Details about Bruce E. Hansen

E-mail:
Homepage:	http://www.ssc.wisc.edu/~bhansen/
Phone:	608-263-3880
Postal address:	Department of Economics University of Wisconsin-Madison 1180 Observatory Drive Madison, Wisconsin 53706
Workplace:	Economics Department, University of Wisconsin-Madison, (more information at EDIRC)

Access statistics for papers by Bruce E. Hansen.

Last updated 2020-10-21. Update your information in the RePEc Author Service.

Short-id: pha79

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Working Papers

2019

1. Asymptotic Theory for Clustered Samples
   Papers, arXiv.org View citations (66)
   Also in Discussion Papers, School of Economics, The University of New South Wales (2017) View citations (3)
   See also Journal Article Asymptotic theory for clustered samples, Journal of Econometrics, Elsevier (2019) View citations (64) (2019)

2018

2. Bootstrap Model Averaging Unit Root Inference
   Department of Economics Working Papers, McMaster University View citations (4)
3. Inference for Iterated GMM Under Misspecification and Clustering
   Discussion Papers, School of Economics, The University of New South Wales View citations (4)

2015

4. Minimun mean squared error model averaging in likelihood models
   Working Papers of Department of Decision Sciences and Information Management, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven

2014

5. Uncovering the Relationship between Real Interest Rates and Economic Growth
   Working Papers, University of Michigan, Michigan Retirement Research Center View citations (3)

2013

6. Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (3)
7. Purchasing Power Parity and the Taylor Rule
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University (2013)
   See also Journal Article Purchasing Power Parity and the Taylor Rule, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (3) (2015)

2012

8. Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (7)
   See also Journal Article Forecasting with factor-augmented regression: A frequentist model averaging approach, Journal of Econometrics, Elsevier (2015) View citations (81) (2015)

2000

9. Non-Parametric Data Dependent Bootstrap for Conditional Moment Model
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (2)

1999

10. How Responsive are Private Transfers to Income? Evidence from a Laissez-Faire Economy
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (8)
    See also Journal Article How responsive are private transfers to income? Evidence from a laissez-faire economy, Journal of Public Economics, Elsevier (2004) View citations (134) (2004)
11. Testing for linearity
    Working papers, Wisconsin Madison - Social Systems View citations (245)

1998

12. Sample Splitting and Threshold Estimation
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (5)
    See also Journal Article Sample Splitting and Threshold Estimation, Econometrica, Econometric Society (2000) View citations (1384) (2000)
13. Testing for Structural Change in Conditional Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (7)
    See also Journal Article Testing for structural change in conditional models, Journal of Econometrics, Elsevier (2000) View citations (246) (2000)
14. The grid bootstrap and the autoregressive model
    Working papers, Wisconsin Madison - Social Systems View citations (2)
    See also Journal Article The Grid Bootstrap And The Autoregressive Model, The Review of Economics and Statistics, MIT Press (1999) View citations (265) (1999)
15. Threshold Autoregressions with a Near Unit Root
    Working Papers, Department of Economics, Bilkent University View citations (8)
    Also in Working papers, Wisconsin Madison - Social Systems (1998) View citations (20)

1997

16. Threshold Autoregressions with a Unit Root
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (17)
    See also Journal Article Threshold Autoregression with a Unit Root, Econometrica, Econometric Society (2001) View citations (412) (2001)
17. Threshold effects in non-dynamic panels: Estimation, testing and inference
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (26)
    See also Journal Article Threshold effects in non-dynamic panels: Estimation, testing, and inference, Journal of Econometrics, Elsevier (1999) View citations (1881) (1999)

1996

18. Estimation of TAR Models
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (4)

1995

19. Approximate Asymptotic P-Values for Structural Change Tests
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (37)
    See also Journal Article Approximate Asymptotic P Values for Structural-Change Tests, Journal of Business & Economic Statistics, American Statistical Association (1997) View citations (460) (1997)
20. Erratum: The Likelihood ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (9)
    See also Journal Article Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1996) View citations (157) (1996)
21. Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (196)
    See also Journal Article Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power, Econometric Theory, Cambridge University Press (1995) View citations (201) (1995)
22. Review Article Methodology: Alchemy or Science?
    Boston College Working Papers in Economics, Boston College Department of Economics

1994

23. Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays
    Boston College Working Papers in Economics, Boston College Department of Economics
    See also Journal Article Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays, Econometric Theory, Cambridge University Press (1996) View citations (19) (1996)

1992

24. Autoregressive Conditional Density Estimation
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (5)
    See also Journal Article Autoregressive Conditional Density Estimation, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1994) View citations (832) (1994)
25. Regression with Non-Stationary Variances
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (2)
26. Residual-Based Tests for Cointegration in Models with Regime Shifts
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (17)
    Also in Working Paper, Economics Department, Queen's University (1992) View citations (97)
    See also Journal Article Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics, Elsevier (1996) View citations (1346) (1996)

1991

27. Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (22)
    See also Journal Article Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis, Econometrica, Econometric Society (1996) View citations (1455) (1996)
28. The Likelihood Test Under Non-Standard Conditions: Testing the Markov Trend Model of GNP
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (14)

1990

29. A POWERFUL, SIMPLE TEST FOR COINTEGRATION USING COCHRANE- ORCUTT
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (33)
30. REGRESSION THEORY WHEN VARIANCES ARE NON-STATIONARY
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

1989

31. Statistical Inference in Instrumental Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (104)

1988

32. Estimation and Inference in Models of Cointegration: A Simulation Study
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (10)

Journal Articles

2019

1. Asymptotic theory for clustered samples
   Journal of Econometrics, 2019, 210, (2), 268-290 View citations (64)
   See also Working Paper Asymptotic Theory for Clustered Samples, Papers (2019) View citations (66) (2019)

2018

2. Johansen’s Reduced Rank Estimator Is GMM
   Econometrics, 2018, 6, (2), 1-9 View citations (2)

2017

3. Guest Editors’ Introduction: Regime Switching and Threshold Models
   Journal of Business & Economic Statistics, 2017, 35, (2), 159-161 View citations (7)
4. Regression Kink With an Unknown Threshold
   Journal of Business & Economic Statistics, 2017, 35, (2), 228-240 View citations (78)
5. Stein-like 2SLS estimator
   Econometric Reviews, 2017, 36, (6-9), 840-852 View citations (21)
6. Time series econometrics for the 21st century
   The Journal of Economic Education, 2017, 48, (3), 137-145 View citations (4)

2016

7. Comment
   Journal of Business & Economic Statistics, 2016, 34, (3), 345-347
8. Efficient shrinkage in parametric models
   Journal of Econometrics, 2016, 190, (1), 115-132 View citations (42)
9. The Risk of James--Stein and Lasso Shrinkage
   Econometric Reviews, 2016, 35, (8-10), 1456-1470 View citations (4)

2015

10. Forecasting with factor-augmented regression: A frequentist model averaging approach
    Journal of Econometrics, 2015, 186, (2), 280-293 View citations (81)
    See also Working Paper Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, PIER Working Paper Archive (2012) View citations (7) (2012)
11. Purchasing Power Parity and the Taylor Rule
    Journal of Applied Econometrics, 2015, 30, (6), 874-903 View citations (3)
    See also Working Paper Purchasing Power Parity and the Taylor Rule, CAMA Working Papers (2013) (2013)
12. SHRINKAGE EFFICIENCY BOUNDS
    Econometric Theory, 2015, 31, (4), 860-879 View citations (5)
13. THE INTEGRATED MEAN SQUARED ERROR OF SERIES REGRESSION AND A ROSENTHAL HILBERT-SPACE INEQUALITY
    Econometric Theory, 2015, 31, (2), 337-361 View citations (6)

2014

14. GUEST EDITORS INTRODUCTION: THE SPECIAL 18TH MEETING OF THE NEW ZEALAND ECONOMETRIC STUDY GROUP IN HONOR OF PETER C. B. PHILLIPS
    Econometric Theory, 2014, 30, (4), 715-718
15. Model averaging, asymptotic risk, and regressor groups
    Quantitative Economics, 2014, 5, (3), 495-530 View citations (50)

2012

16. Jackknife model averaging
    Journal of Econometrics, 2012, 167, (1), 38-46 View citations (186)

2010

17. Averaging estimators for autoregressions with a near unit root
    Journal of Econometrics, 2010, 158, (1), 142-155 View citations (24)

2009

18. AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK
    Econometric Theory, 2009, 25, (6), 1498-1514 View citations (25)

2008

19. Least-squares forecast averaging
    Journal of Econometrics, 2008, 146, (2), 342-350 View citations (124)
20. UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
    Econometric Theory, 2008, 24, (3), 726-748 View citations (208)

2007

21. Least Squares Model Averaging
    Econometrica, 2007, 75, (4), 1175-1189 View citations (321)

2006

22. Interval forecasts and parameter uncertainty
    Journal of Econometrics, 2006, 135, (1-2), 377-398 View citations (24)

2005

23. CHALLENGES FOR ECONOMETRIC MODEL SELECTION
    Econometric Theory, 2005, 21, (1), 60-68 View citations (65)
24. EXACT MEAN INTEGRATED SQUARED ERROR OF HIGHER ORDER KERNEL ESTIMATORS
    Econometric Theory, 2005, 21, (6), 1031-1057 View citations (22)

2004

25. How responsive are private transfers to income? Evidence from a laissez-faire economy
    Journal of Public Economics, 2004, 88, (9-10), 2193-2219 View citations (134)
    See also Working Paper How Responsive are Private Transfers to Income? Evidence from a Laissez-Faire Economy, Boston College Working Papers in Economics (1999) View citations (8) (1999)
26. INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
    Econometric Theory, 2004, 20, (5), 813-843 View citations (395)

2003

27. Recounts From Undervotes: Evidence From the 2000 Presidential Election
    Journal of the American Statistical Association, 2003, 98, 292-298

2002

28. Generalized Method of Moments and Macroeconomics
    Journal of Business & Economic Statistics, 2002, 20, (4), 460-69 View citations (38)
29. Testing for two-regime threshold cointegration in vector error-correction models
    Journal of Econometrics, 2002, 110, (2), 293-318 View citations (486)
30. Tests for Parameter Instability in Regressions with I(1) Processes
    Journal of Business & Economic Statistics, 2002, 20, (1), 45-59 View citations (87)
    Also in Journal of Business & Economic Statistics, 1992, 10, (3), 321-35 (1992) View citations (739)

2001

31. The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity
    Journal of Economic Perspectives, 2001, 15, (4), 117-128 View citations (384)
32. Threshold Autoregression with a Unit Root
    Econometrica, 2001, 69, (6), 1555-1596 View citations (412)
    See also Working Paper Threshold Autoregressions with a Unit Root, Boston College Working Papers in Economics (1997) View citations (17) (1997)

2000

33. Sample Splitting and Threshold Estimation
    Econometrica, 2000, 68, (3), 575-604 View citations (1384)
    See also Working Paper Sample Splitting and Threshold Estimation, Boston College Working Papers in Economics (1998) View citations (5) (1998)
34. Testing for structural change in conditional models
    Journal of Econometrics, 2000, 97, (1), 93-115 View citations (246)
    See also Working Paper Testing for Structural Change in Conditional Models, Boston College Working Papers in Economics (1998) View citations (7) (1998)

1999

35. Discussion of 'Data mining reconsidered'
    Econometrics Journal, 1999, 2, (2), 192-201 View citations (13)
36. The Grid Bootstrap And The Autoregressive Model
    The Review of Economics and Statistics, 1999, 81, (4), 594-607 View citations (265)
    See also Working Paper The grid bootstrap and the autoregressive model, Working papers (1998) View citations (2) (1998)
37. Threshold effects in non-dynamic panels: Estimation, testing, and inference
    Journal of Econometrics, 1999, 93, (2), 345-368 View citations (1881)
    See also Working Paper Threshold effects in non-dynamic panels: Estimation, testing and inference, Boston College Working Papers in Economics (1997) View citations (26) (1997)

1997

38. Approximate Asymptotic P Values for Structural-Change Tests
    Journal of Business & Economic Statistics, 1997, 15, (1), 60-67 View citations (460)
    See also Working Paper Approximate Asymptotic P-Values for Structural Change Tests, Boston College Working Papers in Economics (1995) View citations (37) (1995)
39. Handbook of Econometrics, vol. 4Robert F. Engle and Daniel L. McFadden, Editors Elsevier Science B. V., 1994
    Econometric Theory, 1997, 13, (1), 119-132 View citations (2)
40. Inference in TAR Models
    Studies in Nonlinear Dynamics & Econometrics, 1997, 2, (1), 16 View citations (346)

1996

41. Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP
    Journal of Applied Econometrics, 1996, 11, (2), 195-98 View citations (157)
    See also Working Paper Erratum: The Likelihood ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP, Boston College Working Papers in Economics (1995) View citations (9) (1995)
42. Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis
    Econometrica, 1996, 64, (2), 413-30 View citations (1455)
    See also Working Paper Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis, RCER Working Papers (1991) View citations (22) (1991)
43. Methodology: Alchemy or Science: Review Article
    Economic Journal, 1996, 106, (438), 1398-1413 View citations (12)
44. Residual-based tests for cointegration in models with regime shifts
    Journal of Econometrics, 1996, 70, (1), 99-126 View citations (1346)
    See also Working Paper Residual-Based Tests for Cointegration in Models with Regime Shifts, RCER Working Papers (1992) View citations (17) (1992)
45. Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays
    Econometric Theory, 1996, 12, (2), 347-359 View citations (19)
    See also Working Paper Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays, Boston College Working Papers in Economics (1994) (1994)
46. Tests for Cointegration in Models with Regime and Trend Shifts
    Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 555-60 View citations (1039)

1995

47. Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability
    Journal of Business & Economic Statistics, 1995, 13, (3), 237-52 View citations (155)
48. Regression with Nonstationary Volatility
    Econometrica, 1995, 63, (5), 1113-32 View citations (50)
49. Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power
    Econometric Theory, 1995, 11, (5), 1148-1171 View citations (201)
    See also Working Paper Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power, Boston College Working Papers in Economics (1995) View citations (196) (1995)
50. TIME SERIES ANALYSISJames D. Hamilton Princeton University Press, 1994
    Econometric Theory, 1995, 11, (3), 625-630 View citations (2)

1994

51. Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator
    Econometric Theory, 1994, 10, (1), 29-52 View citations (285)
52. Autoregressive Conditional Density Estimation
    International Economic Review, 1994, 35, (3), 705-30 View citations (832)
    See also Working Paper Autoregressive Conditional Density Estimation, RCER Working Papers (1992) View citations (5) (1992)

1993

53. Testing for Common Features: Comment
    Journal of Business & Economic Statistics, 1993, 11, (4), 385-86

1992

54. Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
    Econometrica, 1992, 60, (4), 967-72 View citations (95)
55. Convergence to Stochastic Integrals for Dependent Heterogeneous Processes
    Econometric Theory, 1992, 8, (4), 489-500 View citations (185)
56. Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
    Journal of Econometrics, 1992, 53, (1-3), 87-121 View citations (95)
57. Heteroskedastic cointegration
    Journal of Econometrics, 1992, 54, (1-3), 139-158 View citations (28)
58. Testing for parameter instability in linear models
    Journal of Policy Modeling, 1992, 14, (4), 517-533 View citations (431)
59. The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP
    Journal of Applied Econometrics, 1992, 7, (S), S61-82 View citations (459)

1991

60. GARCH(1, 1) processes are near epoch dependent
    Economics Letters, 1991, 36, (2), 181-186 View citations (26)
61. Strong Laws for Dependent Heterogeneous Processes
    Econometric Theory, 1991, 7, (2), 213-221 View citations (29)

1990

62. Statistical Inference in Instrumental Variables Regression with I(1) Processes
    The Review of Economic Studies, 1990, 57, (1), 99-125 View citations (2247)

Edited books

2011

1. Econometric Theory and Practice
   Cambridge Books, Cambridge University Press View citations (4)

2006

2. Econometric Theory and Practice
   Cambridge Books, Cambridge University Press View citations (271)

Chapters

2014

1. Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 14, pp 3-21 View citations (1)

Software Items

2024

1. XTREGTWO: Stata module to estimate panel regression with standard errors robust to two-way clustering and serial correlation in time effects
   Statistical Software Components, Boston College Department of Economics