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A Simple Test for Identification in GMM under Conditional Moment Restrictions

Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke - In: Essays in honor of Jerry Hausman, (pp. 455-477). 2012

This chapter proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is a Hausman-type test based on the Hausdorff distance between an estimator that is consistent even under...

Persistent link: https://www.econbiz.de/10015378517

Automatic specification testing for vector autoregressions and multivariate nonlinear time series models

Escanciano, Juan Carlos; Lobato, Ignacio N.; Zhu, Lin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 426-437

Persistent link: https://www.econbiz.de/10010337859

Pitfalls in backtesting Historical Simulation VaR models

Escanciano, Juan Carlos; Pei, Pei - In: Journal of banking & finance 36 (2012) 8, pp. 2233-2244

Persistent link: https://www.econbiz.de/10009655641

Pitfalls in backtesting historical simulation VaR Models

Escanciano, Juan Carlos; Pei, Pei - 2012

Persistent link: https://www.econbiz.de/10009562976

Testing single-index restrictions with a focus on average derivatives

Escanciano, Juan Carlos; Song, Kyungchul - In: Journal of econometrics 156 (2010) 2, pp. 377-391

Persistent link: https://www.econbiz.de/10008648805

A nonparametric distribution-free test for serial independence of errors

Du, Zaichao; Escanciano, Juan Carlos - In: Econometric reviews 34 (2015) 6/10, pp. 1011-1034

Persistent link: https://www.econbiz.de/10011483448

A simple test for identification in GMM under conditional moment restrictions

Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke - 2011

This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global identification...

Persistent link: https://www.econbiz.de/10008934003

A simple test for identification in GMM under conditional moment restrictions

Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke - In: Essays in honor of Jerry Hausman, (pp. 455-477). 2012

Persistent link: https://www.econbiz.de/10009709129

Automatic Portmanteau tests with applications to market risk management

Du, Zaichao; Escanciano, Juan Carlos; Zhu, Guangwei - 2017

Persistent link: https://www.econbiz.de/10011688357

Testing conditional monotonicity in the absence of smoothness

Delgado, Miguel A.; Escanciano, Juan Carlos - 2010

Persistent link: https://www.econbiz.de/10009525650