@article{caner_eliaz_2024, title={Should Humans Lie to Machines? The Incentive Compatibility of Lasso and GLM Structured Sparsity Estimators}, ISSN={["1537-2707"]}, DOI={10.1080/07350015.2024.2316102}, journal={JOURNAL OF BUSINESS & ECONOMIC STATISTICS}, author={Caner, Mehmet and Eliaz, Kfir}, year={2024}, month={Mar} }
 @article{caner_2023, title={Generalized linear models with structured sparsity estimators}, volume={236}, ISSN={["1872-6895"]}, DOI={10.1016/j.jeconom.2023.105478}, abstractNote={In this paper, we introduce structured sparsity estimators for use in Generalized Linear Models. Structured sparsity estimators in the least squares loss are introduced by Stucky and van de Geer (2018). Their proofs exclusively depend on their use of fixed design and normal errors. We extend their results to debiased structured sparsity estimators with Generalized Linear Model based loss through incorporating random design and non-sub Gaussian data. Structured sparsity estimation means that penalized loss functions with a possible sparsity structure in a norm. These norms include norms generated from convex cones. Our contributions are threefold: (1) We generalize the existing oracle inequality results in penalized Generalized Linear Models; (2) We provide a feasible weighted nodewise regression proof which generalizes the results in the literature; (3) We realize that norms used in feasible nodewise regression proofs should be weaker or equal to the norms in penalized Generalized Linear Model loss.}, number={2}, journal={JOURNAL OF ECONOMETRICS}, author={Caner, Mehmet}, year={2023}, month={Oct} }
 @article{caner_medeiros_vasconcelos_2023, title={Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models}, volume={235}, ISSN={["1872-6895"]}, DOI={10.1016/j.jeconom.2022.03.009}, abstractNote={We provide a new theory for nodewise regression when the residuals from a fitted factor model are used. We apply our results to the analysis of the consistency of Sharpe Ratio estimators when there are many assets in a portfolio. We allow for an increasing number of assets as well as time observations of the portfolio. Since the nodewise regression is not feasible due to the unknown nature of idiosyncratic errors, we provide a feasible-residual-based nodewise regression to estimate the precision matrix of errors which is consistent even when number of assets, p, exceeds the time span of the portfolio, n. In another new development, we also show that the precision matrix of returns can be estimated consistently, even with an increasing number of factors and p>n. We show that: (1) with p>n, the Sharpe Ratio estimators are consistent in global minimum-variance and mean–variance portfolios; and (2) with p>n, the maximum Sharpe Ratio estimator is consistent when the portfolio weights sum to one; and (3) with p<<n, the maximum-out-of-sample Sharpe Ratio estimator is consistent.}, number={2}, journal={JOURNAL OF ECONOMETRICS}, author={Caner, Mehmet and Medeiros, Marcelo and Vasconcelos, Gabriel F. R.}, year={2023}, month={Aug}, pages={393–417} }
 @article{callot_caner_onder_ulasan_2021, title={A Nodewise Regression Approach to Estimating Large Portfolios}, volume={39}, ISSN={["1537-2707"]}, DOI={10.1080/07350015.2019.1683018}, abstractNote={Abstract This article investigates the large sample properties of the variance, weights, and risk of high-dimensional portfolios where the inverse of the covariance matrix of excess asset returns is estimated using a technique called nodewise regression. Nodewise regression provides a direct estimator for the inverse covariance matrix using the least absolute shrinkage and selection operator to estimate the entries of a sparse precision matrix. We show that the variance, weights, and risk of the global minimum variance portfolios and the Markowitz mean-variance portfolios are consistently estimated with more assets than observations. We show, empirically, that the nodewise regression-based approach performs well in comparison to factor models and shrinkage methods. Supplementary materials for this article are available online.}, number={2}, journal={JOURNAL OF BUSINESS & ECONOMIC STATISTICS}, author={Callot, Laurent and Caner, Mehmet and Onder, A. Ozlem and Ulasan, Esra}, year={2021}, month={Mar}, pages={520–531} }
 @article{caner_han_2021, title={An upper bound for functions of estimators in high dimensions}, volume={40}, ISSN={["1532-4168"]}, DOI={10.1080/07474938.2020.1808370}, abstractNote={Abstract We provide an upper bound as a random variable for the functions of estimators in high dimensions. This upper bound may help establish the rate of convergence of functions in high dimensions. The upper bound random variable may converge faster, slower, or at the same rate as estimators depending on the behavior of the partial derivative of the function. We illustrate this via three examples. The first two examples use the upper bound for testing in high dimensions, and third example derives the estimated out-of-sample variance of large portfolios. All our results allow for a larger number of parameters, p, than the sample size, n.}, number={1}, journal={ECONOMETRIC REVIEWS}, author={Caner, Mehmet and Han, Xu}, year={2021}, month={Jan}, pages={1–13} }
 @article{caner_fan_grennes_2021, title={Partners in debt: An endogenous non-linear analysis of the effects of public and private debt on growth}, volume={76}, ISSN={["1873-8036"]}, DOI={10.1016/j.iref.2021.07.010}, abstractNote={This paper offers an empirical analysis of how public and private debt jointly influence economic growth. We consider the endogeneity and interlink of two debt variables which are subject to regime switch in a dynamic panel data model. Using data from 29 OECD countries, the threshold effect of the interaction of the public and private debt on economic growth is found to be negative and significant when the aggregate debt to GDP ratio reaches 220%, beyond which the marginal effect of public (or private) debt further increases on top of the non-interactive effect. It is shown that the true effect of individual debt is largely underestimated if the interactive effect is omitted. We also decompose private debt into household and corporate debt and show that the public–private debt interaction is likely operating through the channels of household debt and public debt. We examine the robustness of the threshold effects to banking crises, output volatility, institutional quality, tax, private and public pension savings, participation rate as well as potential outliers.}, journal={INTERNATIONAL REVIEW OF ECONOMICS & FINANCE}, author={Caner, Mehmet and Fan, Qingliang and Grennes, Thomas}, year={2021}, month={Nov}, pages={694–711} }
 @article{bugni_caner_kock_lahiri_2020, title={Inference in partially identified models with many moment inequalities using Lasso}, volume={206}, ISSN={["1873-1171"]}, DOI={10.1016/j.jspi.2019.09.013}, abstractNote={This paper considers inference in a partially identified moment (in)equality model with many moment inequalities. We propose a novel two-step inference procedure that combines the methods proposed by Chernozhukov et al. (2018a) (Chernozhukov et al., 2018a, hereafter) with a first step moment inequality selection based on the Lasso. Our method controls asymptotic size uniformly, both in the underlying parameter and the data distribution. Also, the power of our method compares favorably with that of the corresponding two-step method in Chernozhukov et al. (2018a) for large parts of the parameter space, both in theory and in simulations. Finally, we show that our Lasso-based first step can be implemented by thresholding standardized sample averages, and so it is straightforward to implement.}, journal={JOURNAL OF STATISTICAL PLANNING AND INFERENCE}, author={Bugni, Federico A. and Caner, Mehmet and Kock, Anders Bredahl and Lahiri, Soumendra}, year={2020}, month={May}, pages={211–248} }
 @article{caner_maasoumi_riquelme_2016, title={Moment and IV selection approaches: A comparative simulation study}, volume={35}, number={8-10}, journal={Econometric Reviews}, author={Caner, M. and Maasoumi, E. and Riquelme, J. A.}, year={2016}, pages={1562–1581} }
 @article{caner_fan_2015, title={Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso}, volume={187}, number={1}, journal={Journal of Econometrics}, author={Caner, M. and Fan, Q. L.}, year={2015}, pages={256–274} }
 @article{caner_zhang_2014, title={Adaptive Elastic Net for Generalized Methods of Moments}, volume={32}, ISSN={["1537-2707"]}, DOI={10.1080/07350015.2013.836104}, abstractNote={Model selection and estimation are crucial parts of econometrics. This article introduces a new technique that can simultaneously estimate and select the model in generalized method of moments (GMM) context. The GMM is particularly powerful for analyzing complex datasets such as longitudinal and panel data, and it has wide applications in econometrics. This article extends the least squares based adaptive elastic net estimator by Zou and Zhang to nonlinear equation systems with endogenous variables. The extension is not trivial and involves a new proof technique due to estimators’ lack of closed-form solutions. Compared to Bridge-GMM by Caner, we allow for the number of parameters to diverge to infinity as well as collinearity among a large number of variables; also, the redundant parameters are set to zero via a data-dependent technique. This method has the oracle property, meaning that we can estimate nonzero parameters with their standard limit and the redundant parameters are dropped from the equations simultaneously. Numerical examples are used to illustrate the performance of the new method.}, number={1}, journal={JOURNAL OF BUSINESS & ECONOMIC STATISTICS}, author={Caner, Mehmet and Zhang, Hao Helen}, year={2014}, month={Jan}, pages={30–47} }
 @article{caner_2014, title={Near exogeneity and weak identification in generalized empirical likelihood estimators: Many moment asymptotics}, volume={182}, number={2}, journal={Journal of Econometrics}, author={Caner, M.}, year={2014}, pages={247–268} }
 @article{caner_han_2014, title={selecting the correct number of factors in approximate factor models: The large panel case with group bridge estimators}, volume={32}, number={3}, journal={Journal of Business & Economic Statistics}, author={Caner, M. and Han, X.}, year={2014}, pages={359–374} }
 @article{riquelme_berkowitz_caner_2013, title={Valid tests when instrumental variables do not perfectly satisfy the exclusion restriction}, volume={13}, number={3}, journal={Stata Journal}, author={Riquelme, A. and Berkowitz, D. and Caner, M.}, year={2013}, pages={528–546} }
 @article{caner_yildiz_2012, title={CUE with many weak instruments and nearly singular design}, volume={170}, number={2}, journal={Journal of Econometrics}, author={Caner, M. and Yildiz, N.}, year={2012}, pages={422–441} }
 @article{berkowitz_caner_fang_2012, title={The validity of instruments revisited}, volume={166}, number={2}, journal={Journal of Econometrics}, author={Berkowitz, D. and Caner, M. and Fang, Y.}, year={2012}, pages={255–266} }
 @article{carrasco_caner_kitamura_renault_2012, title={Thirtieth anniversary of generalized method of moments introduction}, volume={170}, number={2}, journal={Journal of Econometrics}, author={Carrasco, M. and Caner, M. and Kitamura, Y. and Renault, E.}, year={2012}, pages={251–255} }
 @article{caner_2011, title={Pivotal structural change tests in linear simultaneous equations with weak identification}, volume={27}, number={2}, journal={Econometric Theory}, author={Caner, M.}, year={2011}, pages={413–426} }
 @article{caner_2010, title={Exponential tilting with weak instruments: Estimation and testing}, volume={72}, number={3}, journal={Oxford Bulletin of Economics and Statistics}, author={Caner, M.}, year={2010}, pages={307–325} }
 @article{caner_grennes_2010, title={Sovereign Wealth Funds: The Norwegian Experience}, volume={33}, ISSN={["0378-5920"]}, DOI={10.1111/j.1467-9701.2009.01235.x}, abstractNote={Sovereign wealth funds have rapidly become significant international institutions. The performance of funds varies substantially across countries, but comprehensive and systematic analyses of funds have been hampered by the lack of transparency of most funds. The relative transparency of the Norway Fund allows us to do an econometric analysis of the Fund’s performance. The record resembles that of a mutual fund that has taken on greater risk over time. There is no evidence that the Fund has disrupted foreign financial markets more than mutual funds do. There remains a question as to whether the Fund and its Finance Ministry have been effective agents for the Norwegian citizens whose assets they are managing.}, number={4}, journal={WORLD ECONOMY}, author={Caner, Mehmet and Grennes, Thomas}, year={2010}, month={Apr}, pages={597–614} }
 @article{caner_2010, title={Testing, estimation in gmm and cue with nearly-weak identification}, volume={29}, number={3}, journal={Econometric Reviews}, author={Caner, M.}, year={2010}, pages={330–363} }
 @article{caner_2009, title={LASSO-TYPE GMM ESTIMATOR}, volume={25}, ISSN={["0266-4666"]}, DOI={10.1017/S0266466608090099}, abstractNote={This paper proposes the least absolute shrinkage and selection operator–type (Lasso-type) generalized method of moments (GMM) estimator. This Lasso-type estimator is formed by the GMM objective function with the addition of a penalty term. The exponent of the penalty term in the regular Lasso estimator is equal to one. However, the exponent of the penalty term in the Lasso-type estimator is less than one in the analysis here. The magnitude of the exponent is reduced to avoid the asymptotic bias. This estimator selects the correct model and estimates it simultaneously. In other words, this method estimates the redundant parameters as zero in the large samples and provides the standard GMM limit distribution for the estimates of the nonzero parameters in the model. The asymptotic theory for our estimator is nonstandard. We conduct a simulation study that shows that the Lasso-type GMM correctly selects the true model much more often than the Bayesian information Criterion (BIC) and another model selection procedure based on the GMM objective function.}, number={1}, journal={ECONOMETRIC THEORY}, author={Caner, Mehmet}, year={2009}, month={Feb}, pages={270–290} }
 @article{berkowitz_caner_fang_2008, title={Are "Nearly Exogenous Instruments" reliable?}, volume={101}, ISSN={["1873-7374"]}, DOI={10.1016/j.econlet.2008.03.020}, abstractNote={We show that when instruments are nearly exogenous, the two stage least squares t-statistic unpredictably over-rejects or under-rejects the null hypothesis that the endogenous regressor is insignificant and Anderson–Rubin test over-rejects the null. We prove that in the limit these tests are no longer nuisance parameter free.}, number={1}, journal={ECONOMICS LETTERS}, author={Berkowitz, Daniel and Caner, Mehmet and Fang, Ying}, year={2008}, month={Oct}, pages={20–23} }
 @article{caner_2008, title={Nearly-singular design in GMM and generalized empirical likelihood estimators}, volume={144}, ISSN={["0304-4076"]}, DOI={10.1016/j.jeconom.2008.04.008}, abstractNote={Nearly-Singular design relaxes the nonsingularity assumption of the limit weight matrix in GMM, and the nonsingularity of the limit variance matrix for the first order conditions in GEL. The sample versions of these matrices are nonsingular, but in large samples we assume these sample matrices converge to a singular matrix. This can result in size distortions for the overidentifying restrictions test and large bias for the estimators. This nearly-singular design may occur because of the similar instruments in these matrices. We derive the large sample theory for GMM and GEL estimators under nearly-singular design. The rate of convergence of the estimators is slower than root n.}, number={2}, journal={JOURNAL OF ECONOMETRICS}, author={Caner, Mehmet}, year={2008}, month={Jun}, pages={511–523} }