Mehmet Caner

Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints

Caner, M., & Fan, Q. (2026, January 5). Journal of the American Statistical Association.

Deep learning based residuals in non-linear factor models: Precision matrix estimation of returns with low signal-to-noise ratio

Caner, M., & Daniele, M. (2025, August 20). Journal of Econometrics, Vol. 251.

Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators

Caner, M., & Eliaz, K. (2024, February 7). Journal of Business and Economic Statistics, Vol. 3.

Generalized linear models with structured sparsity estimators

Caner, M. (2023, July 7). Journal of Econometrics, Vol. 236.

Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models

Caner, M., Medeiros, M., & Vasconcelos, G. F. R. (2022, May 27). Journal of Econometrics, Vol. 235, pp. 393–417.

A Starting Note: A Historical Perspective in Lasso

International Econometric Review, 13(1), 1–3.

Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth

Caner, M., Fan, Q., & Grennes, T. (2021, July 22). International Review of Economics & Finance, Vol. 76, pp. 694–711.

An upper bound for functions of estimators in high dimensions

Caner, M., & Han, X. (2020, August 28). Econometric Reviews, Vol. 40, pp. 1–13.

A Nodewise Regression Approach to Estimating Large Portfolios

Callot, L., Caner, M., Önder, A. Ö., & Ulaşan, E. (2019, October 23). Journal of Business and Economic Statistics, Vol. 39, pp. 520–531.

Inference in partially identified models with many moment inequalities using Lasso

Oxford University Research Archive (ORA) (University of Oxford), Vol. 206, pp. 211–248.

Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso

Journal of Econometrics, 187(1), 256–274.

Moment and IV selection approaches: A comparative simulation study

Econometric Reviews, 35(8-10), 1562–1581.

Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics

Journal of Econometrics, 182(2), 247–268.

Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators

Journal of Business & Economic Statistics, 32(3), 359–374.

Adaptive Elastic Net for Generalized Methods of Moments

Caner, M., & Zhang, H. H. (2013, September 6). Journal of Business and Economic Statistics, Vol. 32, pp. 30–47.

Valid Tests when Instrumental Variables do not Perfectly Satisfy the Exclusion Restriction

The Stata Journal: Promoting Communications on Statistics and Stata, 13(3), 528–546.

CUE with many weak instruments and nearly singular design

Journal of Econometrics, 170(2), 422–441.

Editors’ introduction

Journal of Econometrics, 170(2), 251–255.

The validity of instruments revisited

Journal of Econometrics, 166(2), 255–266.

Pivotal structural change tests in linear simultaneous equations with weak identification

Econometric Theory, 27(2), 413–426.

Sovereign Wealth Funds: The Norwegian Experience

Caner, M., & Grennes, T. (2010, January 22). World Economy, Vol. 33, pp. 597–614.

Testing, estimation in gmm and cue with nearly-weak identification

Econometric Reviews, 29(3), 330–363.

LASSO-TYPE GMM ESTIMATOR

Caner, M. (2009, January 9). Econometric Theory, Vol. 25, pp. 270–290.

Are “Nearly Exogenous Instruments” reliable?

Berkowitz, D., Caner, M., & Fang, Y. (2008, April 9). Economics Letters, Vol. 101, pp. 20–23.

Nearly-singular design in GMM and generalized empirical likelihood estimators

Caner, M. (2008, May 14). Journal of Econometrics, Vol. 144, pp. 511–523.