2020

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 . doi:10.1080/07474938.2020.1771903 (In Press)

Antoine, Bertille and Renault, Eric (2020) Testing identification strength. Journal of Econometrics . doi:10.1016/j.jeconom.2020.04.017 (In Press)

Chaudhuri, Saraswata and Renault, Eric (2020) Score tests in GMM : why use implied probabilities? Journal of Econometrics . doi:10.1016/j.jeconom.2020.03.004 (In Press)

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

2019

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

2018

Antoine, Bertille, Proulx, Kevin and Renault, Eric (2018) Pseudo-true SDFs in conditional asset pricing models. Journal of Financial Econometrics . nby017. doi:10.1093/jjfinec/nby017

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