Bruce E Hansen
Biographic Data
| ID | 5729292 |
|---|---|
| NAME | Bruce E Hansen |
| GIVEN NAMES | Bruce E |
| FAMILY NAME | Hansen |
| SIGNATURE | HANSEN B E |
| AFFILIATIONS | University of Wisconsin–Madison |
| VERIFIED | No |
| TOTAL WORKS | 20 |
| TOTAL CITATIONS | 1 |
| WORKS AS AUTHOR | 20 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1990 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 1 |
Standard Errors for Difference‐in‐Difference Regression
This paper makes a case for the use of jackknife methods for standard error, value, and confidence interval construction for difference‐in‐difference (DiD) regression. We review cluster‐robust, bootstrap, and jackknife standard error methods and show that standard methods can substantially underperform in conventional settings. In contrast, our proposed jackknife inference methods work well in broad contexts. We illustrate the relevance by replic…
Standard Errors for Two-Way Clustering with Serially Correlated Time Effects
We propose improved standard errors and an asymptotic theory for two-way clustered panels. Our theory allow for arbitrary serial dependence in the common time effects, which is excluded by existing two-way methods. Our asymptotic distribution theory is the first which allows for this level of inter-dependence. Under weak conditions, we demonstrate that OLS is asymptotically normal, our proposed variance estimator is consistent, and t-ratios are a…
Regression Kink With an Unknown Threshold
This article explores estimation and inference in a regression kink model with an unknown threshold. A regression kink model (or continuous threshold model) is a threshold regression constrained to be everywhere continuous with a kink at an unknown threshold. We present methods for estimation, to test for the presence of the threshold, for inference on the regression parameters, and for inference on the regression function. A novel finding is tha…
Instrumental Variable Estimation of a Threshold Model
Threshold models (sample splitting models) have wide application in economics. Existing estimation methods are confined to regression models, which require that all right-hand-side variables are exogenous. This paper considers a model with endogenous variables but an exogenous threshold variable. We develop a two-stage least squares estimator of the threshold parameter and a generalized method of moments estimator of the slope parameters. We show…
Assessing non-linear estimation procedures for human growth models
The five models studied are reasonably robust against most of the problems encountered when fitting non-linear models to human growth data; this confirms some conjectures which have been taken for granted by a large number of authors. The presence of cyclical patterns is a consequence of the global description of growth attempted by these five models
Generalized Method of Moments and Macroeconomics
We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing theoretical research
The New Econometrics of Structural Change
We have seen the emergence of three major innovations in the econometrics of structural change in the past fifteen years: (1) tests for a structural break of unknown timing; (2) estimation of the timing of a structural break; and (3) tests to distinguish unit roots from broken time trends. These three innovations have dramatically altered the face of applied time series econometrics. In this paper, we review these three innovations, and illustrat…
Sample Splitting and Threshold Estimation
Threshold models have a wide variety of applications in economics. Direct applications include models of separating and multiple equilibria. Other applications include empirical sample splitting when the sample split is based on a continuously-distributed variable such as firm size. In addition, threshold models may be used as a parsimonious strategy for nonparametric function estimation. For example, the threshold autoregressive model (TAR) is p…
Threshold effects in non-dynamic panels
The Grid Bootstrap and the Autoregressive Model
A “grid” bootstrap method is proposed for confidence-interval construction, which has improved performance over conventional bootstrap methods when the sampling distribution depends upon the parameter of interest. The basic idea is to calculate the bootstrap distribution over a grid of values of the parameter of interest and form the confidence interval by the no-rejection principle. Our primary motivation is given by autoregressive models, where…
Approximate Asymptotic P Values for Structural-Change Tests
Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p-values. Keywords: parameter stability, changepoint models
Approximate Asymptotic P Values for StructuraS-Change Tests
Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p values. A GAUSS program is available to perform the computations. KEY WORDS: Changepoint estimatorsNonstandard distributionsQuandt test
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Many econometric testing problems involve nuisance parameters which are not identified under the null hypotheses. This paper studies the asymptotic distribution theory for such tests. The asymptotic distributions of standard test statistics are described as functionals of chi-square processes. In general, the distributions depend upon a large number of unknown parameters. We show that a transformation based upon a conditional probability measure …
Residual-based tests for cointegration in models with regime shifts
In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose ADF-, Zα-, and Zt-type tests designed to test the null of no cointegration against the alternative of cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope coefficients have a single break of unknown timing. A formal proof is provided for the limiting distributions of th…
Methodology
Journal Article Econometrics: Alchemy or Science. Get access Bruce E. Hansen Bruce E. Hansen Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 106, Issue 438, 1 September 1996, Pages 1398–1413, https://doi.org/10.2307/2235531 Published: 01 September 1996
Are Seasonal Patterns Constant Over Time? A Test for Seasonal Stability
This paper describes two tests which are able to distinguish deterministic forms of seasonality from non-stationary seasonal fluctuations. The first one tests for time variations in the deviations of seasonal dummies from an overall mean. The second for time variations in the seasonal dummies at each sea sonal frequency. The asymptotic distribution of the tests is derived under weak assumptions which allow for a wide variety of weakly dependent n…
[Testing for Common Features]
Tests for Parameter Instability in Regressions with 1(1) Processes
This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The fully modified estimator of Phillips and Hansen is extended to cover general models with stochastic and deterministic trends. The test statistics considered include the SupF test of Quandt, as well as the LM tests of Nyblom and of Nabeya and T…
Tests for Parameter Instability in Regressions with I(1) Processes
This paper derives the large sample distributions of Lagrange multiplier tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The test statistics considered include the SupF test of Quandt (1960), as well as the LM test of Nyblom (1989). It is found that the asymptotic distributions depend upon the nature of the regressor processes, i.e., if the regressors are stochastic or det…
Statistical Inference in Instrumental Variables Regression with I(1) Processes
This paper studies the asymptotic properties of instrumental variable (IV) estimates of multivariate cointegrating regressions and allows for deterministic and stochastic regressors as well as quite general deterministic processes in the data-generating mechanism. It is found that IV regressions are consistent even when the instruments are stochastically independent of the regressors. This phenomenon, which contrasts with traditional theory for s…
Methodology
Journal Article Econometrics: Alchemy or Science. Get access Bruce E. Hansen Bruce E. Hansen Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 106, Issue 438, 1 September 1996, Pages 1398–1413, https://doi.org/10.2307/2235531 Published: 01 September 1996
Statistical Inference in Instrumental Variables Regression with I(1) Processes
This paper studies the asymptotic properties of instrumental variable (IV) estimates of multivariate cointegrating regressions and allows for deterministic and stochastic regressors as well as quite general deterministic processes in the data-generating mechanism. It is found that IV regressions are consistent even when the instruments are stochastically independent of the regressors. This phenomenon, which contrasts with traditional theory for s…
Tests for Parameter Instability in Regressions with 1(1) Processes
This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The fully modified estimator of Phillips and Hansen is extended to cover general models with stochastic and deterministic trends. The test statistics considered include the SupF test of Quandt, as well as the LM tests of Nyblom and of Nabeya and T…
Tests for Parameter Instability in Regressions with I(1) Processes
This paper derives the large sample distributions of Lagrange multiplier tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The test statistics considered include the SupF test of Quandt (1960), as well as the LM test of Nyblom (1989). It is found that the asymptotic distributions depend upon the nature of the regressor processes, i.e., if the regressors are stochastic or det…
[Testing for Common Features]
Are Seasonal Patterns Constant Over Time? A Test for Seasonal Stability
This paper describes two tests which are able to distinguish deterministic forms of seasonality from non-stationary seasonal fluctuations. The first one tests for time variations in the deviations of seasonal dummies from an overall mean. The second for time variations in the seasonal dummies at each sea sonal frequency. The asymptotic distribution of the tests is derived under weak assumptions which allow for a wide variety of weakly dependent n…
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
Many econometric testing problems involve nuisance parameters which are not identified under the null hypotheses. This paper studies the asymptotic distribution theory for such tests. The asymptotic distributions of standard test statistics are described as functionals of chi-square processes. In general, the distributions depend upon a large number of unknown parameters. We show that a transformation based upon a conditional probability measure …
Residual-based tests for cointegration in models with regime shifts
In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose ADF-, Zα-, and Zt-type tests designed to test the null of no cointegration against the alternative of cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope coefficients have a single break of unknown timing. A formal proof is provided for the limiting distributions of th…
Methodology
Journal Article Econometrics: Alchemy or Science. Get access Bruce E. Hansen Bruce E. Hansen Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 106, Issue 438, 1 September 1996, Pages 1398–1413, https://doi.org/10.2307/2235531 Published: 01 September 1996
Approximate Asymptotic P Values for Structural-Change Tests
Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p-values. Keywords: parameter stability, changepoint models
Approximate Asymptotic P Values for StructuraS-Change Tests
Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p values. A GAUSS program is available to perform the computations. KEY WORDS: Changepoint estimatorsNonstandard distributionsQuandt test
Threshold effects in non-dynamic panels
The Grid Bootstrap and the Autoregressive Model
A “grid” bootstrap method is proposed for confidence-interval construction, which has improved performance over conventional bootstrap methods when the sampling distribution depends upon the parameter of interest. The basic idea is to calculate the bootstrap distribution over a grid of values of the parameter of interest and form the confidence interval by the no-rejection principle. Our primary motivation is given by autoregressive models, where…
Sample Splitting and Threshold Estimation
Threshold models have a wide variety of applications in economics. Direct applications include models of separating and multiple equilibria. Other applications include empirical sample splitting when the sample split is based on a continuously-distributed variable such as firm size. In addition, threshold models may be used as a parsimonious strategy for nonparametric function estimation. For example, the threshold autoregressive model (TAR) is p…
The New Econometrics of Structural Change
We have seen the emergence of three major innovations in the econometrics of structural change in the past fifteen years: (1) tests for a structural break of unknown timing; (2) estimation of the timing of a structural break; and (3) tests to distinguish unit roots from broken time trends. These three innovations have dramatically altered the face of applied time series econometrics. In this paper, we review these three innovations, and illustrat…
Generalized Method of Moments and Macroeconomics
We consider the contribution to the analysis of economic time series of the generalized method-of-moments estimator introduced by Hansen. We outline the theoretical contribution, conduct a small-scale literature survey, and discuss some ongoing theoretical research
Assessing non-linear estimation procedures for human growth models
The five models studied are reasonably robust against most of the problems encountered when fitting non-linear models to human growth data; this confirms some conjectures which have been taken for granted by a large number of authors. The presence of cyclical patterns is a consequence of the global description of growth attempted by these five models
Instrumental Variable Estimation of a Threshold Model
Threshold models (sample splitting models) have wide application in economics. Existing estimation methods are confined to regression models, which require that all right-hand-side variables are exogenous. This paper considers a model with endogenous variables but an exogenous threshold variable. We develop a two-stage least squares estimator of the threshold parameter and a generalized method of moments estimator of the slope parameters. We show…
Regression Kink With an Unknown Threshold
This article explores estimation and inference in a regression kink model with an unknown threshold. A regression kink model (or continuous threshold model) is a threshold regression constrained to be everywhere continuous with a kink at an unknown threshold. We present methods for estimation, to test for the presence of the threshold, for inference on the regression parameters, and for inference on the regression function. A novel finding is tha…
Standard Errors for Two-Way Clustering with Serially Correlated Time Effects
We propose improved standard errors and an asymptotic theory for two-way clustered panels. Our theory allow for arbitrary serial dependence in the common time effects, which is excluded by existing two-way methods. Our asymptotic distribution theory is the first which allows for this level of inter-dependence. Under weak conditions, we demonstrate that OLS is asymptotically normal, our proposed variance estimator is consistent, and t-ratios are a…
Standard Errors for Difference‐in‐Difference Regression
This paper makes a case for the use of jackknife methods for standard error, value, and confidence interval construction for difference‐in‐difference (DiD) regression. We review cluster‐robust, bootstrap, and jackknife standard error methods and show that standard methods can substantially underperform in conventional settings. In contrast, our proposed jackknife inference methods work well in broad contexts. We illustrate the relevance by replic…
Econometrics (18 works) · Mathematics (18 works) · Statistics (17 works) · Computer Science (12 works) · Monetary Policy and Economic Impact (10 works) · Economics (8 works) · Estimator (5 works) · Financial Risk and Volatility Modeling (5 works) · Statistical Methods and Inference (5 works) · Applied Mathematics (4 works)