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Juan Carlos Escanciano

Personal Details

First Name:Juan Carlos
Middle Name:
Last Name:Escanciano
Suffix:
RePEc Short-ID:pes22
Terminal Degree:2004 Departamento de Economía; Universidad Carlos III de Madrid (from RePEc Genealogy)

Affiliation

Departamento de Economía
Universidad Carlos III de Madrid

Madrid, Spain
http://www.eco.uc3m.es/

: +34-91 6249594
+34-91 6249329
C./ Madrid, 126, 28903 Getafe (Madrid)
RePEc:edi:deuc3es (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software Books Editorship

Working papers

  1. Juan Carlos Escanciano, 2020. "Irregular Identification of Structural Models with Nonparametric Unobserved Heterogeneity," Papers 2005.08611, arXiv.org.
  2. Carolina Caetano & Gregorio Caetano & Juan Carlos Escanciano, 2020. "Regression Discontinuity Design with Multivalued Treatments," Papers 2007.00185, arXiv.org.
  3. Juan Carlos Escanciano, 2020. "Uniform Rates for Kernel Estimators of Weakly Dependent Data," Papers 2005.09951, arXiv.org.
  4. Juan Carlos Escanciano & Chuan Goh, 2018. "Quantile-Regression Inference With Adaptive Control of Size," Papers 1807.06977, arXiv.org, revised Sep 2019.
  5. Juan Carlos Escanciano & Wei Li, 2018. "Optimal Linear Instrumental Variables Approximations," Papers 1805.03275, arXiv.org, revised Feb 2020.
  6. Escanciano, Juan Carlos & Pardo-Fernandez, Juan Carlos & Van Keilegom, Ingrid, 2018. "Asymptotic distribution-free tests for semiparametric regressions with dependent data," ISBA Reprints (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences) 2018039, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. Junjie Guo & Juan Carlos Escanciano & Jinho Choi, 2017. "Identification and Generalized Band Spectrum Estimation of the New Keynesian Phillips Curve," CAEPR Working Papers 2017-014, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  8. Juan Carlos Escanciano & Javier Hualde, 2017. "Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk," CAEPR Working Papers 2017-017, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  9. Zaichao Du & Juan Carlos Escanciano & Guangwei Zhu, 2017. "Automatic Portmanteau Tests with Applications to Market Risk Management," CAEPR Working Papers 2017-002, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  10. Juan Carlos Escanciano, 2016. "A Simple and Robust Estimator for Linear Regression Models with Strictly Exogenous Instruments," CAEPR Working Papers 2017-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  11. Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey, 2016. "Locally robust semiparametric estimation," CeMMAP working papers CWP31/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  12. Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins, 2016. "Locally Robust Semiparametric Inference with Debiased GMM," Papers 1608.00033, arXiv.org, revised Jul 2020.
  13. Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015. "Nonparametric Euler equation identification and estimation," CeMMAP working papers CWP61/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  14. Juan Carlos Escanciano, 2015. "Uniformly Consistent Estimation of Linear Regression Models with Strictly Exogenous Instruments," CAEPR Working Papers 2015-023, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  15. Carolina Caetano & Juan Carlos Escaniano, 2015. "Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity," CAEPR Working Papers 2015-009, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  16. Juan Carlos Escanciano & Zaichao Du, 2015. "Backtesting Expected Shortfall: Accounting for Tail Risk," CAEPR Working Papers 2015-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  17. Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2015. "Testing for Fundamental Vector Moving Average Representations," CAEPR Working Papers 2015-022, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  18. 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.
  19. Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013. "Semiparametric Estimation Of Risk-Return Relationships," CAEPR Working Papers 2013-004, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  20. 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.
  21. 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, Department of Economics, Indiana University Bloomington.
  22. 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.
  23. Escanciano, Juan Carlos & Delgado, Miguel A., 2011. "Conditional stochastic dominance testing," UC3M Working papers. Economics we1138, Universidad Carlos III de Madrid. Departamento de Economía.
  24. 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, Department of Economics, Indiana University Bloomington.
  25. J. Carlos Escanciano & Carlos Velasco, 2010. "Specification tests of parametric dynamic conditional quantiles," Post-Print hal-00732534, HAL.
  26. 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.
  27. Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
  28. Escanciano, Juan Carlos & Delgado, Miguel A., 2010. "Testing conditional monotonicity in the absence of smoothness," UC3M Working papers. Economics we1017, Universidad Carlos III de Madrid. Departamento de Economía.
  29. 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, Department of Economics, Indiana University Bloomington.
  30. 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, Department of Economics, Indiana University Bloomington.
  31. 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.
  32. Juan Carlos Escanciano & Jose Olmo, 2007. "Backtesting Parametric Value-at-Risk with Estimation Risk," CAEPR Working Papers 2007-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, revised Sep 2008.
  33. 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, Department of Economics, Indiana University Bloomington.
  34. Juan Carlos Escanciano & Silvia Mayoral, 2007. "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers 01/07, School of Economics and Business Administration, University of Navarra.
  35. 1 & 1, 2007. "," Working Papers 07/11, Department of Economics, City University London.
    • 1 & 1 & 1, 2009. "," Working Papers 09/10, Department of Economics, City University London.
    • 1 & 1, 2011. "," Working Papers 11/02, Department of Economics, City University London.
    • 1 & 1, 2007. "," Working Papers 07/02, Department of Economics, City University London.
    • 1 & 1 & 1, 2009. "," Working Papers 09/05, Department of Economics, City University London.
    • 1, 2006. "," Working Papers 06/01, Department of Economics, City University London.
    • 1, 2007. "," Working Papers 07/01, Department of Economics, City University London.
    • 1 & 1 & 1, 2012. "," Working Papers 12/03, Department of Economics, City University London.
    • 1 & 1, 2008. "," Working Papers 08/11, Department of Economics, City University London.
    • 1 & 1, 2008. "," Working Papers 08/15, Department of Economics, City University London.
    • 1 & 1, 2008. "," Working Papers 08/09, Department of Economics, City University London.
    • 1 & 1, 2008. "," Working Papers 08/08, Department of Economics, City University London.
    • 1 & 1, 2007. "," Working Papers 07/10, Department of Economics, City University London.
    • 1, 2009. "," Working Papers 09/09, Department of Economics, City University London.
  36. 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.
  37. Juan Carlos Escanciano & Carlos Velasco, 2006. "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. Escanciano, Juan Carlos & Velasco, Carlos, 2003. "Generalized spectral tests for the martingale difference hypothesis," DES - Working Papers. Statistics and Econometrics. WS ws035312, Universidad Carlos III de Madrid. Departamento de Estadística.

Articles

  1. J. C. Escanciano & S. C. Goh, 2019. "Quantile-Regression Inference With Adaptive Control of Size," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(527), pages 1382-1393, July.
  2. Juan Carlos Escanciano, 2018. "A simple and robust estimator for linear regression models with strictly exogenous instruments," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 36-54, February.
  3. Guangwei Zhu & Zaichao Du & Juan Carlos Escanciano, 2017. "Automatic portmanteau tests with applications to market risk management," Stata Journal, StataCorp LP, vol. 17(4), pages 901-915, December.
  4. Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2017. "Semiparametric Estimation of Risk–Return Relationships," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 40-52, January.
  5. Bin Chen & Jinho Choi & Juan Carlos Escanciano, 2017. "Testing for fundamental vector moving average representations," Quantitative Economics, Econometric Society, vol. 8(1), pages 149-180, March.
  6. Juan Carlos Escanciano & David Jacho‐Chávez & Arthur Lewbel, 2016. "Identification and estimation of semiparametric two‐step models," Quantitative Economics, Econometric Society, vol. 7(2), pages 561-589, July.
  7. Juan Carlos Escanciano & Lin Zhu, 2015. "A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 734-762, December.
  8. Zaichao Du & Juan Carlos Escanciano, 2015. "A Nonparametric Distribution-Free Test for Serial Independence of Errors," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1011-1034, December.
  9. Escanciano, J.C. & Goh, S.C., 2014. "Specification analysis of linear quantile models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 495-507.
  10. 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.
  11. 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.
  12. 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.
  13. Delgado, Miguel A. & Escanciano, Juan Carlos, 2012. "Distribution-free tests of stochastic monotonicity," Journal of Econometrics, Elsevier, vol. 170(1), pages 68-75.
  14. Escanciano, Juan Carlos & Pei, Pei, 2012. "Pitfalls in backtesting Historical Simulation VaR models," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2233-2244.
  15. 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.
  16. Escanciano, Juan Carlos & Velasco, Carlos, 2010. "Specification tests of parametric dynamic conditional quantiles," Journal of Econometrics, Elsevier, vol. 159(1), pages 209-221, November.
  17. 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.
  18. 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.
  19. 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.
  20. Escanciano, J. Carlos, 2010. "Asymptotic Distribution-Free Diagnostic Tests For Heteroskedastic Time Series Models," Econometric Theory, Cambridge University Press, vol. 26(3), pages 744-773, June.
  21. 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.
  22. 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.
  23. Escanciano, J. Carlos, 2009. "On The Lack Of Power Of Omnibus Specification Tests," Econometric Theory, Cambridge University Press, vol. 25(1), pages 162-194, February.
  24. 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.
  25. Escanciano, Juan Carlos, 2009. "Quasi-Maximum Likelihood Estimation Of Semi-Strong Garch Models," Econometric Theory, Cambridge University Press, vol. 25(2), pages 561-570, April.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. Escanciano, J. Carlos, 2006. "A Consistent Diagnostic Test For Regression Models Using Projections," Econometric Theory, Cambridge University Press, vol. 22(6), pages 1030-1051, December.
  32. 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.

Software components

  1. Carolina Caetano & Juan Carlos Escanciano & Alon Bergman, 2019. "MMEIV: Stata module to perform Multiple Marginal Effects IV Estimation," Statistical Software Components S458674, Boston College Department of Economics.

Books

  1. Matias D. Cattaneo & Juan Carlos Escanciano (ed.), 2017. "Regression Discontinuity Designs," Advances in Econometrics, Emerald Publishing Ltd, volume 38, number aeco.2017.38, September.

Editorship

  1. Advances in Econometrics, Emerald Publishing Ltd.
  2. Advances in Econometrics, Emerald Publishing Ltd.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  3. Number of Journal Pages, Weighted by Simple Impact Factor
  4. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  6. Betweenness measure in co-authorship network
  7. Record of graduates

Co-authorship network on CollEc

Featured entries

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

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 33 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 (29) 2004-10-18 2005-03-06 2005-06-05 2005-07-03 2006-07-02 2007-02-10 2007-02-10 2007-03-24 2007-05-26 2007-06-18 2010-08-14 2010-09-25 2010-09-25 2010-11-27 2011-04-02 2012-01-25 2013-10-25 2013-11-16 2015-06-20 2015-12-28 2016-01-03 2016-04-04 2016-08-14 2017-03-26 2017-12-11 2018-05-21 2018-08-20 2020-06-15 2020-06-29. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 2005-03-06 2005-06-05 2006-07-02 2007-02-10 2007-06-18 2015-12-28 2020-06-29. Author is listed
  3. NEP-RMG: Risk Management (4) 2007-03-24 2007-05-26 2017-03-26 2017-12-18
  4. NEP-MAC: Macroeconomics (3) 2015-11-01 2016-04-04 2017-12-11
  5. NEP-BAN: Banking (2) 2007-03-24 2007-05-26
  6. NEP-ORE: Operations Research (2) 2015-11-01 2016-04-04
  7. NEP-UPT: Utility Models & Prospect Theory (2) 2015-11-01 2016-04-04
  8. NEP-BIG: Big Data (1) 2017-10-08
  9. NEP-CFN: Corporate Finance (1) 2007-03-24
  10. NEP-FMK: Financial Markets (1) 2007-05-26
  11. NEP-MIC: Microeconomics (1) 2010-09-25

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