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Files in ZIP format are available for the following published and unpublished papers: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 (2021) Econometrica, 89, 1417. [Download].

"Criterion-Based Inference without the Information Equality: The Weighted Chi-Square Distribution", (2021) [Download].

"The Exact Distribution of the White t-ratio", (2021) [Download].

"Jackknife Standard Errors for Clustered Regression", (2022) [Download].

"Standard Errors for Two-Way Clustering with Serially Correlated Time Effects", with Harold Chiang and Yuya Sasaki (2022) xtregtwo Stata command.

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.