2022

Renault, Eric, van der Heijden, Thijs and Werker, Bas J. M (2022) Arbitrage pricing theory for idiosyncratic variance factors. Journal of Financial Econometrics . nbac008. doi:10.1093/jjfinec/nbac008 (In Press)

Chaudhuri, Saraswata, Renault, Eric and Wahlstrom, Oscar (2022) Identification of beliefs in the presence of disaster risk and misspecification. In: Essays in Honor of Joon Y. Park. Advances in Econometrics . Emerald Publishing Limited. (In Press)

2021

Czellar, Veronika, Frazier, David T. and Renault, Eric (2021) Approximate maximum likelihood for complex structural models. Journal of Econometrics . doi:10.1016/j.jeconom.2021.05.009 (In Press)

Czellar, Veronika, Frazier, David T. and Renault, Eric (2021) Approximate maximum likelihood for complex structural models. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1337). (Unpublished)

Frazier, David T., Renault, Eric, Zhang, Lina and Zhao, Xueyan (2021) Weak identification in discrete choice models. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1336). (Unpublished)

Bertille, Antoine and Renault, Eric (2021) GMM with nearly-weak identification. Econometrics and Statistics . doi:10.1016/j.ecosta.2021.10.010 (In Press)

Ghysels, Eric, Mykland, Per and Renault, Eric (2021) In-sample asymptotics and across-sample efficiency gains for high frequency data statistics. Econometric Theory . doi:10.1017/S0266466621000359

2020

Antoine, Bertille and Renault, Eric (2020) Testing identification strength. Journal of Econometrics, 218 (2). pp. 271-293. doi:10.1016/j.jeconom.2020.04.017

Antoine, Bertille, Proulx, Kevin and Renault, Eric (2020) Pseudo-true SDFs in conditional asset pricing models. Journal of Financial Econometrics, 18 (4). pp. 656-714. doi:10.1093/jjfinec/nby017

Antoine, Bertille, Proulx, Kevin and Renault, Eric (2020) Rejoinder on : pseudo-true SDFs in conditional asset pricing models. Journal of Financial Econometrics, 18 (4). pp. 776-790. nbaa019. doi:10.1093/jjfinec/nbaa019

Han, Hyojin, Khrapov, Stanislav and Renault, Eric (2020) The leverage effect puzzle revisited : identification in discrete time. Journal of Econometrics, 217 (2). pp. 230-258. doi:10.1016/j.jeconom.2019.12.003

Han, Hyojin and Renault, Eric (2020) Identification strength with a large number of moments. Econometric Reviews, 39 (7). 691-714 . doi:10.1080/07474938.2020.1771903

Frazier, David T. and Renault, Eric (2020) Indirect inference with(out) constraints. Quantitative Economics, 11 (1). pp. 113-159. doi:10.3982/QE986

2019

Chaudhuri, Saraswata and Renault, Eric (2019) Score tests in GMM : why use implied probabilities? Journal of Econometrics, 219 (2). pp. 260-280. doi:10.1016/j.jeconom.2020.03.004

Frazier, David T. and Renault, Eric (2019) Indirect inference : which moments to match? Econometrics, 7 (1). 14. doi:10.3390/econometrics7010014

2018

Chaudhuri, Saraswata, Frazier, David T. and Renault, Eric (2018) Indirect Inference with endogenously missing exogenous variables. Journal of Econometrics, 205 (1). pp. 55-75. doi:10.1016/j.jeconom.2018.03.005

Dungey, Mardi and Renault, Eric (2018) Identifying contagion. Journal of Applied Econometrics, 33 (2). pp. 227-250. doi:10.1002/jae.2593

2017

Frazier, David T. and Renault, Eric (2017) Efficient two-step estimation via targeting. Journal of Econometrics, 201 (2). pp. 212-227. doi:10.1016/j.jeconom.2017.08.004

Gouriéroux, Christian, Monfort, Alain and Renault, Eric (2017) Consistent pseudo-maximum likelihood estimators. Annals of Economics and Statistics (125/126). pp. 187-218. doi:doi:10.15609/annaeconstat2009.125-126.0187

Antoine, Bertille and Renault, Eric (2017) On the relevance of weaker instruments. Econometric Reviews, 36 (6-9). pp. 928-945. doi:10.1080/07474938.2017.1307598

Renault, Eric, Sarisoy, Cisil and Werker, Bas J.M. (2017) Efficient estimation of integrated volatility and related processes. Econometric Theory, 33 (2). pp. 439-478. doi:10.1017/S0266466616000013

2016

Renault, Eric and Scidá, Daniela (2016) Causality and Markovianity : information theoretic measures. Advances in Econometrics, 36 . pp. 349-385. doi:10.1108/S0731-905320160000036019

2015

Fan, Yanqin, Pastorello, Sergio and Renault, Eric (2015) Maximization by parts in extremum estimation. The Econometrics Journal, 18 (2). pp. 147-171. doi:10.1111/ectj.12046

Renault, Eric and Triacca, Umberto (2015) Causality and separability. Statistics & Probability Letters, 99 . pp. 1-5. doi:10.1016/j.spl.2014.12.018

Chaudhuri, Saraswata and Renault, Eric (2015) Shrinkage of variance for minimum distance based tests. Econometric Reviews, 34 (3). pp. 328-351. doi:10.1080/07474938.2014.944794

2014

Chabi-Yo, Fousseni, Leisen, Dietmar P.J. and Renault, Eric (2014) Aggregation of preferences for skewed asset returns. Journal of Economic Theory, 154 . pp. 453-489. doi:10.1016/j.jet.2014.09.020

Kouki, Mokhtar, Park, Sang Soo and Renault, Eric (2014) Estimating scale economies in financial intermediation : a doubly indirect inference. Journal of Productivity Analysis, 41 (3). pp. 351-365. doi:10.1007/s11123-013-0345-z

Li, Yingying, Mykland, Per A., Renault, Eric, Zhang, Lan and Zheng, Xinghua (2014) Realized volatility when sampling times are possibly endogenous. Econometric Theory, 30 (3). pp. 580-605. doi:10.1017/S0266466613000418

Renault, Eric, van der Heijden, Thijs and Werker, Bas J.M. (2014) The dynamic mixed hitting-time model for multiple transaction prices and times. Journal of Econometrics, 180 (2). pp. 233-250. doi:10.1016/j.jeconom.2014.01.009

Carrasco, Marine, Florens, Jean-Pierre and Renault, Eric (2014) Asymptotic normal inference in linear inverse problems. In: Racine, Jeffrey S. and Su, Liangjun and Ullah, Aman, (eds.) The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics. Oxford University Press. ISBN 9780199857944