Department of Economics, University of
Département de sciences économiques, Université
C.P. 6128, succursale Centre-ville, Montréal QC H3C 3J7, Canada
Office: C-6044 - Phone: 514-343-2394
Email: marine.carrasco [at] umontreal.ca
Ph.D. University of
Toulouse I (France)
Research Interests: Econometrics, time-series, finance, non linear
models, GMM, empirical likelihood.
Research fellow of CIRANO
and CIREQ. Research associate at the Info-Metrics
Associate Editor for Journal of Financial Econometrics.
Second Time Series Conference – Montreal, December 8-9, 2006
GMM Conference - Montreal, November 16-17, 2007
Third Time Series Conference – Montreal, May 22-23, 2009
Fourth Time Series Conference – Montreal, May 14-15, 2010
Fifth Time Series Conference – Montreal, May 27-28, 2011
Econometrics Conference “High-Dimensional Problems in Econometrics” – Montreal,
May 4-5, 2012
Congress of the Econometric Society, Montreal,
August 17-21, 2015, member of the local organizing committee.
Econometrics Conference in honor of Jean-Marie Dufour
– Montreal, May 7-8, 2016
Econometrics Conference on Inference in Large Econometrics Models – Montreal, May 5-6, 2017
Econometrics Conference on “Recent
Advances in the Method of Moments” – Montreal, April
- "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.
Structural Change, Threshold and Markov-Switching Models", 2002, Journal
of Econometrics, Vol. 109, No.2, 239-273. [PDF
- "Simulation Based
Method of Moments and Efficiency", (with J.-P. Florens),
2002, Journal of Business & Economic Statistics, Vol. 20, No.
- "Policy evaluation in macroeconometric doubly stochastic models", (with
Stephane Gregoir), Annales d'Economie
et de Statistique, Juillet/Decembre 2002, 73-109. [PDF
- "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
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
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,
of Moments”, The International Encyclopedia of the Social Sciences,
2d edition, Thomson Gale, 2007.
and Temporal Dependence" (with Xiaohong
Chen and Lars
Peter Hansen), 2010, Journal of Econometrics, Vol 155, 2, 155-169.
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,
method for deconvolving a density”, (with J.-P. Florens),
2011, Econometric Theory, 27, issue 03, p.
regularization approach to the many instruments problem”, 2012, Journal of Econometrics, Vol 170,
Introduction”, (with M. Caner, E. Renault, and Y. Kitamura), 2012, Journal of Econometrics, Vol 170,
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.
Test for Markov Switching Parameters”, (with Liang Hu and Werner Ploberger), 2014, Econometrica, Vol 82, N.2, 765-784. Appendix.
and GAUSS programs used in this paper.
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.
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.
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
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.
linear regression with functional response”, with David Benatia and Jean-Pierre Florens,
2017, forthcoming in Journal of
Econometrics. Matlab code