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Marine Carrasco

Personal Details

First Name:Marine
Middle Name:
Last Name:Carrasco
Suffix:
RePEc Short-ID:pca65
https://marinecarrasco.openum.ca/en/
University of Montreal Departement de sciences economiques CP 6128, succ Centre Ville Montreal, QC H3C3J7 Canada
(514) 343-2394

Affiliation

(98%) Département de Sciences Économiques
Université de Montréal

Montréal, Canada
http://www.sceco.umontreal.ca/
RePEc:edi:demtlca (more details at EDIRC)

(1%) Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)

Montréal, Canada
http://www.cireqmontreal.com/
RePEc:edi:cdmtlca (more details at EDIRC)

(1%) Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)

Montréal, Canada
http://www.cirano.qc.ca/
RePEc:edi:ciranca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Rachidi Kotchoni & Marine Carrasco, 2019. "The Continuum-GMM Estimation: Theory and Application," Post-Print hal-02435760, HAL.
  2. David Benatia & Marine Carrasco & Jean-Pierre Florens, 2017. "Functional linear regression with functional response," Post-Print hal-03523162, HAL.
  3. Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2017_1709, CEMFI.
  4. Marine Carrasco & Barbara Rossi, 2016. "In-sample inference and forecasting in misspecified factor models," Economics Working Papers 1530, Department of Economics and Business, Universitat Pompeu Fabra.
  5. Marine Carrasco & Guy Tchuente, 2016. "Regularization Based Anderson Rubin Tests for Many Instruments," Studies in Economics 1608, School of Economics, University of Kent.
  6. Marine Carrasco & Rachidi Kotchoni, 2013. "Efficient Estimation Using the Characteristic Function," Working Papers hal-00867850, HAL.
  7. Guy Tchuente & Marine Carrasco, 2013. "Regularized LIML for many instruments," CIRANO Working Papers 2013s-20, CIRANO.
  8. Guy Tchuente & Marine Carrasco, 2013. "Efficient estimation with many weak instruments using regularization techniques," CIRANO Working Papers 2013s-21, CIRANO.
  9. Marine Carrasco & Rachidi Kotchoni, 2011. "Adaptive Realized Kernels," CIRANO Working Papers 2011s-29, CIRANO.
  10. Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation for Research in Economics, Yale University.
  11. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
  12. Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings 436, Econometric Society.
  13. Marine Carrasco & Liang Hu, 2004. "Optimal test for Markov switching," 2004 Meeting Papers 374, Society for Economic Dynamics.
  14. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
  15. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
  16. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Spectral Method for Deconvolving a Density," IDEI Working Papers 138, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2009.
  17. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Efficient GMM Estimation Using the Empirical Characteristic Function," IDEI Working Papers 140, Institut d'Économie Industrielle (IDEI), Toulouse.
  18. Marine Carrasco, 2000. "Chi-square Tests when a Nuisance Parameter is Present only under the Alternative," Working Papers 2000-34, Center for Research in Economics and Statistics.
  19. Marine H. Carrasco & Jean-Pierre Florens, 2000. "Estimation of a Mixture via the Empirical Characteristic Function," Econometric Society World Congress 2000 Contributed Papers 0514, Econometric Society.
  20. Marine Carrasco & Xiaohong Chen, 1999. "b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models," Working Papers 99-41, Center for Research in Economics and Statistics.
  21. Marine Carrasco, "undated". "Kernel Estimation of the Density of a Change-Point in the Mean," Computing in Economics and Finance 1997 156, Society for Computational Economics.

Articles

  1. Amengual, Dante & Carrasco, Marine & Sentana, Enrique, 2020. "Testing distributional assumptions using a continuum of moments," Journal of Econometrics, Elsevier, vol. 218(2), pages 655-689.
  2. Carrasco, Marine & Kotchoni, Rachidi, 2017. "Efficient Estimation Using The Characteristic Function," Econometric Theory, Cambridge University Press, vol. 33(2), pages 479-526, April.
  3. Benatia, David & Carrasco, Marine & Florens, Jean-Pierre, 2017. "Functional linear regression with functional response," Journal of Econometrics, Elsevier, vol. 201(2), pages 269-291.
  4. Marine CARRASCO & Mohamed DOUKALI, 2017. "Efficient Estimation Using Regularized Jackknife IV Estimator," Annals of Economics and Statistics, GENES, issue 128, pages 109-149.
  5. Marine Carrasco & Barbara Rossi, 2016. "Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 353-356, July.
  6. Marine Carrasco & Guy Tchuente, 2016. "Efficient Estimation with Many Weak Instruments Using Regularization Techniques," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1609-1637, December.
  7. Marine Carrasco & Barbara Rossi, 2016. "In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
  8. Carrasco, Marine & Tchuente, Guy, 2015. "Regularized LIML for many instruments," Journal of Econometrics, Elsevier, vol. 186(2), pages 427-442.
  9. Marine Carrasco & Rachidi Kotchoni, 2015. "Adaptive Realized Kernels," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(4), pages 757-797.
  10. Marine Carrasco & Liang Hu & Werner Ploberger, 2014. "Optimal Test for Markov Switching Parameters," Econometrica, Econometric Society, vol. 82(2), pages 765-784, March.
  11. Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(2), pages 372-406, April.
  12. Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
  13. Carrasco, Marine & Florens, Jean-Pierre, 2011. "A Spectral Method For Deconvolving A Density," Econometric Theory, Cambridge University Press, vol. 27(3), pages 546-581, June.
  14. Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annals of Economics and Statistics, GENES, issue 99-100, pages 395-427.
  15. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010. "Nonlinearity and temporal dependence," Journal of Econometrics, Elsevier, vol. 155(2), pages 155-169, April.
  16. Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, vol. 140(2), pages 529-573, October.
  17. Frederic Bec & Melika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 382-395, October.
  18. Carrasco, Marine, 2004. "03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution," Econometric Theory, Cambridge University Press, vol. 20(1), pages 228-229, February.
  19. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(1), pages 17-39, February.
  20. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
  21. Marine Carrasco & Stéphane Gregoir, 2002. "Policy Evaluation in Macroeconometric Doubly Stochastic Models," Annals of Economics and Statistics, GENES, issue 67-68, pages 73-109.
  22. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Simulation-Based Method of Moments and Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 482-492, October.
  23. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(6), pages 797-834, December.

Chapters

  1. Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric, 2007. "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77, Elsevier.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Recursive Impact Factor
  2. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  3. Number of Citations, Weighted by Simple Impact Factor
  4. Number of Citations, Weighted by Recursive Impact Factor
  5. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  7. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  8. Number of Journal Pages, Weighted by Simple Impact Factor
  9. Number of Journal Pages, Weighted by Recursive Impact Factor
  10. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  11. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  12. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 20 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (16) 2004-08-16 2004-09-30 2004-09-30 2004-12-02 2008-05-24 2009-02-07 2009-05-16 2009-05-16 2010-07-24 2011-02-26 2013-10-11 2014-04-18 2014-04-18 2016-07-23 2016-10-30 2018-11-19. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 2003-04-27 2004-09-30 2004-09-30 2004-12-02 2008-05-24 2010-07-24 2011-02-26. Author is listed
  3. NEP-ORE: Operations Research (6) 2008-05-24 2009-02-07 2010-07-24 2013-10-11 2014-04-18 2016-08-07. Author is listed
  4. NEP-FOR: Forecasting (2) 2016-07-23 2016-08-07
  5. NEP-IFN: International Finance (2) 2004-09-30 2009-05-16
  6. NEP-MST: Market Microstructure (2) 2011-02-26 2013-10-11
  7. NEP-CBA: Central Banking (1) 2009-05-16
  8. NEP-CSE: Economics of Strategic Management (1) 2016-08-07
  9. NEP-RMG: Risk Management (1) 2003-04-27

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