Details about Michael Jansson

Access statistics for papers by Michael Jansson.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: pja19

Working Papers

2025

1. Continuity of the Distribution Function of the argmax of a Gaussian Process
   Papers, arXiv.org

2024

2. Bootstrap-Assisted Inference for Generalized Grenander-type Estimators
   Papers, arXiv.org View citations (1)
3. Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators
   Papers, arXiv.org

2023

4. Boundary Adaptive Local Polynomial Conditional Density Estimators
   Papers, arXiv.org

2022

5. Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order
   Working Paper, Economics Department, Queen's University

2021

6. Local Regression Distribution Estimators
   Papers, arXiv.org View citations (13)
   Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2021) View citations (12)
   Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2021) View citations (12)
   See also Journal Article Local regression distribution estimators, Journal of Econometrics, Elsevier (2024) (2024)
7. lpdensity: Local Polynomial Density Estimation and Inference
   Papers, arXiv.org View citations (4)

2020

8. Average Density Estimators: Efficiency and Bootstrap Consistency
   Papers, arXiv.org View citations (2)
   See also Journal Article AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY, Econometric Theory, Cambridge University Press (2022) (2022)
9. Bootstrap-Based Inference for Cube Root Asymptotics
   Papers, arXiv.org View citations (10)
   Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2020) View citations (4)
   See also Journal Article Bootstrap‐Based Inference for Cube Root Asymptotics, Econometrica, Econometric Society (2020) View citations (6) (2020)
10. Simple Local Polynomial Density Estimators
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (259)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2020) View citations (243)
    Papers, arXiv.org (2019) View citations (93)
    See also Journal Article Simple Local Polynomial Density Estimators, Journal of the American Statistical Association, Taylor & Francis Journals (2020) View citations (245) (2020)
11. Towards a General Large Sample Theory for Regularized Estimators
    Papers, arXiv.org
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2019)

2019

12. Two-Step Estimation and Inference with Possibly Many Included Covariates
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (29)
    Also in Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2019) View citations (29)
    Papers, arXiv.org (2018) View citations (5)
    See also Journal Article Two-Step Estimation and Inference with Possibly Many Included Covariates, The Review of Economic Studies, Review of Economic Studies Ltd (2019) View citations (29) (2019)

2018

13. Inference in Linear Regression Models with Many Covariates and Heteroscedasticity
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (34)
    Also in Papers, arXiv.org (2017) View citations (9)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (10)
    CeMMAP working papers, Institute for Fiscal Studies (2017) View citations (1)
    See also Journal Article Inference in Linear Regression Models with Many Covariates and Heteroscedasticity, Journal of the American Statistical Association, Taylor & Francis Journals (2018) View citations (48) (2018)

2017

14. Bootstrap-Based Inference for Cube Root Consistent Estimators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)

2015

15. Alternative Asymptotics and the Partially Linear Model with Many Regressors
    Papers, arXiv.org View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (2)
    CeMMAP working papers, Institute for Fiscal Studies (2015)
    See also Journal Article ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS, Econometric Theory, Cambridge University Press (2018) View citations (18) (2018)
16. Treatment Effects with Many Covariates and Heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2015)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (5)

2014

17. Bootstrapping Kernel-Based Semiparametric Estimators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
18. SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (11)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (2)
    See also Journal Article SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES, Econometric Theory, Cambridge University Press (2014) View citations (20) (2014)

2013

19. Generalized Jackknife Estimators of Weighted Average Derivatives
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (21)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (7)
    See also Journal Article Generalized Jackknife Estimators of Weighted Average Derivatives, Journal of the American Statistical Association, Taylor & Francis Journals (2013) View citations (23) (2013)

2012

20. Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model
    Working Paper, Economics Department, Queen's University View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (5)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (5)
    See also Journal Article Improved likelihood ratio tests for cointegration rank in the VAR model, Journal of Econometrics, Elsevier (2015) View citations (10) (2015)

2010

21. Bootstrapping Density-Weighted Average Derivatives
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
    Also in Staff Reports, Federal Reserve Bank of New York (2010) View citations (10)
    See also Journal Article BOOTSTRAPPING DENSITY-WEIGHTED AVERAGE DERIVATIVES, Econometric Theory, Cambridge University Press (2014) View citations (4) (2014)

2009

22. Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots
    Working Paper, Economics Department, Queen's University View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (1)
    See also Journal Article Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots, Journal of Time Series Econometrics, De Gruyter (2011) View citations (4) (2011)
23. Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis
    Working Paper, Economics Department, Queen's University View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (2)
    See also Journal Article Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis, Econometrica, Econometric Society (2012) View citations (24) (2012)
24. Robust Data-Driven Inference for Density-Weighted Average Derivatives
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article Robust Data-Driven Inference for Density-Weighted Average Derivatives, Journal of the American Statistical Association, American Statistical Association (2010) View citations (27) (2010)

2007

25. Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article Optimal inference for instrumental variables regression with non-Gaussian errors, Journal of Econometrics, Elsevier (2012) View citations (13) (2012)
26. Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis, Econometrica, Econometric Society (2008) View citations (30) (2008)

2005

27. Improving Size and Power in Unit Root Testing
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (5)

2004

28. Optimal Inference in Regression Models with Nearly Integrated Regressors
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (3)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2004) View citations (15)
    See also Journal Article Optimal Inference in Regression Models with Nearly Integrated Regressors, Econometrica, Econometric Society (2006) View citations (137) (2006)
29. 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)

2002

30. Testing for Unit Roots with Stationary Covariates
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) View citations (1)
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2000)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2002)
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article Testing for unit roots with stationary covariates, Journal of Econometrics, Elsevier (2003) View citations (64) (2003)

2000

31. 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)
    Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2000)

Journal Articles

2024

1. Local regression distribution estimators
   Journal of Econometrics, 2024, 240, (2)
   See also Working Paper Local Regression Distribution Estimators, Papers (2021) View citations (13) (2021)

2022

2. AVERAGE DENSITY ESTIMATORS: EFFICIENCY AND BOOTSTRAP CONSISTENCY
   Econometric Theory, 2022, 38, (6), 1140-1174
   See also Working Paper Average Density Estimators: Efficiency and Bootstrap Consistency, Papers (2020) View citations (2) (2020)

2020

3. Bootstrap‐Based Inference for Cube Root Asymptotics
   Econometrica, 2020, 88, (5), 2203-2219 View citations (6)
   See also Working Paper Bootstrap-Based Inference for Cube Root Asymptotics, Papers (2020) View citations (10) (2020)
4. Simple Local Polynomial Density Estimators
   Journal of the American Statistical Association, 2020, 115, (531), 1449-1455 View citations (245)
   See also Working Paper Simple Local Polynomial Density Estimators, University of California at San Diego, Economics Working Paper Series (2020) View citations (259) (2020)

2019

5. Two-Step Estimation and Inference with Possibly Many Included Covariates
   The Review of Economic Studies, 2019, 86, (3), 1095-1122 View citations (29)
   See also Working Paper Two-Step Estimation and Inference with Possibly Many Included Covariates, University of California at San Diego, Economics Working Paper Series (2019) View citations (29) (2019)

2018

6. ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS
   Econometric Theory, 2018, 34, (2), 277-301 View citations (18)
   See also Working Paper Alternative Asymptotics and the Partially Linear Model with Many Regressors, Papers (2015) View citations (2) (2015)
7. Inference in Linear Regression Models with Many Covariates and Heteroscedasticity
   Journal of the American Statistical Association, 2018, 113, (523), 1350-1361 View citations (48)
   See also Working Paper Inference in Linear Regression Models with Many Covariates and Heteroscedasticity, Department of Economics, Working Paper Series (2018) View citations (34) (2018)
8. Kernel†Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency
   Econometrica, 2018, 86, (3), 955-995 View citations (12)
9. Manipulation testing based on density discontinuity
   Stata Journal, 2018, 18, (1), 234-261 View citations (337)
10. SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION
    Econometric Theory, 2018, 34, (2), 247-252

2015

11. Improved likelihood ratio tests for cointegration rank in the VAR model
    Journal of Econometrics, 2015, 184, (1), 97-110 View citations (10)
    See also Working Paper Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model, Working Paper (2012) View citations (5) (2012)

2014

12. BOOTSTRAPPING DENSITY-WEIGHTED AVERAGE DERIVATIVES
    Econometric Theory, 2014, 30, (6), 1135-1164 View citations (4)
    See also Working Paper Bootstrapping Density-Weighted Average Derivatives, CREATES Research Papers (2010) View citations (8) (2010)
13. SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES
    Econometric Theory, 2014, 30, (1), 176-200 View citations (20)
    See also Working Paper SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES, Department of Economics, Working Paper Series (2014) View citations (11) (2014)

2013

14. Generalized Jackknife Estimators of Weighted Average Derivatives
    Journal of the American Statistical Association, 2013, 108, (504), 1243-1256 View citations (23)
    See also Working Paper Generalized Jackknife Estimators of Weighted Average Derivatives, Department of Economics, Working Paper Series (2013) View citations (21) (2013)
15. Rejoinder
    Journal of the American Statistical Association, 2013, 108, (504), 1265-1268

2012

16. Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
    Econometrica, 2012, 80, (5), 2321-2332 View citations (24)
    See also Working Paper Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis, Working Paper (2009) View citations (4) (2009)
17. Optimal inference for instrumental variables regression with non-Gaussian errors
    Journal of Econometrics, 2012, 167, (1), 1-15 View citations (13)
    See also Working Paper Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors, CREATES Research Papers (2007) View citations (3) (2007)

2011

18. Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
    Journal of Time Series Econometrics, 2011, 3, (1), 21 View citations (4)
    See also Working Paper Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots, Working Paper (2009) View citations (1) (2009)

2010

19. Robust Data-Driven Inference for Density-Weighted Average Derivatives
    Journal of the American Statistical Association, 2010, 105, (491), 1070-1083 View citations (27)
    See also Working Paper Robust Data-Driven Inference for Density-Weighted Average Derivatives, CREATES Research Papers (2009) View citations (3) (2009)

2009

20. ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
    Econometric Theory, 2009, 25, (3), 806-818 View citations (17)
21. Finite sample inference for quantile regression models
    Journal of Econometrics, 2009, 152, (2), 93-103 View citations (50)
22. OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
    Econometric Theory, 2009, 25, (3), 793-805 View citations (12)

2008

23. Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
    Econometrica, 2008, 76, (5), 1103-1142 View citations (30)
    See also Working Paper Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis, CREATES Research Papers (2007) View citations (3) (2007)

2007

24. Inference approaches for instrumental variable quantile regression
    Economics Letters, 2007, 95, (2), 272-277 View citations (25)

2006

25. Optimal Inference in Regression Models with Nearly Integrated Regressors
    Econometrica, 2006, 74, (3), 681-714 View citations (137)
    See also Working Paper Optimal Inference in Regression Models with Nearly Integrated Regressors, Harvard Institute of Economic Research Working Papers (2004) View citations (3) (2004)

2005

26. Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
    Journal of Business & Economic Statistics, 2005, 23, 34-48 View citations (26)
27. Point optimal tests of the null hypothesis of cointegration
    Journal of Econometrics, 2005, 124, (1), 187-201 View citations (11)

2004

28. 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors—Solution
    Econometric Theory, 2004, 20, (6), 1263-1264
29. STATIONARITY TESTING WITH COVARIATES
    Econometric Theory, 2004, 20, (1), 56-94 View citations (20)
30. The Error in Rejection Probability of Simple Autocorrelation Robust Tests
    Econometrica, 2004, 72, (3), 937-946 View citations (71)

2003

31. 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors
    Econometric Theory, 2003, 19, (6), 1195-1195
32. Testing for unit roots with stationary covariates
    Journal of Econometrics, 2003, 115, (1), 75-89 View citations (64)
    See also Working Paper Testing for Unit Roots with Stationary Covariates, Department of Economics, Working Paper Series (2002) (2002)

2002

33. CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES
    Econometric Theory, 2002, 18, (6), 1449-1459 View citations (80)
34. REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES
    Econometric Theory, 2002, 18, (6), 1309-1335 View citations (10)
35. Terrestrial export of organic carbon
    Nature, 2002, 415, (6874), 861-862 View citations (1)

Software Items

2022

1. LPDENSITY: Stata module to perform Local Polynomial Density Estimation and Inference
   Statistical Software Components, Boston College Department of Economics
2. RDDENSITY: Stata module to perform Manipulation Testing Using Local Polynomial Density Estimation
   Statistical Software Components, Boston College Department of Economics

Editor

1. Econometrics Journal
   Royal Economic Society
2. The Econometrics Journal
   Royal Economic Society