Details about Michael Jansson

Access statistics for papers by Michael Jansson.

Last updated 2013-04-16. Update your information in the RePEc Author Service.

Short-id: pja19

Working Papers

2012

1. Alternative Asymptotics and the Partially Linear Model with Many Regressors
   CREATES Research Papers, School of Economics and Management, University of Aarhus
2. Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2012) View citations (1)
   Working Papers, Queen's University, Department of Economics (2012) View citations (1)

2011

3. Generalized Jackknife Estimators of Weighted Average Derivatives
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (2)

2010

4. Bootstrapping Density-Weighted Average Derivatives
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (3)
   Also in Staff Reports, Federal Reserve Bank of New York (2010) View citations (3)

2009

5. Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
   Working Papers, Queen's University, Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009)
   See also Journal Article in Journal of Time Series Econometrics (2011)
6. Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
   Working Papers, Queen's University, Department of Economics View citations (3)
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009)
   See also Journal Article in Econometrica (2012)
7. Robust Data-Driven Inference for Density-Weighted Average Derivatives
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (1)
   See also Journal Article in Journal of the American Statistical Association (2010)

2008

8. Small Bandwidth Asymptotics for Density-Weighted Average Derivatives
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (2)

2007

9. Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (1)
   See also Journal Article in Journal of Econometrics (2012)
10. Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (1)
    See also Journal Article in Econometrica (2008)

2005

11. Improving Size and Power in Unit Root Testing
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (18)

2004

12. Optimal Inference in Regression Models with Nearly Integrated Regressors
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (2)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2004) View citations (15)
    See also Journal Article in Econometrica (2006)
13. Optimal Power for Testing Potential Cointegrating Vectors with Known
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)

2003

14. Optimal Power For Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity
    Emory Economics, Department of Economics, Emory University (Atlanta) View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2002

15. Testing for Unit Roots with Stationary Covariates
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in Economics Working Papers, School of Economics and Management, University of Aarhus View citations (7)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000)
    See also Journal Article in Journal of Econometrics (2003)

2000

16. Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (1)
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations (1)

Journal Articles

2012

1. Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
   Econometrica, 2012, 80, (5), 2321-2332
   See also Working Paper (2009)
2. Optimal inference for instrumental variables regression with non-Gaussian errors
   Journal of Econometrics, 2012, 167, (1), 1-15
   See also Working Paper (2007)

2011

3. Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
   Journal of Time Series Econometrics, 2011, 3, (1), 1-21
   See also Working Paper (2009)

2010

4. Robust Data-Driven Inference for Density-Weighted Average Derivatives
   Journal of the American Statistical Association, 2010, 105, (491), 1070-1083
   See also Working Paper (2009)

2009

5. ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
   Econometric Theory, 2009, 25, (03), 806-818
6. Finite sample inference for quantile regression models
   Journal of Econometrics, 2009, 152, (2), 93-103 View citations (7)
7. OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
   Econometric Theory, 2009, 25, (03), 793-805 View citations (3)

2008

8. Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
   Econometrica, 2008, 76, (5), 1103-1142 View citations (9)
   See also Working Paper (2007)

2007

9. Inference approaches for instrumental variable quantile regression
   Economics Letters, 2007, 95, (2), 272-277 View citations (9)

2006

10. Optimal Inference in Regression Models with Nearly Integrated Regressors
    Econometrica, 2006, 74, (3), 681-714 View citations (44)
    See also Working Paper (2004)

2005

11. Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
    Journal of Business & Economic Statistics, 2005, 23, 34-48 View citations (8)
    See also Working Paper (2003)
12. Point optimal tests of the null hypothesis of cointegration
    Journal of Econometrics, 2005, 124, (1), 187-201 View citations (4)

2004

13. 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors Solution
    Econometric Theory, 2004, 20, (06), 1263-1264
14. STATIONARITY TESTING WITH COVARIATES
    Econometric Theory, 2004, 20, (01), 56-94 View citations (9)
15. The Error in Rejection Probability of Simple Autocorrelation Robust Tests
    Econometrica, 2004, 72, (3), 937-946 View citations (13)

2003

16. 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors
    Econometric Theory, 2003, 19, (06), 1195-1195
17. Testing for unit roots with stationary covariates
    Journal of Econometrics, 2003, 115, (1), 75-89 View citations (29)
    See also Working Paper (2002)

2002

18. CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES
    Econometric Theory, 2002, 18, (06), 1449-1459 View citations (25)
19. REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES
    Econometric Theory, 2002, 18, (06), 1309-1335 View citations (6)