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Mehmet Caner
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Cited by
Year
Threshold autoregression with a unit root
M Caner, BE Hansen
Econometrica 69 (6), 1555-1596, 2001
10272001
Instrumental variable estimation of a threshold model
M Caner, BE Hansen
Econometric Theory 20 (5), 813-843, 2004
7512004
Finding the tipping point-when sovereign debt turns bad
M Caner, TJ Grennes, FFN Köhler-Geib
Available at SSRN 1612407, 2010
3652010
Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate
M Caner, L Kilian
Journal of International Money and Finance 20 (5), 639-657, 2001
2692001
Lasso-type GMM estimator
M Caner
Econometric Theory 25 (1), 270-290, 2009
1472009
The validity of instruments revisited
D Berkowitz, M Caner, Y Fang
Journal of Econometrics 166 (2), 255-266, 2012
902012
Time-varying betas help in asset pricing: the threshold CAPM
L Akdeniz, A Altay-Salih, M Caner
Studies in Nonlinear Dynamics & Econometrics 6 (4), 2003
682003
A locally optimal seasonal unit-root test
M Caner
Journal of Business & Economic Statistics 16 (3), 349-356, 1998
631998
Sovereign wealth funds: The Norwegian experience
M Caner, T Grennes
World Economy 33 (4), 597-614, 2010
612010
Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative lasso
M Caner, AB Kock
Journal of Econometrics 203 (1), 143-168, 2018
582018
Adaptive elastic net for generalized methods of moments
M Caner, HH Zhang
Journal of Business & Economic Statistics 32 (1), 30-47, 2014
572014
Tests for cointegration with infinite variance errors
M Caner
Journal of Econometrics 86 (1), 155-175, 1998
551998
Are “nearly exogenous instruments” reliable?
D Berkowitz, M Caner, Y Fang
Economics Letters 101 (1), 20-23, 2008
542008
Selecting the correct number of factors in approximate factor models: The large panel case with group bridge estimators
M Caner, X Han
Journal of Business & Economic Statistics 32 (3), 359-374, 2014
502014
A note on least absolute deviation estimation of a threshold model
M Caner
Econometric Theory 18 (3), 800-814, 2002
462002
Are real exchange rates nonlinear or nonstationary? Evidence from a new threshold unit root test
E Basci, M Caner
Studies in Nonlinear Dynamics & Econometrics 9 (4), 2005
382005
Adaptive elastic net gmm estimation with many invalid moment conditions: Simultaneous model and moment selection
M Caner, X Han, Y Lee
Journal of Business & Economic Statistics 36 (1), 24-46, 2018
372018
Testing, estimation in GMM and CUE with nearly-weak identification
M Caner
Econometric Reviews 29 (3), 330-363, 2009
372009
Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso
M Caner, Q Fan
Journal of Econometrics 187 (1), 256-274, 2015
342015
An alternative to unit root tests: Bridge estimators differentiate between nonstationary versus stationary models and select optimal lag
M Caner, K Knight
Journal of Statistical Planning and Inference 143 (4), 691-715, 2013
252013
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