← All authors Juan Carlos Escanciano Universidad Carlos III de Madrid (from arXiv:2602.01417, 2026) · ORCID · OpenAlex
58 papers in scope · 49 published · 14 on the econ.EM arXiv · 2,144 citations · h-index 23 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
James M. Robins Victor Chernozhukov Whitney K. Newey Vasilis Syrgkanis Hidehiko Ichimura Rahul Singh Facundo Argañaraz Christian Hansen Joël Terschuur Shota Yasui Max H. Farrell Alexandre Belloni Tatsushi Oka Undral Byambadalai Stephen Coussens Matias D. Cattaneo Adam Lee Jiaqi Huang Tengyuan Liang Nathan Kallus Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (15 of 58)
working paper 2026 · arXiv
published 2025 · Journal of Business and Economic Statistics · 1 citations · first circulated 2024
published 2025 · Journal of nonparametric statistics · 2 citations · first circulated 2020
working paper 2025 · arXiv
working paper 2024 · arXiv
A Gaussian process approach to model checks
published 2024 · The Annals of Statistics · 4 citations
The case for CASE: Estimating heterogeneous systemic effects
published 2023 · Journal of Banking & Finance · 1 citations
with Zaichao Du, Guangwei Zhu
working paper 2023 · arXiv
published 2023 · Journal of Applied Econometrics · 6 citations · first circulated 2020
working paper 2023 · arXiv · 1 citations
working paper 2023 · arXiv
working paper 2022 · arXiv · 2 citations
Generalized band spectrum estimation with an application to the New Keynesian Phillips curve
published 2022 · Journal of Applied Econometrics · 4 citations · first circulated 2017
with Jinho Choi, Junjie Guo
published 2022 · Journal of Econometrics · 3 citations · first circulated 2020
published 2022 · Econometrica · 127 citations · first circulated 2016
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
published 2020 · Econometric Theory · 16 citations · first circulated 2017
published 2020 · Journal of Econometrics · 8 citations · first circulated 2018
with Wei Li
working paper 2020 · arXiv
IDENTIFYING MULTIPLE MARGINAL EFFECTS WITH A SINGLE INSTRUMENT
published 2020 · Econometric Theory · 12 citations · first circulated 2015
Two-step semiparametric empirical likelihood inference
published 2020 · The Annals of Statistics · 27 citations · first circulated 2015
Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
published 2019 · Journal of Business and Economic Statistics · 11 citations · first circulated 2017
Asymptotic distribution-free tests for semiparametric regressions with dependent data
published 2018 · The Annals of Statistics · 13 citations · first circulated 2015
working paper 2018 · arXiv
Automatic Portmanteau Tests with Applications to Market Risk Management
published 2017 · The Stata Journal Promoting communications on statistics and Stata · 5 citations
with Guangwei Zhu, Zaichao Du
A simple and robust estimator for linear regression models with strictly exogenous instruments
published 2017 · Econometrics Journal · 18 citations · first circulated 2016
Testing for fundamental vector moving average representations
published 2017 · Quantitative Economics · 20 citations · first circulated 2015
with Bin Chen, Jinho Choi
Identification and estimation of semiparametric two-step models
published 2016 · Quantitative Economics · 64 citations
Backtesting Expected Shortfall: Accounting for Tail Risk
published 2016 · Management Science · 172 citations · first circulated 2015
with Zaichao Du
Distribution-free tests of conditional moment inequalities
published 2015 · Journal of Statistical Planning and Inference · 7 citations
Semiparametric Estimation of Risk–Return Relationships
published 2015 · Journal of Business and Economic Statistics · 9 citations
A Nonparametric Distribution-Free Test for Serial Independence of Errors
published 2014 · Econometric Reviews · 9 citations
with Zaichao Du
A Simple Data-Driven Estimator for the Semiparametric Sample Selection Model
published 2014 · Econometric Reviews · 6 citations
with Lin Zhu
Nonparametric Distribution-Free Model Checks for Multivariate Dynamic Regressions
published 2013 · Springer proceedings in mathematics & statistics
Specification analysis of linear quantile models
published 2013 · Journal of Econometrics · 49 citations
with S. C. Goh
Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
published 2013 · Journal of Econometrics · 62 citations · first circulated 2012
Automatic Specification Testing for Vector Autoregressions and Multivariate Nonlinear Time Series Models
published 2013 · Journal of Business and Economic Statistics · 17 citations
with Ignacio N. Lobato, Lin Zhu
Conditional Stochastic Dominance Testing
published 2012 · Journal of Business and Economic Statistics · 37 citations · first circulated 2011
Pitfalls in backtesting Historical Simulation VaR models
published 2012 · Journal of Banking & Finance · 55 citations
with Pei Pei
Distribution-free tests of stochastic monotonicity
published 2012 · Journal of Econometrics · 46 citations
-uniformly consistent density estimation in nonparametric regression models
published 2011 · Journal of Econometrics · 32 citations
with David T. Jacho-Chávez
Specification tests of parametric dynamic conditional quantiles
published 2010 · Journal of Econometrics · 57 citations · first circulated 2006
with Carlos Velasco, Iii Madrid
Robust Backtesting Tests for Value-at-risk Models
published 2010 · Journal of Financial Econometrics · 55 citations · first circulated 2008
Data-driven smooth tests for the martingale difference hypothesis
published 2010 · Computational Statistics & Data Analysis · 16 citations · first circulated 2007
with Silvia Mayoral
Backtesting Parametric Value-at-Risk With Estimation Risk
published 2009 · Journal of Business and Economic Statistics · 34 citations · first circulated 2008
Testing single-index restrictions with a focus on average derivatives
published 2009 · Journal of Econometrics · 18 citations
ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
published 2009 · Econometric Theory · 3 citations
An automatic Portmanteau test for serial correlation
published 2009 · Journal of Econometrics · 281 citations
with Ignacio N. Lobato
QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
published 2009 · Econometric Theory · 50 citations · first circulated 2008
ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
published 2009 · Econometric Theory · 54 citations
Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
published 2008 · Computational Statistics & Data Analysis · 11 citations
with David T. Jacho-Chávez
Semiparametric estimation of dynamic conditional expected shortfall models
published 2008 · International Journal of Monetary Economics and Finance · 6 citations
with Silvia Mayoral
Joint and marginal specification tests for conditional mean and variance models
published 2007 · Journal of Econometrics · 33 citations · first circulated 2006
Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
published 2007 · Journal of Multivariate Analysis · 32 citations
Nonparametric tests for conditional symmetry in dynamic models
published 2006 · Journal of Econometrics · 81 citations
A CONSISTENT DIAGNOSTIC TEST FOR REGRESSION MODELS USING PROJECTIONS
published 2006 · Econometric Theory · 188 citations · first circulated 2005
Testing the martingale difference hypothesis using integrated regression functions
published 2006 · Computational Statistics & Data Analysis · 27 citations
with Carlos Velasco
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
published 2006 · Journal of the American Statistical Association · 124 citations
Generalized spectral tests for the martingale difference hypothesis
published 2005 · Journal of Econometrics · 228 citations · first circulated 2003
with Carlos Velasco
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