Bruce E. Hansen

Programs and Data

Files in ZIP format are available for the following published and unpublished papers:

"Tests for parameter instability in regressions with I(1) Processes." Journal of Business and Economic Statistics (1992). [Download].

"Testing for parameter instability in linear models." Journal of Policy Modeling (1992). [Download].

"The likelihood ratio test under non-standard conditions: Testing the Markov switching model of GNP." Journal of Applied Econometrics, (1992 and 1996). [Download].

"Autoregressive conditional density estimation." International Economic Review, (1994). [Download].

"Rethinking the univariate approach to unit root tests: How to use covariates to increase power." Econometric Theory, (1995). [Download].

"Are seasonal patterns constant over time? A test for seasonal stability." with Fabio Canova, Journal of Business and Economic Statistics, (1995). [Download].

"Inference when a nuisance parameter is not identified under the null hypothesis." Econometrica, (1996). [Download].

"Residual-based tests for cointegration in models with regime shifts." with Allan Gregory, Journal of Econometrics, (1996). [Download].

"Approximate asymptotic p-values for structural change tests." Journal of Business and Economic Statistics, (1997). [Download].

"Inference in TAR models." Studies in Nonlinear Dynamics and Econometrics, (1997). [Download].

"Threshold effects in non-dynamic panels: Estimation, testing and inference." Journal of Econometrics, (1999). [Download].

"Testing for Linearity." Journal of Economic Surveys, (1999). [Download].

"The grid bootstrap and the autoregressive model." Review of Economics and Statistics, (1999). [Download].

"Sample splitting and threshold estimation." Econometrica, (2000). [Download].

"Testing for structural change in conditional models." Journal of Econometrics, (2000). [Download].

"Threshold Autoregression with a Unit Root." Econometrica (2001), with Mehmet Caner. [Download].

"The new econometrics of structural change: Dating Changes in U.S. Labor Productivity." Journal of Economic Perspectives (2001). [Download].

"Testing for threshold cointegration," with Byeongseon Seo, Journal of Econometrics (2002). [Download].

"Recounts from Undervotes: Evidence from the 2000 Presidential Election," Journal of the American Statistical Association (2003), 98, 292-298. [Download].

"How responsive are private transfers to income? Evidence from a laissez-faire economy."
with Donald Cox and Emmanuel Jimenez, Journal of Public Economics, (2004), 88, 2193-2219. [Download].

"Instrumental Variable Estimation of a Threshold Model," with Mehmet Caner, Econometric Theory, (2004), 20, 813-843.[Download].

"Exact Mean Integrated Squared Error of Higher-Order Kernels." Econometric Theory (2005). [Download].

"Edgeworth expansions for the Wald and GMM statistics for nonlinear restrictions." Econometric Theory and Practice (2006). [Download].

"Interval Forecasts and Parameter Uncertainty." Journal of Econometrics (2006), 135, 377-398. [Download].

"Bandwidth Selection for Nonparametric Distribution Estimation." (5/2004), unpublished working paper. [Download].

"Nonparametric Estimation of Smooth Conditional Distributions." (5/2004), unpublished working paper. [Download].

"Least Squares Model Averaging." Econometrica (2007), 75, 1175-1189 [Download].

"Least Squares Forecast Averaging." (2008), Journal of Econometrics. [Download].

"Averaging Estimators for Autoregressions with a Near Unit Root." (2010), Journal of Econometrics. [Download].

"Jackknife Model Averaging." (2012) Journal of Econometrics [Download].

"Nonparametric Sieve Regression: Least Squares, Averaging Least Squares, and Cross-Validation" (2014) Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics, [Download].

"Model Averaging, Asymptotic Risk, and Regressor Groups" Quantitative Economics (2014) [Download].

"Purchasing Power Parity and the Taylor Rule" (2015) with Kim, Fujiwara, and Masao Ogaki, Journal of Applied Econometrics [Download].

"Asymptotic Moments of Autoregressive Estimates with a Near Unit Root and Minimax Risk" (2014) Advances in Econometrics, [Download].

"Shrinkage Efficiency Bounds" (2015), Econometric Theory, 31, 860-879. [Download].

"Forecasting with Factor-Augmented Regression" (2015) with Xu Cheng, Journal of Econometrics, 186, 280-293. [Download].

"The Risk of James-Stein and Lasso Shrinkage" (2016) Econometric Reviews, [Download].

"Efficient Shrinkage in Parametric Models" (2016) Journal of Econometrics, 190, 115-132. [Download].

"Regression Kink with an Unknown Threshold" (2017) Journal of Business and Economic Statistics. [Download].

"A Stein-like 2SLS Estimator" (2017) Econometric Reviews. [Download].

"Stein Combination Shrinakge for Vector Autoregressions" (2016) [Download].

"Time Series Econometrics for the 21st Century", The Journal of Economic Education (2017) [Download].

"Bootstrap Model Averaging Unit Root Inference", with Jeffrey Racine (2018 ) R Package.

"Inference for Iterated GMM Under Misspecification", with Seojeong Lee (2019) [Download].

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.