Details about Michael Jansson

Access statistics for papers by Michael Jansson.

Last updated 2009-09-26. Update your information in the RePEc Author Service.

Short-id: pja19

Working Papers

2009

1. Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
   Working Papers, Queen's University, Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009)

2008

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

2007

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

2005

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

2004

6. Optimal Inference in Regression Models with Nearly Integrated Regressors
   Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
   Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2004) View citations
   See also Journal Article in Econometrica (2006)
7. 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

2003

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

2002

9. 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 University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) View citations
   Economics Working Papers, School of Economics and Management, University of Aarhus View citations
   See also Journal Article in Journal of Econometrics (2003)

2000

10. 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
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations

Journal Articles

2009

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

2008

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

2007

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

2006

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

2005

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

2004

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

2003

12. 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors
    Econometric Theory, 2003, 19, (06), 1195-1195
13. Testing for unit roots with stationary covariates
    Journal of Econometrics, 2003, 115, (1), 75-89 View citations
    See also Working Paper (2002)

2002

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