I am originally from Madrid, Spain. I attended Universidad Complutense de Madrid, where I received a B.S. in math, and University Carlos III de Madrid where I received a Ph.D. in Economics in 2004. Following two years on the faculty of the Universidad de Navarra, in Pamplona, Spain, I came to Indiana University in 2006 as an Assistant Professor of Economics. My research interests fall broadly into the area of econometric theory, with an emphasis on specification testing in econometric models for cross section and time series sequences. Most of my research has focused on the development of consistent specification tests using the modern theory of empirical processes for dependent data. I have published papers in Journal of the American Statistical Society, Journal of Econometrics, Econometric Theory, Statistica Sinica, Computational Statistics and Data Analysis.
Juan Carlos Escanciano
By this expert
We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions (without imposing functional restrictions or just assuming completeness).