Details about Michael Jansson

Access statistics for papers by Michael Jansson.

Last updated 2021-01-24. Update your information in the RePEc Author Service.

Short-id: pja19

Working Papers

2021

1. Local Regression Distribution Estimators
   Papers, arXiv.org View citations (1)
2. lpdensity: Local Polynomial Density Estimation and Inference
   Papers, arXiv.org

2020

3. Average Density Estimators: Efficiency and Bootstrap Consistency
   Papers, arXiv.org View citations (2)
4. Bootstrap-Based Inference for Cube Root Asymptotics
   Papers, arXiv.org View citations (1)
   See also Journal Article in Econometrica (2020)
5. Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order
   Working Paper, Economics Department, Queen's University
6. Simple Local Polynomial Density Estimators
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (19)
   Also in Papers, arXiv.org (2019) View citations (32)
   See also Journal Article in Journal of the American Statistical Association (2020)
7. 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

8. 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 (4)
   Also in Papers, arXiv.org (2018) View citations (3)
   See also Journal Article in Review of Economic Studies (2019)

2017

9. Bootstrap-Based Inference for Cube Root Consistent Estimators
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
10. Inference in Linear Regression Models with Many Covariates and Heteroskedasticity
    Papers, arXiv.org View citations (7)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (8)
    See also Journal Article in Journal of the American Statistical Association (2018)

2015

11. Alternative Asymptotics and the Partially Linear Model with Many Regressors
    Papers, arXiv.org View citations (1)
    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)
    See also Journal Article in Econometric Theory (2018)
12. Treatment Effects with Many Covariates and Heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (4)

2014

13. Bootstrapping Kernel-Based Semiparametric Estimators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

2012

14. Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model
    Working Paper, Economics Department, Queen's University View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (5)
    See also Journal Article in Journal of Econometrics (2015)

2011

15. Generalized Jackknife Estimators of Weighted Average Derivatives
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article in Journal of the American Statistical Association (2013)

2010

16. Bootstrapping Density-Weighted Average Derivatives
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    Also in Staff Reports, Federal Reserve Bank of New York (2010) View citations (9)
    See also Journal Article in Econometric Theory (2014)

2009

17. Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots
    Working Paper, Economics Department, Queen's University
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009)
    See also Journal Article in Journal of Time Series Econometrics (2011)
18. 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 in Econometrica (2012)
19. Robust Data-Driven Inference for Density-Weighted Average Derivatives
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article in Journal of the American Statistical Association (2010)

2008

20. Small Bandwidth Asymptotics for Density-Weighted Average Derivatives
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article in Econometric Theory (2014)

2007

21. 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 in Journal of Econometrics (2012)
22. Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article in Econometrica (2008)

2005

23. Improving Size and Power in Unit Root Testing
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (4)

2004

24. Optimal Inference in Regression Models with Nearly Integrated Regressors
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (2)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2004) View citations (14)
    See also Journal Article in Econometrica (2006)
25. 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

2002

26. Testing for Unit Roots with Stationary Covariates
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) View citations (1)
    See also Journal Article in Journal of Econometrics (2003)

2000

27. 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)

Journal Articles

2020

1. Bootstrap‐Based Inference for Cube Root Asymptotics
   Econometrica, 2020, 88, (5), 2203-2219 View citations (1)
   See also Working Paper (2020)
2. Simple Local Polynomial Density Estimators
   Journal of the American Statistical Association, 2020, 115, (531), 1449-1455 View citations (3)
   See also Working Paper (2020)

2019

3. Two-Step Estimation and Inference with Possibly Many Included Covariates
   Review of Economic Studies, 2019, 86, (3), 1095-1122 View citations (3)
   See also Working Paper (2019)

2018

4. ALTERNATIVE ASYMPTOTICS AND THE PARTIALLY LINEAR MODEL WITH MANY REGRESSORS
   Econometric Theory, 2018, 34, (2), 277-301 View citations (8)
   See also Working Paper (2015)
5. Inference in Linear Regression Models with Many Covariates and Heteroscedasticity
   Journal of the American Statistical Association, 2018, 113, (523), 1350-1361 View citations (13)
   See also Working Paper (2017)
6. Kernel†Based Semiparametric Estimators: Small Bandwidth Asymptotics and Bootstrap Consistency
   Econometrica, 2018, 86, (3), 955-995 View citations (4)
7. Manipulation testing based on density discontinuity
   Stata Journal, 2018, 18, (1), 234-261 View citations (70)
8. SPECIAL ISSUE OF ECONOMETRIC THEORY IN HONOR OF PROFESSOR RICHARD J. SMITH: GUEST EDITORS’ INTRODUCTION
   Econometric Theory, 2018, 34, (2), 247-252

2015

9. Improved likelihood ratio tests for cointegration rank in the VAR model
   Journal of Econometrics, 2015, 184, (1), 97-110 View citations (7)
   See also Working Paper (2012)

2014

10. BOOTSTRAPPING DENSITY-WEIGHTED AVERAGE DERIVATIVES
    Econometric Theory, 2014, 30, (6), 1135-1164 View citations (1)
    See also Working Paper (2010)
11. SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES
    Econometric Theory, 2014, 30, (1), 176-200 View citations (10)
    See also Working Paper (2008)

2013

12. Generalized Jackknife Estimators of Weighted Average Derivatives
    Journal of the American Statistical Association, 2013, 108, (504), 1243-1256 View citations (9)
    See also Working Paper (2011)
13. Rejoinder
    Journal of the American Statistical Association, 2013, 108, (504), 1265-1268

2012

14. Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
    Econometrica, 2012, 80, (5), 2321-2332 View citations (13)
    See also Working Paper (2009)
15. Optimal inference for instrumental variables regression with non-Gaussian errors
    Journal of Econometrics, 2012, 167, (1), 1-15 View citations (9)
    See also Working Paper (2007)

2011

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

2010

17. Robust Data-Driven Inference for Density-Weighted Average Derivatives
    Journal of the American Statistical Association, 2010, 105, (491), 1070-1083 View citations (16)
    See also Working Paper (2009)

2009

18. ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
    Econometric Theory, 2009, 25, (3), 806-818 View citations (8)
19. Finite sample inference for quantile regression models
    Journal of Econometrics, 2009, 152, (2), 93-103 View citations (31)
20. OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
    Econometric Theory, 2009, 25, (3), 793-805 View citations (9)

2008

21. Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
    Econometrica, 2008, 76, (5), 1103-1142 View citations (21)
    See also Working Paper (2007)

2007

22. Inference approaches for instrumental variable quantile regression
    Economics Letters, 2007, 95, (2), 272-277 View citations (21)

2006

23. Optimal Inference in Regression Models with Nearly Integrated Regressors
    Econometrica, 2006, 74, (3), 681-714 View citations (93)
    See also Working Paper (2004)

2005

24. Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
    Journal of Business & Economic Statistics, 2005, 23, 34-48 View citations (19)
25. Point optimal tests of the null hypothesis of cointegration
    Journal of Econometrics, 2005, 124, (1), 187-201 View citations (7)

2004

26. 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors—Solution
    Econometric Theory, 2004, 20, (6), 1263-1264
27. STATIONARITY TESTING WITH COVARIATES
    Econometric Theory, 2004, 20, (1), 56-94 View citations (19)
28. The Error in Rejection Probability of Simple Autocorrelation Robust Tests
    Econometrica, 2004, 72, (3), 937-946 View citations (50)

2003

29. 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors
    Econometric Theory, 2003, 19, (6), 1195-1195
30. Testing for unit roots with stationary covariates
    Journal of Econometrics, 2003, 115, (1), 75-89 View citations (61)
    See also Working Paper (2002)

2002

31. CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES
    Econometric Theory, 2002, 18, (6), 1449-1459 View citations (61)
32. REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES
    Econometric Theory, 2002, 18, (6), 1309-1335 View citations (10)

Editor

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