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Details about John C. Chao

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Homepage:http://www.econ.umd.edu/facultyprofile/Chao/John
Workplace:Department of Economics, University of Maryland, (more information at EDIRC)

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Short-id: pch1536


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Working Papers

2013

  1. An Expository Note on the Existence of Moments of Fuller and HFUL Estimators
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
  2. Combining Two Consistent Estimators
    Departmental Working Papers, Rutgers University, Department of Economics Downloads

2011

  1. Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
    See also Journal Article in Econometric Theory (2012)
  2. Instrumental Variable Estimation with Heteroskedasticity and Many Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (2)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) Downloads View citations (46)

    See also Journal Article in Quantitative Economics (2012)
  3. Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity
    Departmental Working Papers, Rutgers University, Department of Economics Downloads
    See also Journal Article in Journal of Econometrics (2014)

2004

  1. Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction
    Yale School of Management Working Papers, Yale School of Management Downloads
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2003) Downloads View citations (5)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2007)
  2. Consistent Estimation with a Large Number of Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (4)
    Also in Yale School of Management Working Papers, Yale School of Management (2004) Downloads View citations (13)

    See also Journal Article in Econometrica (2005)
  3. Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (7)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (5)
  4. Some Results on the Asymptotic Normality of k-Class Estimators in the Case of Many Weak Instruments
    Econometric Society 2004 North American Winter Meetings, Econometric Society

2003

  1. Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (5)

2000

  1. On the Bias and MSE of the IV Estimator Under Weak Identification
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (3)

1998

  1. Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (2002)

1997

  1. Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (1999)
  2. Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production
    Working Papers, Pennsylvania State - Department of Economics
    See also Journal Article in Macroeconomic Dynamics (2000)

1996

  1. Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads

Journal Articles

2014

  1. PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS
    Econometric Theory, 2014, 30, (4), 839-881 Downloads
  2. Testing overidentifying restrictions with many instruments and heteroskedasticity
    Journal of Econometrics, 2014, 178, (P1), 15-21 Downloads View citations (14)
    See also Working Paper (2011)

2013

  1. Harry Kelejian's Professional Life and Work
    Spatial Economic Analysis, 2013, 8, (3), 218-227 Downloads

2012

  1. ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
    Econometric Theory, 2012, 28, (1), 42-86 Downloads View citations (30)
    See also Working Paper (2011)
  2. Instrumental variable estimation with heteroskedasticity and many instruments
    Quantitative Economics, 2012, 3, (2), 211-255 Downloads View citations (32)
    See also Working Paper (2011)

2009

  1. Comment
    Journal of Business & Economic Statistics, 2009, 27, (3), 316-318 Downloads

2007

  1. Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
    Journal of Econometrics, 2007, 137, (2), 515-555 Downloads View citations (11)
    See also Working Paper (2004)

2006

  1. An Exact Bayes Test of Asset Pricing Models with Application to International Markets
    The Journal of Business, 2006, 79, (1), 293-324 Downloads View citations (8)

2005

  1. Consistent Estimation with a Large Number of Weak Instruments
    Econometrica, 2005, 73, (5), 1673-1692 Downloads View citations (107)
    See also Working Paper (2004)

2002

  1. Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables
    Journal of Econometrics, 2002, 111, (2), 251-283 Downloads View citations (5)
    See also Working Paper (1998)

2001

  1. Data Transformation and Forecasting in Models with Unit Roots and Cointegration
    Annals of Economics and Finance, 2001, 2, (1), 59-76 Downloads View citations (2)
  2. OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY
    Macroeconomic Dynamics, 2001, 5, (4), 598-620 Downloads View citations (74)

2000

  1. TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
    Macroeconomic Dynamics, 2000, 4, (1), 42-72 Downloads
    See also Working Paper (1997)

1999

  1. Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
    Journal of Econometrics, 1999, 91, (2), 227-271 Downloads View citations (58)
    See also Working Paper (1997)

1998

  1. Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
    Journal of Econometrics, 1998, 87, (1), 49-86 Downloads View citations (30)
  2. Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4), 1-16 Downloads View citations (2)
 
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