Spectral Tests For The Martingale Difference Hypothesis," Statistics and Econometrics Working Papers ws035212, Universidad Carlos III, Departamento de Estadística y Econometría.
  24. Juan Carlos Escanciano & Carlos Velasco, . "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
  25. Juan Carlos Escanciano & Silvia Mayoral, . "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers 01/07, School of Economics and Business Administration, University of Navarra.

Articles

  1. Escanciano, Juan Carlos & Jacho-Chávez, David T. & Lewbel, Arthur, 2014. "Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing," Journal of Econometrics, Elsevier, vol. 178(P3), pages 426-443.
  2. Escanciano, J.C. & Goh, S.C., 2014. "Specification analysis of linear quantile models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 495-507.
  3. Miguel A. Delgado & Juan Carlos Escanciano, 2013. "Conditional Stochastic Dominance Testing," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 16-28, January.
  4. Juan Carlos Escanciano & Ignacio N. Lobato & Lin Zhu, 2013. "Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 426-437, October.
  5. Escanciano, Juan Carlos & Pei, Pei, 2012. "Pitfalls in backtesting Historical Simulation VaR models," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2233-2244.
  6. Delgado, Miguel A. & Escanciano, Juan Carlos, 2012. "Distribution-free tests of stochastic monotonicity," Journal of Econometrics, Elsevier, vol. 170(1), pages 68-75.
  7. J. Carlos Escanciano & Jose Olmo, 2011. "Robust Backtesting Tests for Value-at-risk Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 132-161, Winter.
  8. Escanciano, Juan Carlos & Song, Kyungchul, 2010. "Testing single-index restrictions with a focus on average derivatives," Journal of Econometrics, Elsevier, vol. 156(2), pages 377-391, June.
  9. Escanciano, J. Carlos, 2010. "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models," Econometric Theory, Cambridge University Press, vol. 26(03), pages 744-773, June.
  10. Escanciano, Juan Carlos & Mayoral, Silvia, 2010. "Data-driven smooth tests for the martingale difference hypothesis," Computational Statistics & Data Analysis, Elsevier, vol. 54(8), pages 1983-1998, August.
  11. Escanciano, Juan Carlos & Jacho-Chávez, David T., 2010. "Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications," Computational Statistics & Data Analysis, Elsevier, vol. 54(3), pages 625-636, March.
  12. Escanciano, J. Carlos & Olmo, Jose, 2010. "Backtesting Parametric Value-at-Risk With Estimation Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 36-51.
  13. Escanciano, Juan Carlos & Velasco, Carlos, 2010. "Specification tests of parametric dynamic conditional quantiles," Journal of Econometrics, Elsevier, vol. 159(1), pages 209-221, November.
  14. Escanciano, J. Carlos, 2009. "On The Lack Of Power Of Omnibus Specification Tests," Econometric Theory, Cambridge University Press, vol. 25(01), pages 162-194, February.
  15. Juan carlos Escanciano & David Jacho-chavez, 2009. "Uniform in Bandwidth Consistency of Smooth Varying Coefficient Estimators," Economics Bulletin, AccessEcon, vol. 29(3), pages 1889-1895.
  16. Escanciano, Juan Carlos, 2009. "Quasi-Maximum Likelihood Estimation Of Semi-Strong Garch Models," Econometric Theory, Cambridge University Press, vol. 25(02), pages 561-570, April.
  17. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
  18. Carlos Escanciano, J., 2008. "Joint and marginal specification tests for conditional mean and variance models," Journal of Econometrics, Elsevier, vol. 143(1), pages 74-87, March.
  19. Juan Carlos Escanciano & Silvia Mayoral, 2008. "Semiparametric estimation of dynamic conditional expected shortfall models," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 1(2), pages 106-120.
  20. Escanciano, J. Carlos, 2007. "Weak convergence of non-stationary multivariate marked processes with applications to martingale testing," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1321-1336, August.
  21. Delgado, Miguel A. & Carlos Escanciano, J., 2007. "Nonparametric tests for conditional symmetry in dynamic models," Journal of Econometrics, Elsevier, vol. 141(2), pages 652-682, December.
  22. Escanciano, J. Carlos, 2006. "Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 531-541, June.
  23. Escanciano, J. Carlos, 2006. "A Consistent Diagnostic Test For Regression Models Using Projections," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1030-1051, December.
  24. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Generalized spectral tests for the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 134(1), pages 151-185, September.
  25. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Testing the martingale difference hypothesis using integrated regression functions," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.

NEP Fields

22 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (2) 2007-05-26 2012-03-28
  2. NEP-CMP: Computational Economics (1) 2012-03-28
  3. NEP-ECM: Econometrics (22) 2003-10-28 2004-10-18 2005-03-06 2005-06-05 2005-07-03 2006-07-02 2007-02-10 2007-02-10 2007-05-26 2007-06-18 2008-08-21 2009-02-28 2010-01-16 2010-08-14 2010-09-25 2010-11-27 2010-12-18 2011-04-02 2012-01-25 2012-03-28 2013-10-25 2013-11-16. Author is listed
  4. NEP-ETS: Econometric Time Series (9) 2003-10-28 2005-03-06 2005-06-05 2006-07-02 2007-02-10 2007-06-18 2009-02-28 2010-01-16 2012-03-28. Author is listed
  5. NEP-FMK: Financial Markets (1) 2007-05-26
  6. NEP-FOR: Forecasting (1) 2012-03-28
  7. NEP-ORE: Operations Research (1) 2010-01-16
  8. NEP-RMG: Risk Management (3) 2003-10-28 2007-05-26 2012-03-28

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