Bruce E. Hansen


Publications

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"Time Series Econometrics for the 21st Century,” The Journal of Economic Education, (2017), 48, 137-145. Abstract and paper
"Minimum Mean Squared Error Model Averaging in Likelihood models,” with Gerda Claeskens and Ali Charkhi, Statistica Sinica, (2016) 26, 809-840. PDF file
"A Stein-Like 2SLS Estimator," Econometric Reviews, 2017 Abstract and PDF file.
"Regression Kink with an Unknown Threshold," Journal of Business and Economic Statistics, (2017), 35, 228-240. Abstract and PDF file.
"The Risk of James-Stein and Lasso Shrinkage," Econometric Reviews, (2016). Abstract and PDF file.
"Efficient Shrinkage in Parametric Models," Journal of Econometrics, (2016), 190, 115-132. Abstract and PDF file
"Shrinkage Efficiency Bounds," Econometric Theory, (2015), 31, 860-879. Abstract and PDF file.
"Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," with Xu Cheng, Journal of Econometrics, (2015) 186, 280-293.Abstract and PDF file.
"The Integrated Mean Squared Error of Series Regression and a Rosenthal Hilbert-Space Inequality" Econometric Theory, (2015), 31, 337-361. Abstract and PDF file.
"Purchasing Power Parity and the Taylor Rule," with Kim, Fujimura and Ogaki, Journal of Applied Econometrics, (2015), 30, 874-903 PDF file.
"Asymptotic Moments of Autoregressive Estimates with a Near Unit Root and Minimax Risk"Advances in Econometrics (2014) 33, 3-21. Abstract and PDF file.
"Model Averaging, Asymptotic Risk, and Regressor Groups," Quantitative Economics, (2014) 5, 495-530. Abstract and PDF file.
"Nonparametric Sieve Regression: Least Squares, Averaging Least Squares, and Cross-Validation," The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics (2014) Abstract and PDF file.
"Jackknife Model Averaging," with Jeffrey Racine, Journal of Econometrics, (2012) Abstract and PDF file.
"Threshold Autoregression in Economics," Statistics and Its Interface, (2011), 4, 123-127. Abstract and PDF file
"Averaging Estimators for Autoregressions with a Near Unit Root," Journal of Econometrics, (2010), 158, 142-155. Abstract and PDF file.
"Averaging Estimators for Regressions with a Possible Structural Break," Econometric Theory (2009), 35, 1498-1514 Abstract and PDF file.
"Least Squares Forecast Averaging," Journal of Econometrics, (2008), 146, 342-350 Abstract and PDF file.
"Uniform convergence rates for kernel estimation with dependent data," Econometric Theory, (2008), 24, 726-748. Abstract and PDF file.
"Least Squares Model Averaging," Econometrica, (2007), 75, 1175-1189 Abstract and PDF file.
"Interval Forecasts and Parameter Uncertainty". Journal of Econometrics, 135, (2006), 377-198. Abstract and PDF file.
"Edgeworth Expansions for the Wald and GMM Statistics for Nonlinear Restrictions". Econometric Theory and Practice, (2006), edited by Dean Corbae, Steven N. Durlauf, and Bruce E. Hansen. Abstract and PDF file.
"Exact Mean Integrated Squared Error of Higher-Order Kernels," Econometric Theory, (2005), 21 1031-1057. Abstract and PDF file.
"Challenges for Econometric Model Selection". Econometric Theory, (2005), 21, 60-68. Abstract and PDF file.
"Instrumental Variable Estimation of a Threshold Model," with Mehmet Caner. Econometric Theory, (2004), 20, 813-843Abstract and PDF file.
"How responsive are private transfers to income?" with Donald Cox and Emmanuel Jimenez. Journal of the Public Economics, (2004), 88, 2193-2219. Abstract and PDF file
"Recounts from Undervotes: Evidence from the 2000 Presidential Election," Journal of the American Statistical Association, (2003), 98, 292-298. Abstract and PDF file
"Generalized Method of Moments and Macroeconomics," with Kenneth West. Journal of Business and Economic Statistics, (2002), 20, 460-469. Abstract and PDF file.
"The New Econometrics of Structural Change: Dating Changes in U.S. Labor Productivity." Journal of Economic Perspectives, (2001), 15, 117-128. Abstract and PDF file.
"Testing for two-regime threshold cointegration in vector error correction models," with Byeongseon Seo. Journal of Econometrics, (2002), 110, 293-318. Abstract and PDF file.
"Threshold autoregression with a unit root," with Mehmet Caner. Econometrica, (2001), 69, 1555-1596. Abstract and PDF file.
"Testing for structural change in conditional models," Journal of Econometrics, (2000), 97, 93-115. PDF file.
"Sample splitting and threshold estimation," Econometrica, (2000), 68, 575-603. Abstract and PDF file.
"Testing for Linearity," Journal of Economic Surveys, (1999), 13, 551-576. Abstract and PDF file.
"The grid bootstrap and the autoregressive model," Review of Economics and Statistics, (1999), 81, 594-607. PDF file.
"Threshold effects in non-dynamic panels: Estimation, testing and inference," Journal of Econometrics, (1999), 93, 345-368. PDF file.
"Inference in TAR models," Studies in Nonlinear Dynamics and Econometrics, (1997), 2. Abstract and PDF File .
"On the issue of functional form choice in hedonic price functions: Further evidence," with John Halstead and Rachel Bouvier, Environmental Management (1997), 21, 759-765.
"Approximate asymptotic p-values for structural change tests," Journal of Business and Economic Statistics (1997), 15, 60-67. PDF file.
"Review article. Methodology: Alchemy or Science?," The Economic Journal, (1996), 106, 1398-1413. PDF file.
"Inference when a nuisance parameter is not identified under the null hypothesis," Econometrica (1996), 64, 413-430. PDF file
"Tests for cointegration in models with regime and trend shifts," with Allan Gregory, Oxford Bulletin of Economics and Statistics, (1996), 58, 555-560. PDF file.
"Stochastic equicontinuity for unbounded dependent heterogeneous arrays," Econometric Theory (1996), 12, 347-359. PDF file
"Residual-based tests for cointegration in models with regime shifts," with Allan Gregory, Journal of Econometrics (1996), 70, 99-126. PDF file.
"Regression with non-stationary volatility," Econometrica (1995), 63, 1113-1132. Abstract and PDF file.
"Rethinking the univariate approach to unit root tests: How to use covariates to increase power," Econometric Theory (1995), 11, 1148-1171. PDF file.
"Are seasonal patterns constant over time? A test for seasonal stability," with Fabio Canova, Journal of Business and Economic Statistics (1995), 13, 237-252. PDF file.
"Autoregressive conditional density estimation," International Economic Review (1994), 35, 705-730. PDF file.
"Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator," with Sang-Won Lee, Econometric Theory (1994), 10, 29-52. PDF file.
"Consistent covariance matrix estimation for dependent heterogeneous processes," Econometrica (1992), 60, 967-972. Abstract and PDF file.
"The likelihood ratio test under non-standard conditions: Testing the Markov switching model of GNP," Journal of Applied Econometrics (1992), 7, S61-S82. Also in Nonlinear Dynamics, Chaos and Econometrics, ed. M.H. Pesaran and S.M. Potter (1993), John Wiley & Sons. Also "Erratum", Journal of Applied Econometrics, (1996), 11, 195-198. PDF file.
"Convergence to stochastic integrals for dependent heterogeneous processes," Econometric Theory (1992), 8, 489-500. PDF file.
"Tests for parameter instability in regressions with I(1) processes," Journal of Business and Economic Statistics (1992), 10, 321-335. Reprinted in Twentieth Anniversary Commemorative Issue of the Journal of Business and Economic Statistics (2002), 20, 45-59. PDF file.
"Heteroskedastic cointegration," Journal of Econometrics (1992), 54, 139-158. PDF file
"Testing for parameter instability in linear models," Journal of Policy Modeling (1992), 14, 517-533. PDF file.
"Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics (1992), 53, 87-121. PDF file
"GARCH(1,1) processes are near-epoch dependent," Economic Letters (1991), 36, 181-186. PDF file.
"Strong laws for dependent heterogeneous processes," Econometric Theory (1991), 7 213-221, and "Erratum" (1992), 8, 421-422. PDF file.
"Statistical inference in instrumental variables regression with I(1) processes," with P.C.B. Phillips, Review of Economic Studies (1990), 57, 99-125. PDF file.
"Estimation and inference in models of cointegration: A simulation study," with P.C.B. Phillips, Advances in Econometrics (1990), 8, 225-248.




Other Publications


"Discussion of 'Feature matching in time series modeling' by Y. Xia and H. Tong", Statistical Science (2011), 26, 47-48. PDF file
"Discussion of ‘Data Mining Reconsidered," Econometrics Journal (1999), 2, 192-201. Abstract and PDF file.
"Book Review: Handbook of Econometrics, Volume 4," with Joel Horowitz, Econometric Theory (1997), 13, 119-132.
"Book Review: Time Series Analysis by James D. Hamilton," Econometric Theory (1995), 11, 625-631.
"Comment on "Testing for common features" by R. Engle and S. Kozicki, Journal of Business and Economic Statistics (1993), p. 385-386. PDF file.
"Comment on "Further evidence on business cycle duration dependence" by F.X. Diebold, G.D. Rudebusch and D.E. Sichel, Business Cycles, Indicators, and Forecasting, ed. J.H. Stock and M.W. Watson (1993), p. 280-284.
"Comment on "In-sample inference and forecasting in misspecified factor models" by M. Carraso and B. Rossi, with Xu Cheng Journal of Business and Economic Statistics (2016), 34 p. 345-347. PDF file.



Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111. Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.