← All authors Bruce E. Hansen University of Wisconsin–Madison (from arXiv:2201.11304, 2022) · OpenAlex
76 papers in scope · 76 published · 1 on the econ.EM arXiv · 35,018 citations · h-index 47 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Timothy J. Vogelsang James G. MacKinnon Kaicheng Chen Jiahao Lin Ludovic Stephan Ulrich Hounyo Morten Ørregaard Nielsen Matthew D. Webb Haonan Miao Yannick Guyonvarch Laurent Davezies Harold D. Chiang Xiaojun Song Yuya Sasaki Luther Yap Marcia M. A. Schafgans Hendrik Plett Xiaoyu Cheng Christoph Rothe Xavier D’Haultfœuille Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 76)
Standard Errors for Difference‐in‐Difference Regression
published 2025 · Journal of Applied Econometrics · 18 citations
published 2024 · The Review of Economics and Statistics · 17 citations · first circulated 2022
Reply to: Comment on “A Modern Gauss–Markov Theorem”
published 2024 · Econometrica
A Modern Gauss–Markov Theorem
published 2022 · Econometrica · 39 citations
Inference for Iterated GMM Under Misspecification
published 2021 · Econometrica · 67 citations · first circulated 2018
published 2019 · Journal of Econometrics · 82 citations · first circulated 2017
Johansen’s Reduced Rank Estimator Is GMM
published 2018 · Econometrics · 8 citations
Time series econometrics for the 21st century
published 2017 · The Journal of Economic Education · 9 citations
Stein-like 2SLS estimator
published 2017 · Econometric Reviews · 42 citations
Guest Editors’ Introduction: Regime Switching and Threshold Models
published 2017 · Journal of Business and Economic Statistics · 18 citations
Comment
published 2016 · Journal of Business and Economic Statistics
Efficient shrinkage in parametric models
published 2015 · Journal of Econometrics · 84 citations
The Risk of James–Stein and Lasso Shrinkage
published 2015 · Econometric Reviews · 45 citations
Minimum Mean Squared Error Model Averaging in Likelihood Models
published 2015 · Statistica Sinica · 19 citations
Regression Kink With an Unknown Threshold
published 2015 · Journal of Business and Economic Statistics · 259 citations
Forecasting with factor-augmented regression: A frequentist model averaging approach
published 2015 · Journal of Econometrics · 25 citations · first circulated 2012
Model averaging, asymptotic risk, and regressor groups
published 2014 · Quantitative Economics · 125 citations
SHRINKAGE EFFICIENCY BOUNDS
published 2014 · Econometric Theory · 8 citations
THE INTEGRATED MEAN SQUARED ERROR OF SERIES REGRESSION AND A ROSENTHAL HILBERT-SPACE INEQUALITY
published 2014 · Econometric Theory · 20 citations
Purchasing Power Parity and the Taylor Rule
published 2014 · Journal of Applied Econometrics · 11 citations · first circulated 2013
with Hyeongwoo Kim, Ippei Fujiwara, Masao Ogaki
GUEST EDITORS INTRODUCTION: THE SPECIAL 18TH MEETING OF THE NEW ZEALAND ECONOMETRIC STUDY GROUP IN HONOR OF PETER C. B. PHILLIPS
published 2014 · Econometric Theory · 1 citations
with Joon Park
Jackknife model averaging
published 2011 · Journal of Econometrics · 505 citations
with Jeffrey S. Racine
Threshold autoregression in economics
published 2011 · Statistics and Its Interface · 280 citations
Averaging estimators for autoregressions with a near unit root
published 2010 · Journal of Econometrics · 82 citations
AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK
published 2009 · Econometric Theory · 58 citations
Least-squares forecast averaging
published 2008 · Journal of Econometrics · 283 citations
UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
published 2008 · Econometric Theory · 470 citations
Least Squares Model Averaging
published 2007 · Econometrica · 848 citations
EXACT MEAN INTEGRATED SQUARED ERROR OF HIGHER ORDER KERNEL ESTIMATORS
published 2005 · Econometric Theory · 73 citations
Interval forecasts and parameter uncertainty
published 2005 · Journal of Econometrics · 44 citations
CHALLENGES FOR ECONOMETRIC MODEL SELECTION
published 2005 · Econometric Theory · 111 citations
INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
published 2004 · Econometric Theory · 760 citations
How responsive are private transfers to income? Evidence from a laissez-faire economy
published 2003 · Journal of Public Economics · 220 citations · first circulated 1999
with Donald Cox, Emmanuel Jiménez
Recounts From Undervotes
published 2003 · Journal of the American Statistical Association · 9 citations
Generalized Method of Moments and Macroeconomics
published 2002 · Journal of Business and Economic Statistics · 89 citations
with Kenneth D. West
Testing for two-regime threshold cointegration in vector error-correction models
published 2002 · Journal of Econometrics · 852 citations
with Byeongseon Seo
Threshold Autoregression with a Unit Root
published 2001 · Econometrica · 716 citations · first circulated 1997
The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity
published 2001 · The Journal of Economic Perspectives · 864 citations
Testing for structural change in conditional models
published 2000 · Journal of Econometrics · 473 citations · first circulated 1998
Sample Splitting and Threshold Estimation
published 2000 · Econometrica · 2849 citations · first circulated 1998
Threshold effects in non-dynamic panels: Estimation, testing, and inference
published 1999 · Journal of Econometrics · 4976 citations · first circulated 1997
Testing for Linearity
published 1999 · Journal of Economic Surveys · 427 citations
Discussion of ‘Data mining reconsidered’
published 1999 · Econometrics Journal · 44 citations
The Grid Bootstrap and the Autoregressive Model
published 1999 · The Review of Economics and Statistics · 361 citations · first circulated 1998
On the Issue of Functional Form Choice in Hedonic Price Functions: Further Evidence
published 1997 · Environmental Management · 38 citations
with John M. Halstead, Rachel Bouvier
Handbook of Econometrics, vol. 4Robert F. Engle and Daniel L. McFadden, Editors Elsevier Science B. V., 1994
published 1997 · Econometric Theory · 9 citations
Inference in TAR Models
published 1997 · Studies in Nonlinear Dynamics and Econometrics · 588 citations
Approximate Asymptotic P Values for StructuraS-Change Tests
published 1997 · Journal of Business and Economic Statistics · 530 citations
Approximate Asymptotic P Values for Structural-Change Tests
published 1997 · Journal of Business and Economic Statistics · 377 citations
Methodology: Alchemy or Science?
published 1996 · The Economic Journal · 20 citations
with David F. Hendry
PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts
published 1996 · Oxford Bulletin of Economics and Statistics · 591 citations
with Allan W. Gregory
Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays
published 1996 · Econometric Theory · 40 citations · first circulated 1994
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
published 1996 · Econometrica · 2297 citations · first circulated 1991
The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP
published 1996 · Journal of Applied Econometrics · 671 citations · first circulated 1992
Residual-based tests for cointegration in models with regime shifts
published 1996 · Journal of Econometrics · 2502 citations · first circulated 1992
with Allan W. Gregory
Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power
published 1995 · Econometric Theory · 372 citations
Regression with Nonstationary Volatility
published 1995 · Econometrica · 96 citations
Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability
published 1995 · Journal of Business and Economic Statistics · 281 citations
with Fabio Canova
TIME SERIES ANALYSISJames D. Hamilton Princeton University Press, 1994
published 1995 · Econometric Theory · 38 citations
Autoregressive Conditional Density Estimation
published 1994 · International Economic Review · 1627 citations · first circulated 1992
Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests
published 1994 · Journal of Business and Economic Statistics · 446 citations · first circulated 1992
Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator
published 1994 · Econometric Theory · 639 citations
with Sangwon Lee
[Testing for Common Features]: Comment
published 1993 · Journal of Business and Economic Statistics · 1 citations
Comment
published 1993 · Journal of Business and Economic Statistics
Convergence to Stochastic Integrals for Dependent Heterogeneous Processes
published 1992 · Econometric Theory · 353 citations
Heteroskedastic cointegration
published 1992 · Journal of Econometrics · 60 citations
Testing for parameter instability in linear models
published 1992 · Journal of Policy Modeling · 767 citations
Tests for Parameter Instability in Regressions with 1(1) Processes
published 1992 · Journal of Business and Economic Statistics · 949 citations
Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
published 1992 · Econometrica · 219 citations
Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
published 1992 · Journal of Econometrics · 210 citations
Strong Laws for Dependent Heterogeneous Processes
published 1991 · Econometric Theory · 119 citations
GARCH(1, 1) processes are near epoch dependent
published 1991 · Economics Letters · 64 citations
Convergence to a Stochastic Integral
published 1990 · Econometric Theory
Perpendicular Least Squares
published 1990 · Econometric Theory
Statistical Inference in Instrumental Variables Regression with I(1) Processes
published 1990 · The Review of Economic Studies · 4823 citations · first circulated 1989
An Integral over a Matrix Space
published 1988 · Econometric Theory
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