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
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Working Papers
2025
- Continuity of the Distribution Function of the argmax of a Gaussian Process
Papers, arXiv.org
2024
- Bootstrap-Assisted Inference for Generalized Grenander-type Estimators
Papers, arXiv.org View citations (1)
- Higher-order Refinements of Small Bandwidth Asymptotics for Density-Weighted Average Derivative Estimators
Papers, arXiv.org
2023
- Boundary Adaptive Local Polynomial Conditional Density Estimators
Papers, arXiv.org
2022
- Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order
Working Paper, Economics Department, Queen's University
2021
- Local Regression Distribution Estimators
Papers, arXiv.org View citations (10)
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2021) View citations (9) Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2021) View citations (9)
See also Journal Article Local regression distribution estimators, Journal of Econometrics, Elsevier (2024) (2024)
- lpdensity: Local Polynomial Density Estimation and Inference
Papers, arXiv.org View citations (4)
2020
- 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)
- 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)
- Simple Local Polynomial Density Estimators
Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (225)
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2020) View citations (241) 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 (227) (2020)
- 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
- Two-Step Estimation and Inference with Possibly Many Included Covariates
Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley View citations (28)
Also in Papers, arXiv.org (2018) View citations (5) University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2019) View citations (28)
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 (28) (2019)
2018
- 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 (30)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (10) Papers, arXiv.org (2017) View citations (9) 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 (44) (2018)
2017
- Bootstrap-Based Inference for Cube Root Consistent Estimators
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
2015
- Alternative Asymptotics and the Partially Linear Model with Many Regressors
Papers, arXiv.org View citations (2)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (2) CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (1) 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 (17) (2018)
- 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, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (5) CeMMAP working papers, Institute for Fiscal Studies (2015)
2014
- Bootstrapping Kernel-Based Semiparametric Estimators
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
- 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 (10)
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 (19) (2014)
2013
- 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
- Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model
Working Paper, Economics Department, Queen's University View citations (5)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (5) CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (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
- 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 (9)
See also Journal Article BOOTSTRAPPING DENSITY-WEIGHTED AVERAGE DERIVATIVES, Econometric Theory, Cambridge University Press (2014) View citations (4) (2014)
2009
- 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)
- 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)
- 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
- 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 (12) (2012)
- 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
- Improving Size and Power in Unit Root Testing
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
2004
- 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 (136) (2006)
- 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
- 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 (2002)  University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) View citations (1) Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (7) Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2000) 
See also Journal Article Testing for unit roots with stationary covariates, Journal of Econometrics, Elsevier (2003) View citations (64) (2003)
2000
- 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 Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2000)  Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (1)
Journal Articles
2024
- Local regression distribution estimators
Journal of Econometrics, 2024, 240, (2) 
See also Working Paper Local Regression Distribution Estimators, Papers (2021) View citations (10) (2021)
2022
- 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
- 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)
- Simple Local Polynomial Density Estimators
Journal of the American Statistical Association, 2020, 115, (531), 1449-1455 View citations (227)
See also Working Paper Simple Local Polynomial Density Estimators, Department of Economics, Working Paper Series (2020) View citations (225) (2020)
2019
- Two-Step Estimation and Inference with Possibly Many Included Covariates
The Review of Economic Studies, 2019, 86, (3), 1095-1122 View citations (28)
See also Working Paper Two-Step Estimation and Inference with Possibly Many Included Covariates, Department of Economics, Working Paper Series (2019) View citations (28) (2019)
2018
- ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS
Econometric Theory, 2018, 34, (2), 277-301 View citations (17)
See also Working Paper Alternative Asymptotics and the Partially Linear Model with Many Regressors, Papers (2015) View citations (2) (2015)
- Inference in Linear Regression Models with Many Covariates and Heteroscedasticity
Journal of the American Statistical Association, 2018, 113, (523), 1350-1361 View citations (44)
See also Working Paper Inference in Linear Regression Models with Many Covariates and Heteroscedasticity, Department of Economics, Working Paper Series (2018) View citations (30) (2018)
- Kernel†Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency
Econometrica, 2018, 86, (3), 955-995 View citations (12)
- Manipulation testing based on density discontinuity
Stata Journal, 2018, 18, (1), 234-261 View citations (311)
- SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION
Econometric Theory, 2018, 34, (2), 247-252
2015
- 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
- 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)
- SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES
Econometric Theory, 2014, 30, (1), 176-200 View citations (19)
See also Working Paper SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES, Department of Economics, Working Paper Series (2014) View citations (10) (2014)
2013
- 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)
- Rejoinder
Journal of the American Statistical Association, 2013, 108, (504), 1265-1268
2012
- 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)
- Optimal inference for instrumental variables regression with non-Gaussian errors
Journal of Econometrics, 2012, 167, (1), 1-15 View citations (12)
See also Working Paper Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors, CREATES Research Papers (2007) View citations (3) (2007)
2011
- 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
- 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
- ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
Econometric Theory, 2009, 25, (3), 806-818 View citations (17)
- Finite sample inference for quantile regression models
Journal of Econometrics, 2009, 152, (2), 93-103 View citations (49)
- OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
Econometric Theory, 2009, 25, (3), 793-805 View citations (12)
2008
- 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
- Inference approaches for instrumental variable quantile regression
Economics Letters, 2007, 95, (2), 272-277 View citations (25)
2006
- Optimal Inference in Regression Models with Nearly Integrated Regressors
Econometrica, 2006, 74, (3), 681-714 View citations (136)
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
- Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
Journal of Business & Economic Statistics, 2005, 23, 34-48 View citations (26)
- Point optimal tests of the null hypothesis of cointegration
Journal of Econometrics, 2005, 124, (1), 187-201 View citations (11)
2004
- 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors—Solution
Econometric Theory, 2004, 20, (6), 1263-1264
- STATIONARITY TESTING WITH COVARIATES
Econometric Theory, 2004, 20, (1), 56-94 View citations (19)
- The Error in Rejection Probability of Simple Autocorrelation Robust Tests
Econometrica, 2004, 72, (3), 937-946 View citations (71)
2003
- 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors
Econometric Theory, 2003, 19, (6), 1195-1195
- 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
- CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES
Econometric Theory, 2002, 18, (6), 1449-1459 View citations (79)
- REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES
Econometric Theory, 2002, 18, (6), 1309-1335 View citations (10)
- Terrestrial export of organic carbon
Nature, 2002, 415, (6874), 861-862 View citations (1)
Software Items
2022
- LPDENSITY: Stata module to perform Local Polynomial Density Estimation and Inference
Statistical Software Components, Boston College Department of Economics
- RDDENSITY: Stata module to perform Manipulation Testing Using Local Polynomial Density Estimation
Statistical Software Components, Boston College Department of Economics
Editor
- Econometrics Journal
Royal Economic Society
- The Econometrics Journal
Royal Economic Society
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