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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 2016-03-25. Update your information in the RePEc Author Service.

Short-id: pha79


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Working Papers

2014

  1. Uncovering the Relationship between Real Interest Rates and Economic Growth
    Working Papers, University of Michigan, Michigan Retirement Research Center Downloads View citations (1)

2013

  1. 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 Downloads View citations (1)
  2. Purchasing Power Parity and the Taylor Rule
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
    Also in AJRC Working Papers, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University (2013) Downloads

    See also Journal Article in Journal of Applied Econometrics (2015)

2012

  1. 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 Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2015)

2000

  1. Non-Parametric Data Dependent Bootstrap for Conditional Moment Model
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (1)

1999

  1. How Responsive are Private Transfers to Income? Evidence from a Laissez-Faire Economy
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    See also Journal Article in Journal of Public Economics (2004)
  2. Testing for linearity
    Working papers, Wisconsin Madison - Social Systems Downloads View citations (118)
    See also Journal Article in Journal of Economic Surveys (1999)

1998

  1. Sample Splitting and Threshold Estimation
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (3)
    See also Journal Article in Econometrica (2000)
  2. Testing for Structural Change in Conditional Models
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2000)
  3. The grid bootstrap and the autoregressive model
    Working papers, Wisconsin Madison - Social Systems Downloads View citations (2)
    See also Journal Article in The Review of Economics and Statistics (1999)
  4. Threshold Autoregressions with a Near Unit Root
    Working Papers, Department of Economics, Bilkent University View citations (5)
    Also in Working papers, Wisconsin Madison - Social Systems (1998) Downloads View citations (15)

1997

  1. Threshold Autoregressions with a Unit Root
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (15)
    See also Journal Article in Econometrica (2001)
  2. Threshold effects in non-dynamic panels: Estimation, testing and inference
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (25)
    See also Journal Article in Journal of Econometrics (1999)

1996

  1. Estimation of TAR Models
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (1)

1995

  1. Approximate Asymptotic P-Values for Structural Change Tests
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (35)
    See also Journal Article in Journal of Business & Economic Statistics (1997)
  2. 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 (102)
    See also Journal Article in Econometric Theory (1995)
  3. Review Article Methodology: Alchemy or Science?
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads

1994

  1. Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Econometric Theory (1996)

1992

  1. Autoregressive Conditional Density Estimation
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (5)
    See also Journal Article in International Economic Review (1994)
  2. Regression with Non-Stationary Variances
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)
  3. Residual-Based Tests for Cointegration in Models with Regime Shifts
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (5)
    Also in Working Papers, Queen's University, Department of Economics (1992) Downloads View citations (88)

    See also Journal Article in Journal of Econometrics (1996)

1991

  1. 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 (15)
    See also Journal Article in Econometrica (1996)
  2. 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 (10)

1990

  1. A POWERFUL, SIMPLE TEST FOR COINTEGRATION USING COCHRANE- ORCUTT
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (10)
  2. REGRESSION THEORY WHEN VARIANCES ARE NON-STATIONARY
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER)

1989

  1. Statistical Inference in Instrumental Variables
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (103)

1988

  1. Estimation and Inference in Models of Cointegration: A Simulation Study
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (6)

Journal Articles

2016

  1. Efficient shrinkage in parametric models
    Journal of Econometrics, 2016, 190, (1), 115-132 Downloads View citations (3)

2015

  1. Forecasting with factor-augmented regression: A frequentist model averaging approach
    Journal of Econometrics, 2015, 186, (2), 280-293 Downloads View citations (12)
    See also Working Paper (2012)
  2. Purchasing Power Parity and the Taylor Rule
    Journal of Applied Econometrics, 2015, 30, (6), 874-903 Downloads
    See also Working Paper (2013)
  3. SHRINKAGE EFFICIENCY BOUNDS
    Econometric Theory, 2015, 31, (04), 860-879 Downloads View citations (1)
  4. THE INTEGRATED MEAN SQUARED ERROR OF SERIES REGRESSION AND A ROSENTHAL HILBERT-SPACE INEQUALITY
    Econometric Theory, 2015, 31, (02), 337-361 Downloads View citations (1)

2014

  1. 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, (04), 715-718 Downloads
  2. Model averaging, asymptotic risk, and regressor groups
    Quantitative Economics, 2014, 5, (3), 495-530 Downloads View citations (9)

2012

  1. Jackknife model averaging
    Journal of Econometrics, 2012, 167, (1), 38-46 Downloads View citations (49)

2010

  1. Averaging estimators for autoregressions with a near unit root
    Journal of Econometrics, 2010, 158, (1), 142-155 Downloads View citations (14)

2009

  1. AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK
    Econometric Theory, 2009, 25, (06), 1498-1514 Downloads View citations (10)

2008

  1. Least-squares forecast averaging
    Journal of Econometrics, 2008, 146, (2), 342-350 Downloads View citations (52)
  2. UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
    Econometric Theory, 2008, 24, (03), 726-748 Downloads View citations (93)

2007

  1. Least Squares Model Averaging
    Econometrica, 2007, 75, (4), 1175-1189 Downloads View citations (105)

2006

  1. Interval forecasts and parameter uncertainty
    Journal of Econometrics, 2006, 135, (1-2), 377-398 Downloads View citations (16)

2005

  1. CHALLENGES FOR ECONOMETRIC MODEL SELECTION
    Econometric Theory, 2005, 21, (01), 60-68 Downloads View citations (24)
  2. EXACT MEAN INTEGRATED SQUARED ERROR OF HIGHER ORDER KERNEL ESTIMATORS
    Econometric Theory, 2005, 21, (06), 1031-1057 Downloads View citations (16)

2004

  1. How responsive are private transfers to income? Evidence from a laissez-faire economy
    Journal of Public Economics, 2004, 88, (9-10), 2193-2219 Downloads View citations (71)
    See also Working Paper (1999)
  2. INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
    Econometric Theory, 2004, 20, (05), 813-843 Downloads View citations (151)

2003

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

2002

  1. Generalized Method of Moments and Macroeconomics
    Journal of Business & Economic Statistics, 2002, 20, (4), 460-69 View citations (25)
  2. Testing for two-regime threshold cointegration in vector error-correction models
    Journal of Econometrics, 2002, 110, (2), 293-318 Downloads View citations (315)
  3. Tests for Parameter Instability in Regressions with I(1) Processes
    Journal of Business & Economic Statistics, 2002, 20, (1), 45-59 View citations (74)
    Also in Journal of Business & Economic Statistics, 1992, 10, (3), 321-35 (1992) View citations (405)

2001

  1. The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity
    Journal of Economic Perspectives, 2001, 15, (4), 117-128 Downloads View citations (189)
  2. Threshold Autoregression with a Unit Root
    Econometrica, 2001, 69, (6), 1555-1596 Downloads View citations (267)
    See also Working Paper (1997)

2000

  1. Sample Splitting and Threshold Estimation
    Econometrica, 2000, 68, (3), 575-604 View citations (624)
    See also Working Paper (1998)
  2. Testing for structural change in conditional models
    Journal of Econometrics, 2000, 97, (1), 93-115 Downloads View citations (159)
    See also Working Paper (1998)

1999

  1. Discussion of 'Data mining reconsidered'
    Econometrics Journal, 1999, 2, (2), 192-201 View citations (7)
  2. Testing for Linearity
    Journal of Economic Surveys, 1999, 13, (5), 551-76 Downloads View citations (114)
    See also Working Paper (1999)
  3. The Grid Bootstrap And The Autoregressive Model
    The Review of Economics and Statistics, 1999, 81, (4), 594-607 Downloads View citations (160)
    See also Working Paper (1998)
  4. Threshold effects in non-dynamic panels: Estimation, testing, and inference
    Journal of Econometrics, 1999, 93, (2), 345-368 Downloads View citations (471)
    See also Working Paper (1997)

1997

  1. Approximate Asymptotic P Values for Structural-Change Tests
    Journal of Business & Economic Statistics, 1997, 15, (1), 60-67 View citations (237)
    See also Working Paper (1995)
  2. Handbook of Econometrics, vol. 4 Robert F. Engle and Daniel L. McFadden, Editors Elsevier Science B. V., 1994
    Econometric Theory, 1997, 13, (01), 119-132 Downloads
  3. Inference in TAR Models
    Studies in Nonlinear Dynamics & Econometrics, 1997, 2, (1), 1-16 Downloads View citations (104)

1996

  1. Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis
    Econometrica, 1996, 64, (2), 413-30 Downloads View citations (763)
    See also Working Paper (1991)
  2. Methodology: Alchemy or Science: Review Article
    Economic Journal, 1996, 106, (438), 1398-1413 Downloads View citations (3)
  3. Residual-based tests for cointegration in models with regime shifts
    Journal of Econometrics, 1996, 70, (1), 99-126 Downloads View citations (747)
    Also in Oxford Bulletin of Economics and Statistics, 1996, 58, (3), 555-60 (1996) View citations (182)

    See also Working Paper (1992)
  4. Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays
    Econometric Theory, 1996, 12, (02), 347-359 Downloads View citations (15)
    See also Working Paper (1994)

1995

  1. Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability
    Journal of Business & Economic Statistics, 1995, 13, (3), 237-52 View citations (88)
  2. Regression with Nonstationary Volatility
    Econometrica, 1995, 63, (5), 1113-32 Downloads View citations (35)
  3. Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power
    Econometric Theory, 1995, 11, (05), 1148-1171 Downloads View citations (126)
    See also Working Paper (1995)
  4. TIME SERIES ANALYSIS James D. Hamilton Princeton University Press, 1994
    Econometric Theory, 1995, 11, (03), 625-630 Downloads View citations (2)

1994

  1. Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator
    Econometric Theory, 1994, 10, (01), 29-52 Downloads View citations (209)
  2. Autoregressive Conditional Density Estimation
    International Economic Review, 1994, 35, (3), 705-30 Downloads View citations (432)
    See also Working Paper (1992)

1993

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

1992

  1. Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
    Econometrica, 1992, 60, (4), 967-72 Downloads View citations (63)
  2. Convergence to Stochastic Integrals for Dependent Heterogeneous Processes
    Econometric Theory, 1992, 8, (04), 489-500 Downloads View citations (132)
  3. Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
    Journal of Econometrics, 1992, 53, (1-3), 87-121 Downloads View citations (70)
  4. Heteroskedastic cointegration
    Journal of Econometrics, 1992, 54, (1-3), 139-158 Downloads View citations (24)
  5. Testing for parameter instability in linear models
    Journal of Policy Modeling, 1992, 14, (4), 517-533 Downloads View citations (299)
  6. The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP
    Journal of Applied Econometrics, 1992, 7, (S), S61-82 Downloads View citations (282)

1991

  1. GARCH(1, 1) processes are near epoch dependent
    Economics Letters, 1991, 36, (2), 181-186 Downloads View citations (19)
  2. Strong Laws for Dependent Heterogeneous Processes
    Econometric Theory, 1991, 7, (02), 213-221 Downloads View citations (20)

1990

  1. Statistical Inference in Instrumental Variables Regression with I(1) Processes
    Review of Economic Studies, 1990, 57, (1), 99-125 Downloads View citations (907)

1988

  1. An Integral over a Matrix Space
    Econometric Theory, 1988, 4, (01), 179-181 Downloads

Edited books

2011

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

2006

  1. Econometric Theory and Practice
    Cambridge Books, Cambridge University Press View citations (13)

Software Items

 
Page updated 2017-10-16