Department of Economics, University of Montreal

Marine Carrasco

Professor of Economics

Département de sciences économiques, Université de Montréal
C.P. 6128, succursale Centre-ville, Montréal QC H3C 3J7, Canada
Office: C-6044 - Phone: 514-343-2394
marine.carrasco [at]


Ph.D. University of Toulouse I (France)


Research Interests: Big data, Econometrics, time-series, finance, non linear models, GMM, empirical likelihood.

Research fellow of CIRANO and CIREQ. Research associate at the Info-Metrics Institute.

Download CV here.

Associate Editor for Journal of Financial Econometrics from 2007 to 2019.

Associate Editor for Econometric Theory since 2011.

Associate Editor for The Econometrics Journal since 2021.

Associate Editor for Journal of Business & Economic Statistics since 2022.


President-elect of the Société canadienne de science économique

Prix Marcel-Dagenais (2018)

Econometric Theory Multa Scripsit Award (2017).


Co-organized conferences:

CIREQ Second Time Series Conference – Montreal, December 8-9, 2006

CIREQ GMM Conference - Montreal, November 16-17, 2007

CIREQ Third Time Series Conference – Montreal, May 22-23, 2009

CIREQ Fourth Time Series Conference – Montreal, May 14-15, 2010

CIREQ Fifth Time Series Conference – Montreal, May 27-28, 2011

CIREQ Econometrics Conference “High-Dimensional Problems in Econometrics” – Montreal, May 4-5, 2012


World Congress of the Econometric Society, Montreal, August 17-21, 2015, member of the local organizing committee.


CIREQ Econometrics Conference in honor of Jean-Marie Dufour – Montreal, May 7-8, 2016


CIREQ Econometrics Conference on Inference in Large Econometrics Models  – Montreal, May 5-6, 2017


CIREQ Econometrics Conference on “Recent Advances in the Method of Moments”  – Montreal, April 27-28, 2018


SCSE conference, Montreal, May 11-13, 2022


My web page on Inverse Problems in Econometrics 

Selected Publications:

·        "Generalization of GMM to a Continuum of Moment Conditions" (with Jean-Pierre Florens), 2000, Econometric Theory, Vol. 16, 797-834 (lead article). 

·        "ß-mixing and Moment Properties of RCA models with application to GARCH(p,q)" (with Xiaohong Chen), 2000, Comptes Rendus de l'Académie des Sciences, t.331, Serie I, 85-90.

·        "Mixing and Moment Properties of Various GARCH and Stochastic Volatility Models" (with Xiaohong Chen), 2002, Econometric Theory, Vol. 18, No. 1, 17-39. 

·        "Misspecified Structural Change, Threshold and Markov-Switching Models", 2002, Journal of Econometrics, Vol. 109, No.2, 239-273. [PDF file]

·        "Simulation Based Method of Moments and Efficiency", (with J.-P. Florens), 2002, Journal of Business & Economic Statistics, Vol. 20, No. 4, 482-492.[PDF file]

·        "Policy evaluation in macroeconometric doubly stochastic models", (with Stephane Gregoir),  Annales d'Economie et de Statistique, Juillet/Decembre 2002, 73-109. [PDF file]

·        "Tests for unit-root versus Threshold specification with an application to the PPP", (with Frederique Bec and Melika Ben Salem), 2004, Journal of Business & Economic Statistics , Vol. 22, No. 4, 382-395. [PDF file]

·        "Efficient estimation of general dynamic models with a continuum of moment conditions", (with Mikhail Chernov, Jean-Pierre Florens, and Eric Ghysels), 2007, Journal of Econometrics, 140, 529-573. Matlab programs used in this paper [zipped files].

·        "Linear Inverse Problems and Structural Econometrics: Estimation Based on Spectral Decomposition and Regularization", (with Jean-Pierre Florens and Eric Renault), Handbook of Econometrics, Vol. 6B, edited by J. Heckman and E. Leamer, 2007.

·        “Method of Moments”, The International Encyclopedia of the Social Sciences, 2d edition, Thomson Gale, 2007.

·        "Nonlinearity and Temporal Dependence" (with Xiaohong Chen and Lars Peter Hansen), 2010, Journal of Econometrics, Vol 155, 2, 155-169.

·        “Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model”, (with Frédérique Bec and Mélika Ben Salem), 2010, Annales d’Économie et de Statistique, Number 99/100.

·        “Spectral method for deconvolving a density”, (with J.-P. Florens), 2011, Econometric Theory, 27, issue 03, p. 546-581.

·         “A regularization approach to the many instruments problem”, 2012, Journal of Econometrics, Vol 170, 2, 383-398.

·         “Editors’ Introduction”, (with M. Caner, E. Renault, and Y. Kitamura), 2012, Journal of Econometrics, Vol 170, 2, 251-255.

·        Asymptotic Normal Inference in Linear Inverse Problems”, (with Jean-Pierre Florens and Eric Renault), 2014, in the Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics, Oxford University Press.

·        Optimal Test for Markov Switching Parameters”, (with Liang Hu and Werner Ploberger), 2014, Econometrica, Vol 82, N.2, 765-784. Appendix. Data and GAUSS programs used in this paper.

·        “On the asymptotic efficiency of GMM” (with Jean-Pierre Florens), 2014, Econometric Theory, Vol 30, Issue 2, 372-406.

·        Regularized LIML for many instruments (with Guy Tchuente), 2015, Journal of Econometrics, 186, 427-442. Matlab programs.

·        Editorial: High dimensional problems in econometrics (with Silvia Goncalves, Victor Chernozhukov, and Eric Renault), 2015, Journal of Econometrics, 186, 277-279.

·        “Adaptive Realized Kernels” (with Rachidi Kotchoni), 2015, Journal of Financial Econometrics, Vol. 13, N.4, 757-797.

·        Efficient estimation with many weak instruments using regularization techniques (with Guy Tchuente), 2016, Econometric Reviews, 35, 1609-1637.

·        “In-sample Inference and Forecasting in Misspecified Factor Models” (with Barbara Rossi), 2016, Journal of Business & Economic Statistics, Vol. 34, N.3, 313-338 (with comments and rejoinder).

·        “Efficient Estimation using the Characteristic Function” (with Rachidi Kotchoni), 2017,  Econometric Theory, Vol 33, 2, 479-526.

·         Efficient estimation using regularized Jackknife IV estimator, with Mohamed Doukali, Annals of Economics and Statistics, N. 128, December 2017.

·        “Functional linear regression with functional response”, with David Benatia and Jean-Pierre Florens, 2017, Journal of Econometrics, 201, 269-291. Matlab code and data.

·        “The continuum-GMM Estimation: Theory and Application” (with Rachidi Kotchoni), in  International Financial Markets, Vol 1. Editors: Julien Chevallier, Stéphane Goutte, David Guerreiro, Sophie Saglio, Bilel Sanhaji, Routledge. 2019.

·        “Testing distributional assumptions using a continuum of moments”, with Dante Amengual and Enrique Sentana, Journal of Econometrics, 2020, 218, 655-689.

·        “Editor’s introduction: Special Issue in Honor of Jean-Marie Dufour on Identification, Inference, and Causality” (with Marcelo Moreira, Benoit Perron, Victoria Zinde-Walsh), Journal of Econometrics, 2020, 218, 243-246.

·        “Testing overidentifying restrictions with many instruments and heteroskedasticity using regularized Jackknife IV”, with Mohamed Doukali, The Econometrics Journal, 2022, 25, 71-97.



Working Papers:

·        “Risk Neutral Density Estimation with a Functional Linear Model”, with  Idriss Tsafack.

·        “A regularization approach to the dynamic panel data model estimation”, with Ada Nayihouba.

·        “Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility”, with N’Golo Koné.

·        Theoretical Comparison of the Functional Principal Component Analysis and Functional Partial Least Squares”, with Idriss Tsafack. Link to a 5 minutes video.

·         “Optimal Portfolio Selection Using Regularization”, with Nérée Noumon.


Rev. 2022/01/07.