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Optimal inference in regression models with nearly integrated regressors

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M Jansson… - 2004 - nber.org
This paper considers the problem of conducting inference on the regression coefficient in a
bivariate regression model with a highly persistent regressor. Gaussian power envelopes
are obtained for a class of testing procedures satisfying a conditionality restriction. In ...
Cited by 83 - Related articles - Library Search - BL Direct - All 30 versions

Testing for unit roots with stationary covariates

[PDF] from escholarship.org
Full text - MIT Libraries
G Elliott… - Journal of Econometrics, 2003 - Elsevier
We derive the family of tests for a unit root with maximal power against a point alternative
when an arbitrary number of stationary covariates are modeled with the potentially
integrated series. We show that very large power gains are available when such ...
Cited by 71 - Related articles - Library Search - All 21 versions

Consistent covariance matrix estimation for linear processes

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M Jansson - Econometric Theory, 2002 - Cambridge Univ Press
Consistency of kernel estimators of the long-run covariance matrix of a linear process is established
under weak moment and memory conditions+ In addition, it is pointed out that some existing
consistency proofs are in error as they stand+ ... Suppose $Vt : t 1% is a sequence of ...
Cited by 53 - Related articles - Library Search - BL Direct - All 17 versions

The error in rejection probability of simple autocorrelation robust tests

[PDF] from 128.32.105.3
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M Jansson - Econometrica, 2004 - Wiley Online Library
A new class of autocorrelation robust test statistics is introduced. The class of tests
generalizes the Kiefer, Vogelsang, and Bunzel (2000) test in a manner analogous to
Anderson and Darling's (1952) generalization of the Cramér–von Mises goodness of fit ...
Cited by 44 - Related articles - BL Direct - All 16 versions

Improving size and power in unit root testing

[PDF] from berkeley.edu
N Haldrup… - Palgrave Handbook of Econometrics, 2006 - papers.ssrn.com
Abstract: A frequent criticism of unit root tests concerns the poor power and size properties
that many of such tests exhibit. However, the past decade or so intensive research has been
conducted to alleviate these problems and great advances have been made. The present ...
Cited by 35 - Related articles - All 17 versions

Stationarity testing with covariates

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M Jansson - Econometric Theory, 2004 - Cambridge Univ Press
Two new stationarity tests are proposed+ Both tests can be viewed as generalizations of
existing stationarity tests and dominate these in terms of local asymptotic power+
Improvements are achieved by accommodating stationary covariates+ A Monte Carlo ...
Cited by 27 - Related articles - BL Direct - All 18 versions

[PDF] Optimal power for testing potential cointegrating vectors with known parameters for nonstationarity

[PDF] from amstat.org
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G Elliott, M Jansson… - Journal of Business and Economic …, 2005 - ASA
Theory often specifies a particular cointegrating vector among integrated variables, and
testing for a unit root in the known cointegrating vector is often required. Although it is
common to simply use a univariate test for a unit root for this test, it is known that this does ...
Cited by 17 - Related articles - View as HTML - All 18 versions

Finite sample inference for quantile regression models

[PDF] from 128.36.236.74
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V Chernozhukov, C Hansen… - Journal of Econometrics, 2009 - Elsevier
Under minimal assumptions, finite sample confidence bands for quantile regression models
can be constructed. These confidence bands are based on the “conditional pivotal property”
of estimating equations that quantile regression methods solve and provide valid finite ...
Cited by 16 - Related articles - Library Search - All 26 versions

Point optimal tests of the null hypothesis of cointegration

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M Jansson - Journal of econometrics, 2005 - Elsevier
This paper obtains an asymptotic Gaussian power envelope for tests of the null hypothesis
of cointegration. In addition, the paper proposes a feasible point optimal cointegration test
whose local asymptotic power function is found to be close to the asymptotic Gaussian ...
Cited by 15 - Related articles - All 13 versions

Inference approaches for instrumental variable quantile regression

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V Chernozhukov, C Hansen… - Economics Letters, 2007 - Elsevier
We consider asymptotic and finite sample confidence bounds in instrumental variables
quantile regressions of wages on schooling with relatively weak instruments. We find
practically important differences between the asymptotic and finite sample interval ...
Cited by 15 - Related articles - All 11 versions

Semiparametric power envelopes for tests of the unit root hypothesis

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M Jansson - Econometrica, 2008 - Wiley Online Library
This paper derives asymptotic power envelopes for tests of the unit root hypothesis in a zero-
mean AR (1) model. The power envelopes are derived using the limits of experiments
approach and are semiparametric in the sense that the underlying error distribution is ...
Cited by 16 - Related articles - All 17 versions

Regression theory for nearly cointegrated time series

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M Jansson… - Econometric Theory, 2002 - Cambridge Univ Press
This paper proposes a notion of near cointegration and generalizes several existing results
from the cointegration literature to the case of near cointegration+ In particular, the
properties of conventional cointegration methods under near cointegration are ...
Cited by 8 - Related articles - BL Direct - All 17 versions

[CITATION] Conditional inference in models with nearly nonstationary regressors

M Jansson… - Unpublished paper, Harvard University, 2003
Cited by 7 - Related articles

[PDF] Spurious regression, cointegration, and near cointegration: a unifying approach

[PDF] from escholarship.org
M Jansson… - 2000 - escholarship.org
Abstract: This paper introduces a representation of an integrated vector time series in which
the coefficient of multiple correlation computed from the long-run covariance matrix of the
innovation sequences is a primitive parameter of the model. Based on this representation, ...
Cited by 3 - Related articles - View as HTML - All 10 versions

Bootstrapping density-weighted average derivatives

[PDF] from msu.edu
M Cattaneo, R Crump… - University of Aarhus …, 2010 - papers.ssrn.com
Abstract: Employing the" small bandwidth" asymptotic framework of Cattaneo, Crump, and
Jansson (2009), this paper studies the properties of a variety of bootstrap-based inference
procedures associated with the kernel-based density-weighted averaged derivative ...
Cited by 3 - Related articles - All 51 versions

Optimal inference for instrumental variables regression with non-Gaussian errors

[PDF] from umich.edu
MD Cattaneo, RK Crump… - Journal of Econometrics, 2011 - Elsevier
This paper is concerned with inference on the coefficient on the endogenous regressor in a
linear instrumental variables model with a single endogenous regressor, nonrandom
exogenous regressors and instruments, and iid errors whose distribution is unknown. It is ...
Cited by 2 - Related articles - Get it from MIT Libraries - All 2 versions

[PDF] Alternative Asymptotics and the Partially Linear Model with Many Regressors

[PDF] from berkeley.edu
MD Cattaneo, M Jansson… - 2010 - econ.berkeley.edu
Abstract Non-standard distributional approximations have received considerable attention in
recent years. They often provide more accurate approximations in small samples, and
theoretical improvements in some cases. This paper shows that the seemingly unrelated “ ...
Cited by 2 - Related articles - View as HTML - Get it from MIT Libraries - All 17 versions

Optimal invariant inference when the number of instruments is large

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L Chioda… - Econometric Theory, 2010 - Cambridge Univ Press
This paper studies the asymptotic behavior of a Gaussian linear instrumental variables
model in which the number of instruments diverges with the sample size. Asymptotic
efficiency bounds are obtained for rotation invariant inference procedures and are shown ...
Cited by 2 - Related articles - All 12 versions

Tests of the null hypothesis of cointegration based on efficient tests for a unit MA root

[PDF] from berkeley.edu
M Jansson - … And Inference For Econometric Models: Essays In …, 2005 - books.google.com
ABSTRACT A new family of tests of the null hypothesis of cointegration is proposed. Each
member of this family is a plug-in version of a point optimal stationarity test. Appropriately
selected tests dominate existing cointegration tests in terms of local asymptotic power.
Cited by 2 - Related articles - All 3 versions

Admissible invariant similar tests for instrumental variables regression

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Full text - MIT Libraries
V Chernozhukov, C Hansen… - Econometric …, 2009 - Cambridge Univ Press
Abstract This paper studies a model widely used in the weak instruments literature and
establishes admissibility of the weighted average power likelihood ratio tests recently
derived by Andrews, Moreira, and Stock (2004, NBER Technical Working Paper 199). The ...
Cited by 1 - Related articles - Library Search - All 11 versions

Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

N Haldrup… - 1999 - papers.ssrn.com
Abstract: This paper introduces a representation of an integrated vector time series in which
the coefficient of multiple correlation computed from the long-run covariance matrix of the
innovation sequences is a primitive parameter of the model. Based on this representation, ...
Cited by 1 - Related articles - All 7 versions

[PDF] Optimal Conditional Inference for Instrumental Variables Regression

[PDF] from yale.edu
L Chioda… - 2005 - mailhost.econ.yale.edu
Abstract In the context of the instrumental variables model we focus on tests that are similar
conditional on the first stage F statistic. We argue that in some economic applications, it is
desirable to conduct inference conditionally on the first stage F statistic. Assuming ...
Cited by 1 - Related articles - View as HTML - All 16 versions

Optimal inference for instrumental variables regression with non-Gaussian errors

[PDF] from au.dk
MD Cattaneo, RK Crump… - Ann Arbor, 2007 - papers.ssrn.com
Abstract: This paper is concerned with inference on the coefficient on the endogenous
regressor in a linear instrumental variables model with a single endogenous regressor,
nonrandom exogenous regressors and instruments, and iid errors whose distribution is ...
Cited by 1 - Related articles - All 14 versions

Nearly efficient likelihood ratio tests of the unit root hypothesis

[PDF] from queensu.ca
M Jansson… - 2009 - papers.ssrn.com
Abstract: Seemingly absent from the arsenal of currently available" nearly efficient" testing
procedures for the unit root hypothesis, ie tests whose local asymptotic power functions are
indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-) ...
Cited by 2 - Related articles - All 17 versions

PHOTOGRAPH SECTION TWO NEW CO-EDITORS OF ECONOMETRIC THEORY

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G Cavaliere… - Econometric Theory, 2009 - Cambridge Univ Press
... SECTION TWO NEW CO-EDITORS OF ECONOMETRIC THEORY Giuseppe Cavaliere
Michael Jansson (Notes and Problems Co-Editor, 2009) (Co-Editor, 2009) c 2009
Cambridge University Press 0266-4666/09 $15.00 1449

[PDF] ARTICLES (BY AUTHOR)

[PDF] from amstat.org
RJ Carroll, Y Li, L Castellanos Pérez-Bolde… - 2010 - ASA
Abadie, Alberto, Diamond, Alexis, and Hainmueller, Jens, “Synthetic Control Methods for Comparative
Case Studies: Estimating the Effect of California's Tobacco Control Pro- gram,” 493 (A)
Adams, L. Garry (see Dhavala, Soma S.) Ahn, Kwang Woo, Chan, Kung-Sik, Bai, Ying, ...
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[PDF] Tests of the Null Hypothesis of Cointegration Based on Efficient Tests

[PDF] from berkeley.edu
M Jansson - elsa.berkeley.edu
ABSTRACT A new family of tests of the null hypothesis of cointegration is proposed. Each
member of this family is a plug-in version of a point optimal stationarity test. Appropriately
selected tests dominate existing cointegration tests in temis of local asymptotic power.
Related articles - All 4 versions

[CITATION] LOOKING BEYOND OUR SHORES

MC JANSSON - Trains, 1998 - trid.trb.org
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[PDF] Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors Matias D. Cattaneo Department oF Economics, University oF Michigan

[PDF] from berkeley.edu
RK Crump… - 2011 - econ.berkeley.edu
Abstract. This paper is concerned with inference on the coeffi cient on the endogenous
regressor in a linear instrumental variables model with a single endogenous regressor,
nonrandom exogenous regressors and instruments, and iid errors whose distribution is ...
Related articles - View as HTML - All 23 versions

[PDF] Generalized Jackknife Estimators of Weighted Average Derivatives Matias D. Cattaneo Department oF Economics, University oF Michigan Richard K. Crump …

[PDF] from queensu.ca
M Jansson - 2011 - qed.econ.queensu.ca
Abstract. With the aim of improving the quality of asymptotic distributional approximations for
nonlinear functionals of nonparametric estimators, this paper revisits the large-sample
properties of an important member of that class, namely a kernel-based weighted average ...
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[PDF] Testing for Unit Roots with Stationary Covariances

[PDF] from escholarship.org
G Elliott… - 2000 - escholarship.org
Abstract: We derive the family of tests for a unit root with maximal power against a point
alternative when an arbitrary number of stationary covariates are modeled with the
potentially integrated series. We show that very large power gains are available when ...
Related articles - View as HTML - All 8 versions

ARTICLES (BY AUTHOR)

P Cascading, RJ Carroll, Y Li… - 2010 - amstat.tandfonline.com
Abadie, Alberto, Diamond, Alexis, and Hainmueller, Jens, “Synthetic Control Methods for Comparative
Case Studies: Estimating the Effect of California's Tobacco Control Pro- gram,” 493 (A)
Adams, L. Garry (see Dhavala, Soma S.) Ahn, Kwang Woo, Chan, Kung-Sik, Bai, Ying, ...

[PDF] INFERENCE APPROACHES FOR INSTRUMENTAL VARIABLE QUANTILE REGRESSION

[PDF] from chicagobooth.edu
VCCHM JANSSON - 2006 - faculty.chicagobooth.edu
Abstract. We consider asymptotic and finite-sample confidence bounds in instrumental
variables quantile regressions of wages on schooling with relatively weak instruments. We
find large and practically important differences between the asymptotic and finite-sample ...
Related articles - View as HTML - All 3 versions

[PDF] PRELIMINARY AND INCOMPLETE DRAFT November 2006

[PDF] from princeton.edu
MD Cattaneo, RK Crump… - 2006 - princeton.edu
Abstract. This paper is concerned with inference on the coefficient on the endogenous
regressor in a linear instrumental variables model with a single endogenous regressor,
nonrandom exogenous regressors and instruments, and iid errors whose distribution is ...
Related articles - View as HTML - All 3 versions

[PDF] Optimal Inference in Regression Models with Nearly Integrated Regressors Michael Jansson Department oF Economics UC Berkeley

[PDF] from yale.edu
M Jansson - 2006 - mailhost.econ.yale.edu
Abstract. This paper considers the problem of conducting inference on the regression
coefficient in a bivariate regression model with a highly persistent regressor. Gaussian
asymptotic power envelopes are obtained for a class of testing procedures satisfying a ...
Related articles - View as HTML - All 6 versions

[PDF] Small Bandwidth Asymptotics for Density! Weighted Average Derivatives Matias D. Cattaneo Department oF Economics, University oF Michigan Richard K. …

[PDF] from berkeley.edu
M Jansson - 2008 - emlab.berkeley.edu
Abstract. This paper proposes (apparently) novel standard error formulas for the density-
weighted average derivative estimator of Powell, Stock, and Stoker (1989). Asymptotic
validity of the standard errors developed in this paper does not require the use of higher- ...
Related articles - View as HTML - All 28 versions

[PDF] Optimal Power for Testing Potential Cointegrating Vectors with Known

[PDF] from escholarship.org
G Elliott, M Jansson… - 2004 - escholarship.org
Abstract. Theory often specifies a particular cointegrating vector amongst integrated
variables and it is often required that one test for a unit root in the known cointegrating
vector. Although it is common to simply employ a univariate test for a unit root for this test, ...
Related articles - View as HTML - All 9 versions

[CITATION] Point optimal invariant tests of the null hypothesis of cointegration

M Jansson - Testing the null hypothesis of cointegration, 2000

[CITATION] Testing the null hypothesis of cointegration

M Jansson - 2000 - Department of economics
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[CITATION] You Are Here

JA Powell, D Ahn, B DeLong… - STAINED GLASS- …, 1997 - econ.berkeley.edu
*** PAPERS WILL BE AVAILABLE IN 611 EVANS HALL UNLESS NOTED OTHERWISE *** ALL
SEMINARS ARE OPEN TO THE PUBLIC. ANYONE INTERESTED IS INVITED. We ask that individuals
requesting sign language interpreters or listening devices make their requests to the ...
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[PDF] Optimal Inference in Regression Models with Nearly Integrated Regressors Michael Jansson and Marcelo J. Moreira UC Berkeley and Harvard University April …

[PDF] from berkeley.edu
M Jansson - 2004 - emlab.berkeley.edu
Abstract. This paper considers the problem of conducting inference on the regression
coefficient in a bivariate regression model with a highly perM sistent regressor. Gaussian
power envelopes are obtained for a class of testing procedures satisfying a conditionality ...
Related articles - View as HTML - All 5 versions

[PDF] Journal of Time Series Econometrics

[PDF] from duke.edu
T Bollerslev, BJ Christensen, N Haldrup… - Issues, 2011 - public.econ.duke.edu
On August 21-23, 2009, on the occasion of his 65th birthday, a large group of Svend
Hylleberg's former students, colleagues, collaborators, and close family gathered at Hotel
Koldingfjord in Denmark to celebrate his extraordinary career and accomplishments. This ...
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[CITATION] FINITE SAMPLE INFERENCE FOR QUANTILE REGRESSION MODELS

VCCHM JANSSON
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[PDF] PRELIMINARY AND INCOMPLETE DRAFT March 2007

[PDF] from udesa.edu.ar
MD Cattaneo, RK Crump… - 2007 - udesa.edu.ar
Abstract. This paper is concerned with inference on the coeffi cient on the endogenous
regressor in a linear instrumental variables model with a single endogenous regressor,
nonrandom exogenous regressors and instruments, and iid errors whose distribution is ...
Related articles - View as HTML - All 2 versions

[PDF] Admissible Invariant Similar Tests for Instrumental Variables Regression Victor Chernozhukov Department oF Economics MIT

[PDF] from chicagobooth.edu
M Jansson - 2006 - faculty.chicagobooth.edu
Abstract. This paper studies a model widely used in the weak instruments literature and
establishes admissibility of the weighted average power likelihood ratio tests recently
derived by Andrews, Moreira, and Stock (2004). The class of tests covered by this ...
Related articles - View as HTML - All 2 versions

03.6. 2. Unbiasedness of the OLS Estimator with Random Regressors—Solution

Full text - MIT Libraries
M Jansson - Econometric Theory, 2004 - Cambridge Univ Press
... 03.6.2. Unbiasedness of the OLS Estimator with Random Regressors—Solution. Michael Jansson
a1 the poser of the problem a1 University of California, Berkeley, ... Michael Jansson (2004).
03.6.2. Unbiasedness of the OLS Estimator with Random Regressors—Solution. ...
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Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots

[PDF] from queensu.ca
M Jansson… - CREATES Research Papers, 2009 - papers.ssrn.com
Abstract: In an important generalization of zero frequency autoregressive unit root tests,
Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots
at the seasonal frequencies in quarterly time series. We develop likelihood ratio tests for ...
Related articles - All 20 versions

[PDF] Optimal Power for Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity Graham Elliott University of California, San Diego 9500 …

[PDF] from emory.edu
M Jansson… - 2004 - userwww.service.emory.edu
Abstract. Theory often specifies a particular cointegrating vector amongst integrated
variables and it is often required that one test for a unit root in the known cointegrating
vector. Although it is common to simply employ a univariate test for a unit root for this test, ...
Related articles - View as HTML - All 5 versions

03.6. 2. Unbiasedness of the OLS Estimator with Random Regressors

Full text - MIT Libraries
M Jansson - Econometric Theory, 2003 - Cambridge Univ Press
where X is an n× k matrix of random regressors, u is an n-vector of error terms, and [beta] is
a k-vector of parameters. Suppose X has full column rank with probability one. It is a
standard textbook claim that the ordinary least squares (OLS) estimator of [beta] is ...
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[PDF] PRELIMINARY AND INCOMPLETE DRAFT February 2007

[PDF] from yale.edu
MD Cattaneo, RK Crump… - 2007 - mailhost.econ.yale.edu
Abstract. This paper is concerned with inference on the coefficient on the endogenous
regressor in a linear instrumental variables model with a single endogenous regressor,
nonrandom exogenous regressors and instruments, and iid errors whose distribution is ...
Related articles - View as HTML - All 7 versions

[CITATION] On tests of the null hypothesis of stationarity

M Jansson - Testing the null hypothesis of cointegration, 2000

[CITATION] Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationary

Full text - MIT Libraries
M Jansson, E Pesavento… - Journal of business & …, 2005 - dialnet.unirioja.es
... Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for
Nonstationary. Autores: Michael Jansson, Elena Pesavento, Graham Elliott; Localización: Journal
of business & economic statistics, ISSN 0735-0015, Vol. 23, Nº 1, 2005 , págs. 34-48. ...
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