Marine Carrasco
- Professeure titulaire
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Faculté des arts et des sciences - Département de sciences économiques
Pavillon Lionel-Groulx office C6044
Web : CV
Web : CV en anglais
Web : Google Scholar
Web : Autre site web
Affiliations
- Membre – CIREQ — Centre interuniversitaire de recherche en économie quantitative
- Membre – CIRANO — Centre interuniversitaire de recherche en analyse des organisations
Areas of Expertise
Marine Carrasco graduated with a PhD from University of Toulouse (France). She taught at Ohio State University and Rochester University (USA). She has also been a researcher at CREST (INSEE, France). She joined our department in December 2005.
Her research interests focus on two main topics. First, she is interested in tests for parameter stability and their applications in macroeconomics and finance. Second, she works on regularization in big data. In particular, she studies the generalized method of moments with infinite number of moment conditions and regressions with many regressors.
She is co-editor of Journal of Financial Econometrics and associate editor of Econometric Theory, Econometrics Journal, Journal of Business & Economic Statistics, and Journal of Econometrics.
Student supervision Expand all Collapse all
Cycle : Master's
Grade : M. Sc. A.
Cycle : Doctoral
Grade : Ph. D.
Cycle : Master's
Grade : M. Sc.
Cycle : Doctoral
Grade : Ph. D.
Research projects Expand all Collapse all
Advances in functional linear regression Projet de recherche au Canada / 2022 - 2028
Estimation and inference in nonstandard settings Projet de recherche au Canada / 2020 - 2026
Économétrie financière, rendements des actions et choix de portefeuille Projet de recherche au Canada / 2019 - 2025
Subvention de déphasage_Centre interuniversitaire de recherche en économie quantitative (CIREQ) Projet de recherche au Canada / 2020 - 2023
Using partial least squares to obtain better instrumental variables estimators Projet de recherche au Canada / 2020 - 2022
FUNCTIONAL LINEAR REGRESSION Projet de recherche au Canada / 2015 - 2022
INFERENCE AND ESTIMATION WITH MANY MOMENT CONDITIONS Projet de recherche au Canada / 2014 - 2021
CENTRE INTERUNIVERSITAIRE DE RECHERCHE EN ECONOMIE QUANTITATIVE (CIREQ) Projet de recherche au Canada / 2014 - 2021
CENTRE INTERUNIVERSITAIRE DE RECHERCHE EN ECONOMIE QUANTITATIVE (CIREQ) Projet de recherche au Canada / 2008 - 2015
REGULARIZATION TECHNIQUES IN ECONOMETRICS Projet de recherche au Canada / 2010 - 2012
Publications Expand all Collapse all
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“Score-type tests for normal mixtures” (avec Dante Amengual, Xinyue Bei et Enrique Sentana), à paraitre dans Journal of Econometrics.
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“Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility” (avec N’Golo Kone), 2024, Journal of Financial Econometrics, 22, 908-953.
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“A regularization approach to the dynamic panel data model estimation” (avec Ada Nayihouba), 2024, Econometric Theory, 40, 360-418.
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“Risk Neutral Density Estimation with a Functional Linear Model” (avec Idriss Tsafack), 2023, Advances in Econometrics.
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“Testing overidentifying restrictions with many instruments and heteroskedasticity using regularized Jackknife IV” (avec Mohamed Doukali), 2022, The Econometrics Journal, 25, 71-97.
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“Testing distributional assumptions using a continuum of moments” (avec Dante Amengual et Enrique Sentana), 2020, Journal of Econometrics, 655-689.
- “Functional linear regression with functional response”, avec David Benatia et Jean-Pierre Florens, 2017, Journal of Econometrics, 201, 269-291.
- “Efficient Estimation using the Characteristic Function” (avec Rachidi Kotchoni), 2017, Econometric Theory, Vol 33, 2, 479-526.
- “In-sample Inference and Forecasting in Misspecified Factor Models” (avec Barbara Rossi), 2016, Journal of Business & Economic Statistics, Vol. 34, N.3, 313-338 (with comments).
- “Regularized LIML for many instruments” (avec Guy Tchuente), 2015, Journal of Econometrics, 186, 427-442.
- “Optimal Test for Markov Switching Parameters”, 2014, Econometrica, Vol 82, 765-784 (avec Liang Hu et Werner Ploberger).
- “On the asymptotic efficiency of GMM”, 2014, Econometric Theory, Vol 30, 372-406 (avec Jean-Pierre Florens).
- “A regularization approach to the many instruments problem”, 2012, Journal of Econometrics, Vol 170, 2, 383-398.
- “Spectral method for deconvolving a density”, 2011, Econometric Theory 27, 546-581 (avec Jean-Pierre Florens).
“Score-type tests for normal mixtures” (avec Dante Amengual, Xinyue Bei et Enrique Sentana), à paraitre dans Journal of Econometrics.
“Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility” (avec N’Golo Kone), 2024, Journal of Financial Econometrics, 22, 908-953.
“A regularization approach to the dynamic panel data model estimation” (avec Ada Nayihouba), 2024, Econometric Theory, 40, 360-418.
“Risk Neutral Density Estimation with a Functional Linear Model” (avec Idriss Tsafack), 2023, Advances in Econometrics.
“Testing overidentifying restrictions with many instruments and heteroskedasticity using regularized Jackknife IV” (avec Mohamed Doukali), 2022, The Econometrics Journal, 25, 71-97.
“Testing distributional assumptions using a continuum of moments” (avec Dante Amengual et Enrique Sentana), 2020, Journal of Econometrics, 655-689.
Recognition and Awards
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President of Société canadienne de science économique 2022-2023
President-Elect of Société canadienne de science économique 2021-2022
Marcel Dagenais Prize 2018
Econometric Theory Multa-Scripsit 2017
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