Mehmet Caner


Professor of Economics
Professor of Statistics (Courtesy)
Member of Translational Data Analytics


Mehmet Caner






The Ohio State University

Department of Economics

452 Arps Hall











1. "Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection" with X. Han (City Univ Hong Kong), Y. Lee (Syracuse). Forthcoming, 2017. J. of Business and Economics Statistics.

In the paper we propose a new estimator that can simultaneously estimate the structural parameters without using invalid moments even though there may be invalid moments. If we have locally invalid moments, we use them to get estimates and get an more efficient result. The code: please consult Xu Han.

2."Sharp Threshold Detection Based on Sup-norm Error Rates in High Dimensional Models" with L. Callot, (Free Univ. Amsterdam), A.B. Kock (Arhus Uni), and J.A. Riquelme, Forthcoming 2017. J. of Business and Economics Statistics.

In the paper we develop a new estimator for structural coefficients in a threshod model in hi dimensional framework. We are able to show in which variables regime shift occurs, also simultaneously we see whether there is a regime shift. In this sense, it gets rid of two step former process of testing for threshold and then estimating the model.


3.“Determining the number of factors with potentially strong block correlation error
terms” Forthcoming, Econometric Reviews, 2017 (main author: Xu Han, Caner
Contribution is very very minor).

Paper is availaible from Xu Han.



4. An oracle inequality for Convex Models " with A. Bredahl Kock , Arhus. Econometric Reviews, 2016, 35, 1377-1411.

This is an article that proves an oracle inequality for elastic net in a general convex loss function. This generalizes Buhlmann and Van de Geer , 2011 book result of convex loss with lasso to elastic net.


5."Moment and IV selection approaches: A Comparative Simulation Study". with Essie Maasoumi, J. Andres Riquelme, Econometric Reviews,2016, 35, 1562-1581.

A simulation study that analyzes moment selection approaches in an IV framework, also looks at large number of moments case. Adaptive lasso based technique does well generally. The computer programs can be obtained from (Juan Andres Riquelme)

6."Hybrid GEL Estimators: Instrument Selection with Adaptive Lasso", with Michael Fan, Xiamen University, WISE, Journal of Econometrics. July 2015, 187, 256-274.

This paper analyzes GEL estimators after selecting the instruments through adaptive lasso. Has favorable finite sample properties, please see M Fan for or


7."Near Exogeneity and Weak Identification in Generalized Empirical Likelihood Estimators: Many Moment Asymptotics", 2014, Journal of Econometrics, vol. 18, Issue 2, p.247-268.

This article analyzes tests in a general violation of exogeneity setting in combination with many weak moments in generalized empirical likelihood estimators. The interesting result is both the mean and variance for estimators change due to this violation. We have new limits for estimators and tests depending on the magnitude of the violation as well as the number of moments. A gauss code for TABLE 4B for Anderson-Rubin test is provided: arnem and R Version of the same program: arnem.R


8."Selecting the Correct Number of Factors in Approximate Factor
Models: The Large Panel Case with Group Bridge Estimator"
2014, Journal of Business and Economics Statistics, with Xu Han, City University of Hong Kong, vol.32, issue 3, 359-374.

For code please consult Xu Han. The paper provides a novel way of selecting number of factors thru factor loading penalization. On the way it introduces a new group bridge shrinkage estimator.


9."Adaptive Elastic Net GMM with Diverging Number of Moments", 2014 , vol.32, p30-47, Journal of Business and Economics Statistics, joint with Helen Zhang, Math Department, University of Arizona. Gauss code for simulations in the text aenet2.

R code aenetgmm.Rwho does limited simulations, but some initial value problems in optimizer, please run several times. The paper shows adaptive elastic net with diverging number of moments, but does only model selection with diverging number of parameters, no moment selection in this paper.


10. "Valid Tests When Instrumental Variables Do Not Perfectly Satisfy the Exclusion Restriction" 2013, Stata Journal, , Andres Riquelme, Dan Berkowitz,. This is STATA function for paper "The Validity of Instruments Revisited" J. of Econometrics, 2012,below. Shows a resampling technique that is robust to minor violations of exogeneity, and uses data dependent critical values for Anderson-Rubin test. It contains a better function than paper 6, and has extensive simulations in the paper, and empirical example.


11. "An Alternative to Unit Root Tests: Bridge Estimators Differentiate between Nonstationary versus Stationary Models and Select Optimal Lag", 2013, 143, 691-715 Journal of Statistical Planning and Inference, with Keith Knight, University of Toronto,

Department of Statistics. The paper proposes Bridge estimators to select nonstationary versus stationary models.

A gauss program that we used in simulations, Table 1b, Setup1, Design 1: ubridgebics1, and an R program that shows how to implement this with simulated data: urbbic.R


12. "CUE with nearly-singular design and many weak moment asymptotics". 2012, Journal of Econometrics,170, p.422-441, with N. Yildiz, Rochester .

The paper finds what happens when there are highly correlated instruments in a many weak asymptotics framework.

A computer program for simulations in Table 2, in Gauss: jkgmm1


13. "The Validity of Instruments Revisited", 2012, Journal Of Econometrics,(with Dan Berkowitz,Univ. of Pittsburgh,Ying Fang, Xiamen Univ.) Vol.166-2, 255-267.

This paper calculates a resampled Anderson-Rubin test that is also robust to local violations of exogeneity in instruments.

Gauss Files:sbcfrh(calculates Table 12, row 3, in our paper), far (shows how to do this with controls), t7a(an application with table7a dataset from Acemoglu-Johnson-Robinson,AER, 2001)

Stata files:far.ado is a function, and here is the help file: far.pdf and Table7a.dta is from Acemoglu-Johnson-Robinson,AER, 2001. You can load your own data and use this program, just you have to enter variable names.


14. "Editor's Introduction, Thirty years of GMM", 2012, Journal of Econometrics, (with Marine Carrasco (main editor), Yuichi Kitamura, Eric Renault)166-2, 251-255.

15. "Pivotal Structural Change Tests in Linear Simultaneous Equations Models with Weak Identification", 2011 Econometric Theory. Vol 27.2. 413-427.

16."A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics", 2011, International Econometric Review.

17."Determinants of Norwegian Sovereign Wealth Fund Shares: Lucas Paradox Survives", with Turanay Caner, Tom Grennes.2011, Global Economy Journal, Berkeley Electronic Press.

18. "Exponential Tilting with Weak Instruments: Estimation and Testing", 2010, Oxford Bulletin of Economics and Statistics.72, 307-326.

19. "Sovereign Wealth Funds: the Norwegian Experience" with Tom Grennes, The World Economy, 2010, 33, 597-614.

20. "Testing, Estimation in GMM and CUE with Nearly-Weak Identification", Econometric Reviews, 2010, 29, 330-363 .

21.Book Chapter: "Finding The Tipping Point-When Sovereign Debt Turns Bad" Sovereign Debt and Financial Crisis ,(refereed), 2010, (joint with Tom Grennes,NCSU, Fritzi Koehler-Geib, World Bank),p64-75.

22. "The Norwegian Sovereign Wealth Fund" (joint with Tom Grennes,NCSU). Revue d'Economie Financiere, 2009.(Invited Article)

23. "LASSO Type GMM Estimator" Econometric Theory, 2009, 25, 1-23.

24. "Nearly-Singular Design in GMM and Generalized Empirical Likelihood Estimators" Journal of Econometrics, 2008, 144, 511-523.

25."Are Nearly Exogenous Instruments Reliable?" with D. Berkowitz, Y. Fang, Economics Letters, 2008, 101, 20-23.

26. "Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak Identification and Completely Unidentified Cases" Journal of Econometrics, 2007, 137, 28-67.

27. " M Estimators with Non-Standard Rates of Convergence and Weakly Dependent Data", April 2006, Journal of Statistical Planning and Inference, 136, 1207-1219.

28. Corrigendum with E. Basci, G. Yoon on "Are real exchange rates nonstationary or non-linear? Evidence from a new threshold unit root test". Studies in Nonlinear Dynamics and Econometrics, 2006, March.

29. "Are Real Exchange Rates non-stationary or non-linear? Evidence from a new Threshold Unit Root Test," (with E. Basci, Central Bank of Turkey ). Studies in Nonlinear Dynamics and Econometrics, 2005,vol. 9.4.

30. " Instrumental Variable Estimation of a Threshold Model," ( with Bruce Hansen, University of Wisconsin-Madison), Econometric Theory, vol.20, October 2004. p.813-843.

31. "Time-Varying Betas Help in Asset Pricing: Threshold CAPM," ( with L. Akdeniz and A. Salih, Bilkent University). Studies in Nonlinear Dynamics and Econometrics 2003, January.

32." A Note on LAD Estimation of a Threshold Model," Econometric Theory, 18, June 2002, 800-814. (Appeared in Articles Section)

33." Threshold Autoregressions with a Unit Root," ( with Bruce E. Hansen), Econometrica,69, November 2001, 1555-1597.

34. " Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP debate," (with Lutz Kilian, Univ. of Michigan), Journal of International Money and Finance, 20, October 2001, 639-657.

35. "Tests for Cointegration with Infinite Variance Errors," Journal of Econometrics, 86, September 1998,155-175.

36. "A Locally Optimal Seasonal Unit Root Test," Journal of Business and Economic Statistics, 16, July 1998, 349-356.

37. "Weak Convergence to a Matrix Stochastic Integral with Stable Processes," Econometric Theory, 13, August 1997,506-29.














.Partial Identification via Shrinkage, with Federico Bugni, Anders Bredahl Kock, Soumen Lahiri.


"Uniform Confidence intervals for high dimensional parameters, desparsified conservative lasso", joint with A.B. Kock.

" A relaxed approach to empirical gram matrix estimation in large portfolios" joint with Esra Ulasan, Ozlem Onder.

"Delta Theorem in the Age of High Dimensions".




"Public and Private Debt Interaction in GDP Growth: Dynamic Panel Threshold Approach" with L. Callot, Tom Grennes.

"Risk Estimation in large portfolios" with E. Ulasan, O. Onder.

"Estimation of individual moment violations in many moment inequality model" with F. Bugni, A.B. Kock.











Journal of Econometrics Fellow, 2012.

Multa Scripsit Award, Econometric Theory, 2005.

Owens Scholar 2012-2013, NCSU.

Outstanding Faculty, University of Pittsburgh, 2006.

Department Research Growth & Innovation Award, 2009, North Carolina State University, Economics Department.



1. Associate Editor, Journal of Econometrics, Jan 1 2013-.

2. Associate Editor, Journal of Business and Economics Statistics, Jan 1 2014-

3. Associate Editor, Econometric Reviews, 2013 January-..

4. Associate Editor, Studies in Nonlinear Dynamics and Econometrics, 2012 March-.2016 January.

5.Co-Editor, Special Issue of Journal Of Econometrics, 25 years of GMM, 2009-2012, OCTOBER 2012 ISSUE.

6. Co-Editor, Special Issue of Econometric Reviews, Model Selection and Shrinkage 2016.





Ph.D Students: Advised: 1. George Levi Gayle, (Reader), Carnegie Mellon University, Tepper School of Business, Assistant Professor, 2003. 2. Wayne Gayle, (Reader), University of Virginia, Department of Economics, Assistant Professor, 2006. 3. Ying Fang, (Main Advisor), Xiamen University, China, Department of Economics, Assistant Professor, 2006. 4. Martin Burda (Main Advisor), University of Toronto , Department of Economics, Assistant Professor, 2007. 5. Gunce Eryuruk (Main Advisor), ITAM, Mexico, Assistant Professor of Economics, 2009. 6. Michael Fan, (Main Advisor), Xiamen University, China Department of Economics, Assistant Professor, 2012. 7. J.A. Riquelme,(Main Advisor) University of Talca, Chile, Fullbright Scholar.


Member, Scientific Advisory Board, CEFAGE, Portugal.