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Bruce E. Hansen

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Personal Details

First Name: Bruce
Middle Name: E.
Last Name: Hansen
Suffix:

RePEc Short-ID: pha79

Email:
Homepage: http://www.ssc.wisc.edu/~bhansen/
Postal Address: Department of Economics University of Wisconsin-Madison 1180 Observatory Drive Madison, Wisconsin 53706
Phone: 608-263-3880

Affiliation

Works


Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Bruce E. Hansen, 2000. "Non-Parametric Data Dependent Bootstrap for Conditional Moment Model," Econometric Society World Congress 2000 Contributed Papers 1556, Econometric Society.
  2. Hansen,B.E., 1999. "Testing for linearity," Working papers 7, Wisconsin Madison - Social Systems.
  3. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
  4. Hansen,B.E., 1998. "The grid bootstrap and the autoregressive model," Working papers 26, Wisconsin Madison - Social Systems.
  5. Caner,M. & Hansen,B.E., 1998. "Threshold autoregression with a near unit root," Working papers 27, Wisconsin Madison - Social Systems.
  6. Bruce E. Hansen, 1997. "Threshold effects in non-dynamic panels: Estimation, testing and inference," Boston College Working Papers in Economics 365, Boston College Department of Economics.
  7. Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
  8. Donald Cox & Bruce E. Hansen & Emmanuel Jimenez, 1997. "How Responsive are Private Transfers to Income? Evidence from a Laissez-Faire Economy," Boston College Working Papers in Economics 341., Boston College Department of Economics, revised 01 Dec 1999.
  9. Bruce E. Hansen, 1996. "Estimation of TAR Models," Boston College Working Papers in Economics 325., Boston College Department of Economics.
  10. Bruce E. Hansen, 1996. "Sample Splitting and Threshold Estimation," Boston College Working Papers in Economics 319., Boston College Department of Economics, revised 12 May 1998.
  11. Bruce E. Hansen, 1995. "Erratum: The Likelihood ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Boston College Working Papers in Economics 296., Boston College Department of Economics.
  12. Bruce E. Hansen, 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Boston College Working Papers in Economics 300., Boston College Department of Economics.
  13. Bruce E. Hansen, 1995. "Review Article Methodology: Alchemy or Science?," Boston College Working Papers in Economics 299., Boston College Department of Economics.
  14. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics.
  15. Bruce E. Hansen, 1994. "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Boston College Working Papers in Economics 295., Boston College Department of Economics.
  16. Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
  17. Hansen, B.E., 1992. "Regression with Non-Stationary Variances," RCER Working Papers 331, University of Rochester - Center for Economic Research (RCER).
  18. Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
  19. Hansen, B.E., 1991. "The Likelihood Test Under Non-Standard Conditions: Testing the Markov Trend Model of GNP," RCER Working Papers 279, University of Rochester - Center for Economic Research (RCER).
  20. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  21. Hansen, B.E., 1990. "A Powerful, Simple Test For Cointegration Using Cochrane- Orcutt," RCER Working Papers 230, University of Rochester - Center for Economic Research (RCER).
  22. Hansen, B.E., 1990. "Regression Theory When Variances Are Non-Stationary," RCER Working Papers 226, University of Rochester - Center for Economic Research (RCER).
  23. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Estimation and Inference in Models of Cointegration: A Simulation Study," Cowles Foundation Discussion Papers 881, Cowles Foundation for Research in Economics, Yale University.
  24. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers 869R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1989.

Articles

  1. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  2. Hansen, Bruce E., 2009. "Averaging Estimators For Regressions With A Possible Structural Break," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1498-1514, December.
  3. Hansen, Bruce E., 2008. "Uniform Convergence Rates For Kernel Estimation With Dependent Data," Econometric Theory, Cambridge University Press, vol. 24(03), pages 726-748, June.
  4. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October.
  5. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, 07.
  6. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 377-398.
  7. Hansen, Bruce E., 2005. "Exact Mean Integrated Squared Error Of Higher Order Kernel Estimators," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1031-1057, December.
  8. Hansen, Bruce E., 2005. "Challenges For Econometric Model Selection," Econometric Theory, Cambridge University Press, vol. 21(01), pages 60-68, February.
  9. Cox, Donald & Hansen, Bruce E. & Jimenez, Emmanuel, 2004. "How responsive are private transfers to income? Evidence from a laissez-faire economy," Journal of Public Economics, Elsevier, vol. 88(9-10), pages 2193-2219, August.
  10. Caner, Mehmet & Hansen, Bruce E., 2004. "Instrumental Variable Estimation Of A Threshold Model," Econometric Theory, Cambridge University Press, vol. 20(05), pages 813-843, October.
  11. Hansen B.E., 2003. "Recounts From Undervotes: Evidence From the 2000 Presidential Election," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 292-298, January.
  12. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
  13. Hansen, Bruce E & West, Kenneth D, 2002. "Generalized Method of Moments and Macroeconomics," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 460-69, October.
  14. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
  15. Bruce E. Hansen, 2001. "The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 117-128, Fall.
  16. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
  17. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, vol. 68(3), pages 575-604, May.
  18. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
  19. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
  20. Hansen, Bruce E, 1999. " Testing for Linearity," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 551-76, December.
  21. Bruce E. Hansen, 1999. "Discussion of 'Data mining reconsidered'," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 192-201.
  22. Bruce E. Hansen, 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(1), pages 1.
  23. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
  24. Hansen, Bruce E. & Horowitz, Joel L., 1997. "Handbook of Econometrics, vol. 4 Robert F. Engle and Daniel L. McFadden, Editors Elsevier Science B. V., 1994," Econometric Theory, Cambridge University Press, vol. 13(01), pages 119-132, February.
  25. Hansen, Bruce E., 1996. "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Econometric Theory, Cambridge University Press, vol. 12(02), pages 347-359, June.
  26. Hansen, Bruce E, 1996. "Erratum: The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(2), pages 195-98, March-Apr.
  27. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
  28. Hansen, Bruce E, 1996. "Methodology: Alchemy or Science: Review Article," Economic Journal, Royal Economic Society, vol. 106(438), pages 1398-1413, September.
  29. Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-60, August.
  30. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
  31. Hansen, Bruce E., 1995. "TIME SERIES ANALYSIS James D. Hamilton Princeton University Press, 1994," Econometric Theory, Cambridge University Press, vol. 11(03), pages 625-630, June.
  32. Hansen, Bruce E., 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1148-1171, October.
  33. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
  34. Hansen, Bruce E, 1995. "Regression with Nonstationary Volatility," Econometrica, Econometric Society, vol. 63(5), pages 1113-32, September.
  35. Lee, Sang-Won & Hansen, Bruce E., 1994. "Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator," Econometric Theory, Cambridge University Press, vol. 10(01), pages 29-52, March.
  36. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-30, August.
  37. Hansen, Bruce E, 1993. "Testing for Common Features: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 385-86, October.
  38. Hansen, Bruce E, 1992. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 321-35, July.
  39. Hansen, Bruce E, 1992. "Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes," Econometrica, Econometric Society, vol. 60(4), pages 967-72, July.
  40. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
  41. Hansen, Bruce E., 1992. "Heteroskedastic cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 139-158.
  42. Hansen, Bruce E., 1992. "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 8(04), pages 489-500, December.
  43. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
  44. Hansen, Bruce E, 1992. "The Likelihood Ratio Test under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S61-82, Suppl. De.
  45. Hansen, Bruce E., 1991. "Strong Laws for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 7(02), pages 213-221, June.
  46. Hansen, Bruce E., 1991. "GARCH(1, 1) processes are near epoch dependent," Economics Letters, Elsevier, vol. 36(2), pages 181-186, June.
  47. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  48. Hansen, Bruce E., 1988. "An Integral over a Matrix Space," Econometric Theory, Cambridge University Press, vol. 4(01), pages 179-181, April.

Books

  1. Corbae,Dean & Durlauf,Steven N. & Hansen,Bruce E. (ed.), 2011. "Econometric Theory and Practice," Cambridge Books, Cambridge University Press, number 9780521184304, May.
  2. Corbae,Dean & Durlauf,Steven N. & Hansen,Bruce E. (ed.), 2006. "Econometric Theory and Practice," Cambridge Books, Cambridge University Press, number 9780521807234, May.

Statistics

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