Details about John C. Chao

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Short-id: pch1536

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
2. Combining Two Consistent Estimators
   Departmental Working Papers, Rutgers University, Department of Economics

2011

3. Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments
   Departmental Working Papers, Rutgers University, Department of Economics View citations (4)
   See also Journal Article ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS, Econometric Theory, Cambridge University Press (2012) View citations (76) (2012)
4. Instrumental Variable Estimation with Heteroskedasticity and Many Instruments
   Departmental Working Papers, Rutgers University, Department of Economics View citations (3)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) View citations (47)
   See also Journal Article Instrumental variable estimation with heteroskedasticity and many instruments, Quantitative Economics, Econometric Society (2012) View citations (87) (2012)
5. Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity
   Departmental Working Papers, Rutgers University, Department of Economics
   See also Journal Article Testing overidentifying restrictions with many instruments and heteroskedasticity, Journal of Econometrics, Elsevier (2014) View citations (35) (2014)

2004

6. 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
   Also in Departmental Working Papers, Rutgers University, Department of Economics (2003) View citations (6)
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (6)
   See also Journal Article Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction, Journal of Econometrics, Elsevier (2007) View citations (17) (2007)
7. Consistent Estimation with a Large Number of Weak Instruments
   Yale School of Management Working Papers, Yale School of Management View citations (13)
   Also in Departmental Working Papers, Rutgers University, Department of Economics (2004) View citations (4)
   See also Journal Article Consistent Estimation with a Large Number of Weak Instruments, Econometrica, Econometric Society (2005) View citations (187) (2005)
8. Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments
   Departmental Working Papers, Rutgers University, Department of Economics View citations (11)
   Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004) View citations (11)
9. 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

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

2000

11. On the Bias and MSE of the IV Estimator Under Weak Identification
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (7)

1998

12. 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
    See also Journal Article Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables, Journal of Econometrics, Elsevier (2002) View citations (6) (2002)

1997

13. Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    See also Journal Article Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, Journal of Econometrics, Elsevier (1999) View citations (61) (1999)
14. 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 TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION, Macroeconomic Dynamics, Cambridge University Press (2000) (2000)

1996

15. 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 View citations (1)

Journal Articles

2014

1. PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS
   Econometric Theory, 2014, 30, (4), 839-881
2. Testing overidentifying restrictions with many instruments and heteroskedasticity
   Journal of Econometrics, 2014, 178, (P1), 15-21 View citations (35)
   See also Working Paper Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity, Departmental Working Papers (2011) (2011)

2013

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

2012

4. ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS
   Econometric Theory, 2012, 28, (1), 42-86 View citations (76)
   See also Working Paper Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments, Departmental Working Papers (2011) View citations (4) (2011)
5. Instrumental variable estimation with heteroskedasticity and many instruments
   Quantitative Economics, 2012, 3, (2), 211-255 View citations (87)
   See also Working Paper Instrumental Variable Estimation with Heteroskedasticity and Many Instruments, Departmental Working Papers (2011) View citations (3) (2011)

2009

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

2007

7. 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 View citations (17)
   See also Working Paper 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 (2004) (2004)

2006

8. An Exact Bayes Test of Asset Pricing Models with Application to International Markets
   The Journal of Business, 2006, 79, (1), 293-324 View citations (11)

2005

9. Consistent Estimation with a Large Number of Weak Instruments
   Econometrica, 2005, 73, (5), 1673-1692 View citations (187)
   See also Working Paper Consistent Estimation with a Large Number of Weak Instruments, Yale School of Management Working Papers (2004) View citations (13) (2004)

2002

10. Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables
    Journal of Econometrics, 2002, 111, (2), 251-283 View citations (6)
    See also Working Paper Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables, Cowles Foundation Discussion Papers (1998) (1998)

2001

11. Data Transformation and Forecasting in Models with Unit Roots and Cointegration
    Annals of Economics and Finance, 2001, 2, (1), 59-76 View citations (2)
12. OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY
    Macroeconomic Dynamics, 2001, 5, (4), 598-620 View citations (82)

2000

13. TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION
    Macroeconomic Dynamics, 2000, 4, (1), 42-72
    See also Working Paper Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production, Working Papers (1997) (1997)

1999

14. Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
    Journal of Econometrics, 1999, 91, (2), 227-271 View citations (61)
    See also Working Paper Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure, Cowles Foundation Discussion Papers (1997) View citations (2) (1997)

1998

15. Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior
    Journal of Econometrics, 1998, 87, (1), 49-86 View citations (34)
16. Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4), 16 View citations (2)

Software Items

2022

1. HFUL_HLIM: Stata module for heteroskedasticity-robust version of the Fuller estimator and jackknife version of the limited-information maximum likelihood estimator
   Statistical Software Components, Boston College Department of Economics