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## Hansen, Bruce E.

Compute Distance To:
 Author ID: hansen.bruce-e Published as: Hansen, Bruce E.
 Documents Indexed: 40 Publications since 1990, including 2 Books
all top 5

#### Co-Authors

 27 single-authored 2 Caner, Mehmet 2 Charkhi, Ali 2 Claeskens, Gerda 2 Corbae, Dean 2 Durlauf, Steven N. 1 Cheng, Xu 1 Gregory, Allan W. 1 Lee, Seojeong 1 Phillips, Peter Charles Bonest 1 Racine, Jeffrey Scott 1 Seo, Byeongseon
all top 5

#### Serials

 13 Journal of Econometrics 8 Econometric Theory 6 Econometrica 1 International Economic Review 1 Journal of the American Statistical Association 1 The Review of Economic Studies 1 Statistical Science 1 Economics Letters 1 Statistica Sinica 1 Studies in Nonlinear Dynamics and Econometrics 1 The Econometrics Journal 1 Quantitative Economics

#### Fields

 37 Statistics (62-XX) 6 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 General and overarching topics; collections (00-XX) 3 Numerical analysis (65-XX) 2 Probability theory and stochastic processes (60-XX)

#### Citations contained in zbMATH Open

35 Publications have been cited 1,439 times in 1,058 Documents Cited by Year
Inference when a nuisance parameter is not identified under the null hypothesis. Zbl 0862.62090
Hansen, Bruce E.
1996
Statistical inference in instrumental variables regression with $$I(1)$$ processes. Zbl 0703.62098
Phillips, Peter C. B.; Hansen, Bruce E.
1990
Autoregressive conditional density estimation. Zbl 0807.62090
Hansen, Bruce E.
1994
Sample splitting and threshold estimation. Zbl 1056.62528
Hansen, Bruce E.
2000
Least squares model averaging. Zbl 1133.91051
Hansen, Bruce E.
2007
Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252
Hansen, Bruce E.
2008
Threshold autoregression with a unit root. Zbl 1018.62064
Caner, Mehmet; Hansen, Bruce E.
2001
Jackknife model averaging. Zbl 1441.62721
Hansen, Bruce E.; Racine, Jeffrey S.
2012
Testing for structural change in conditional models. Zbl 1122.62326
Hansen, Bruce E.
2000
Consistent covariance matrix estimation for dependent heterogeneous processes. Zbl 0746.62088
Hansen, Bruce E.
1992
Threshold effects in non-dynamic panels: Estimation, testing, and inference. Zbl 0941.62127
Hansen, Bruce E.
1999
Residual-based tests for cointegration in models with regime shifts. Zbl 0834.62082
Gregory, Allan W.; Hansen, Bruce E.
1996
Least-squares forecast averaging. Zbl 1429.62421
Hansen, Bruce E.
2008
Testing for two-regime threshold cointegration in vector error-correction models. Zbl 1044.62092
Hansen, Bruce E.; Seo, Byeongseon
2002
Regression with nonstationary volatility. Zbl 0836.62062
Hansen, Bruce E.
1995
Inference in TAR models. Zbl 1078.91558
Hansen, Bruce E.
1997
Instrumental variable estimation of a threshold model. Zbl 1071.62115
Caner, Mehmet; Hansen, Bruce E.
2004
GARCH (1,1) processes are near epoch dependent. Zbl 0806.62069
Hansen, Bruce E.
1991
Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends. Zbl 0746.62105
Hansen, Bruce E.
1992
Model averaging, asymptotic risk, and regressor groups. Zbl 1398.62181
Hansen, Bruce E.
2014
Forecasting with factor-augmented regression: a frequentist model averaging approach. Zbl 1332.62357
Cheng, Xu; Hansen, Bruce E.
2015
Averaging estimators for regressions with a possible structural break. Zbl 1179.62119
Hansen, Bruce E.
2009
Challenges for econometric model selection. Zbl 1072.62116
Hansen, Bruce E.
2005
Heteroskedastic cointegration. Zbl 0755.62085
Hansen, Bruce E.
1992
Averaging estimators for autoregressions with a near unit root. Zbl 1431.62382
Hansen, Bruce E.
2010
Exact mean integrated squared error of higher order kernel estimators. Zbl 1083.62032
Hansen, Bruce E.
2005
Efficient shrinkage in parametric models. Zbl 1419.62041
Hansen, Bruce E.
2016
Discussion of ‘Data mining reconsidered’. Zbl 0960.91060
Hansen, Bruce E.
1999
Interval forecasts and parameter uncertainty. Zbl 1418.62327
Hansen, Bruce E.
2006
Asymptotic theory for clustered samples. Zbl 1452.62915
Hansen, Bruce E.; Lee, Seojeong
2019
The integrated mean squared error of series regression and a Rosenthal Hilbert-space inequality. Zbl 1442.62085
Hansen, Bruce E.
2015
Shrinkage efficiency bounds. Zbl 1442.62740
Hansen, Bruce E.
2015
Recounts from undervotes: Evidence from the 2000 presidential election. Zbl 1041.62097
Hansen, Bruce E.
2003
Econometric theory and practice. Frontiers of analysis and applied research. Zbl 1100.62624
Corbae, Dean (ed.); Durlauf, Steven N. (ed.); Hansen, Bruce E. (ed.)
2006
Minimum mean squared error model averaging in likelihood models. Zbl 1356.62034
Charkhi, Ali; Claeskens, Gerda; Hansen, Bruce E.
2016
Asymptotic theory for clustered samples. Zbl 1452.62915
Hansen, Bruce E.; Lee, Seojeong
2019
Efficient shrinkage in parametric models. Zbl 1419.62041
Hansen, Bruce E.
2016
Minimum mean squared error model averaging in likelihood models. Zbl 1356.62034
Charkhi, Ali; Claeskens, Gerda; Hansen, Bruce E.
2016
Forecasting with factor-augmented regression: a frequentist model averaging approach. Zbl 1332.62357
Cheng, Xu; Hansen, Bruce E.
2015
The integrated mean squared error of series regression and a Rosenthal Hilbert-space inequality. Zbl 1442.62085
Hansen, Bruce E.
2015
Shrinkage efficiency bounds. Zbl 1442.62740
Hansen, Bruce E.
2015
Model averaging, asymptotic risk, and regressor groups. Zbl 1398.62181
Hansen, Bruce E.
2014
Jackknife model averaging. Zbl 1441.62721
Hansen, Bruce E.; Racine, Jeffrey S.
2012
Averaging estimators for autoregressions with a near unit root. Zbl 1431.62382
Hansen, Bruce E.
2010
Averaging estimators for regressions with a possible structural break. Zbl 1179.62119
Hansen, Bruce E.
2009
Uniform convergence rates for kernel estimation with dependent data. Zbl 1284.62252
Hansen, Bruce E.
2008
Least-squares forecast averaging. Zbl 1429.62421
Hansen, Bruce E.
2008
Least squares model averaging. Zbl 1133.91051
Hansen, Bruce E.
2007
Interval forecasts and parameter uncertainty. Zbl 1418.62327
Hansen, Bruce E.
2006
Econometric theory and practice. Frontiers of analysis and applied research. Zbl 1100.62624
Corbae, Dean; Durlauf, Steven N.; Hansen, Bruce E.
2006
Challenges for econometric model selection. Zbl 1072.62116
Hansen, Bruce E.
2005
Exact mean integrated squared error of higher order kernel estimators. Zbl 1083.62032
Hansen, Bruce E.
2005
Instrumental variable estimation of a threshold model. Zbl 1071.62115
Caner, Mehmet; Hansen, Bruce E.
2004
Recounts from undervotes: Evidence from the 2000 presidential election. Zbl 1041.62097
Hansen, Bruce E.
2003
Testing for two-regime threshold cointegration in vector error-correction models. Zbl 1044.62092
Hansen, Bruce E.; Seo, Byeongseon
2002
Threshold autoregression with a unit root. Zbl 1018.62064
Caner, Mehmet; Hansen, Bruce E.
2001
Sample splitting and threshold estimation. Zbl 1056.62528
Hansen, Bruce E.
2000
Testing for structural change in conditional models. Zbl 1122.62326
Hansen, Bruce E.
2000
Threshold effects in non-dynamic panels: Estimation, testing, and inference. Zbl 0941.62127
Hansen, Bruce E.
1999
Discussion of ‘Data mining reconsidered’. Zbl 0960.91060
Hansen, Bruce E.
1999
Inference in TAR models. Zbl 1078.91558
Hansen, Bruce E.
1997
Inference when a nuisance parameter is not identified under the null hypothesis. Zbl 0862.62090
Hansen, Bruce E.
1996
Residual-based tests for cointegration in models with regime shifts. Zbl 0834.62082
Gregory, Allan W.; Hansen, Bruce E.
1996
Regression with nonstationary volatility. Zbl 0836.62062
Hansen, Bruce E.
1995
Autoregressive conditional density estimation. Zbl 0807.62090
Hansen, Bruce E.
1994
Consistent covariance matrix estimation for dependent heterogeneous processes. Zbl 0746.62088
Hansen, Bruce E.
1992
Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends. Zbl 0746.62105
Hansen, Bruce E.
1992
Heteroskedastic cointegration. Zbl 0755.62085
Hansen, Bruce E.
1992
GARCH (1,1) processes are near epoch dependent. Zbl 0806.62069
Hansen, Bruce E.
1991
Statistical inference in instrumental variables regression with $$I(1)$$ processes. Zbl 0703.62098
Phillips, Peter C. B.; Hansen, Bruce E.
1990
all top 5

#### Cited by 1,388 Authors

 28 Zhang, Xinyu 26 Phillips, Peter Charles Bonest 21 Cavaliere, Giuseppe 18 Zou, Guohua 17 Taylor, A. M. Robert 15 Shin, Dongwan 14 Hansen, Bruce E. 14 Su, Liangjun 11 Park, Joon Y. 10 Hong, Yongmiao 10 Linton, Oliver Bruce 10 Seo, Myunghwan 10 White, Halbert Lynn jun. 9 Kapetanios, George 9 Ling, Shiqing 9 Lu, Zudi 9 Shin, Yongcheol 8 Cho, Jin Seo 8 Gerlach, Richard H. 8 Kurozumi, Eiji 8 Rahbek, Anders 8 Xiao, Zhijie 8 Zhao, Shangwei 7 Corradi, Valentina 7 Horváth, Lajos 7 Li, Degui 7 Wan, Alan T. K. 7 Yu, Ping 6 Chen, Cathy W. S. 6 Gao, Jiti 6 Kristensen, Dennis 6 Lee, Oesook 6 Liang, Hua 6 Nielsen, Morten Ørregaard 6 Perron, Pierre 6 Saikkonen, Pentti 6 Teräsvirta, Timo 6 Wagner, Martin Franz-Xaver 6 Wang, Shouyang 6 Zakoïan, Jean-Michel 5 Cai, Zongwu 5 Kao, Chihwa 5 Khalaf, Lynda 5 Leybourne, Stephen J. 5 Li, Qi 5 Lu, Xun 5 Medeiros, Marcelo C. 5 Pitarakis, Jean-Yves 5 Robinson, Peter Michael 5 Rockinger, Michael 5 Stengos, Thanasis 5 Sun, Yixiao 5 Swanson, Norman Rasmus 5 Tjøstheim, Dag B. 5 Xu, Keli 4 Andreou, Elena 4 Aue, Alexander 4 Boswijk, H. Peter 4 Chang, Yoosoon 4 Chen, Bin 4 Chen, Xiaohong 4 Cordeiro, Gauss Moutinho 4 Dufour, Jean-Marie 4 Elliott, Graham 4 Escanciano, Juan Carlos 4 Galvao, Antonio F. jun. 4 Gao, Yan 4 Georgiev, Iliyan 4 Gonçalves, Sílvia 4 Gonzalo, Jesús 4 Guégan, Dominique 4 Haldrup, Niels 4 Hall, Alastair R. 4 Hill, Jonathan B. 4 Hušková, Marie 4 Jin, Sainan 4 Juhl, Ted 4 Kiliç, Rehim 4 Lee, Sokbae 4 Lee, Tae-Hwy 4 Lemonte, Artur José 4 Liao, Jun 4 Lütkepohl, Helmut 4 Maki, Daiki 4 Massacci, Daniele 4 Neumeyer, Natalie 4 Oh, Man-Suk 4 Olmo, Jose 4 Pardo-Fernández, Juan Carlos 4 Patton, Andrew J. 4 Psaradakis, Zacharias 4 Schomaker, Michael 4 Seo, Byeongseon 4 Sun, Yiguo 4 Vogelsang, Timothy J. 4 Vogt, Michael P. 4 Westerlund, Joakim 4 Ziegelmann, Flavio Augusto 3 Anatolyev, Stanislav 3 Ando, Tomohiro ...and 1,288 more Authors
all top 5

#### Cited in 123 Serials

 301 Journal of Econometrics 102 Econometric Theory 77 Economics Letters 47 Computational Statistics and Data Analysis 31 Journal of Time Series Analysis 29 Econometric Reviews 23 Journal of Statistical Planning and Inference 22 Journal of Economic Dynamics & Control 22 Quantitative Finance 21 The Econometrics Journal 17 Journal of Statistical Computation and Simulation 15 Mathematics and Computers in Simulation 13 The Annals of Statistics 12 Journal of Multivariate Analysis 12 Statistics & Probability Letters 11 Annals of Operations Research 11 Communications in Statistics. Theory and Methods 11 Statistical Papers 10 Scandinavian Journal of Statistics 10 Journal of the American Statistical Association 10 Journal of Nonparametric Statistics 9 Metrika 9 Bernoulli 9 Journal of Applied Statistics 9 Electronic Journal of Statistics 8 European Journal of Operational Research 8 Journal of Forecasting 7 Annals of the Institute of Statistical Mathematics 6 Computational Statistics 6 Communications in Statistics. Simulation and Computation 6 Macroeconomic Dynamics 6 Review of Derivatives Research 5 International Economic Review 5 Insurance Mathematics & Economics 5 Statistics 5 Open Economies Review 5 Journal of Systems Science and Complexity 5 Statistical Methods and Applications 5 Journal of the Korean Statistical Society 4 Psychometrika 4 Statistica Sinica 3 Methodology and Computing in Applied Probability 3 Asia-Pacific Financial Markets 3 Journal of Statistical Theory and Practice 3 AStA. Advances in Statistical Analysis 3 The Annals of Applied Statistics 3 Journal of Time Series Econometrics 2 The Canadian Journal of Statistics 2 Journal of the Franklin Institute 2 Physica A 2 Journal of Computational and Applied Mathematics 2 Neural Computation 2 Test 2 Journal of Inequalities and Applications 2 Studies in Nonlinear Dynamics and Econometrics 2 Australian & New Zealand Journal of Statistics 2 Journal of the Royal Statistical Society. Series B. Statistical Methodology 2 International Journal of Theoretical and Applied Finance 2 Statistical Inference for Stochastic Processes 2 Journal of Economic Growth 2 Brazilian Journal of Probability and Statistics 2 Statistical Methodology 2 Science China. Mathematics 2 Journal of Probability and Statistics 2 Quantitative Economics 2 Statistics and Computing 1 Advances in Applied Probability 1 Journal of Mathematical Analysis and Applications 1 Mathematical Biosciences 1 Rocky Mountain Journal of Mathematics 1 Chaos, Solitons and Fractals 1 Biometrics 1 Journal of Economic Theory 1 Kybernetes 1 Kybernetika 1 Metroeconomica 1 Metron 1 Naval Research Logistics 1 American Journal of Mathematical and Management Sciences 1 Acta Mathematicae Applicatae Sinica. English Series 1 Probability Theory and Related Fields 1 Statistical Science 1 Journal of Economics 1 Computers & Operations Research 1 Applied Mathematical Modelling 1 Automation and Remote Control 1 Linear Algebra and its Applications 1 Stochastic Processes and their Applications 1 SIAM Journal on Scientific Computing 1 Theory of Probability and Mathematical Statistics 1 Mathematical Methods of Statistics 1 Journal of Difference Equations and Applications 1 Boletín de la Sociedad Matemática Mexicana. Third Series 1 INFORMS Journal on Computing 1 Mathematical Problems in Engineering 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Abstract and Applied Analysis 1 Mathematical Methods of Operations Research 1 CEJOR. Central European Journal of Operations Research 1 Optimization and Engineering ...and 23 more Serials
all top 5

#### Cited in 18 Fields

 943 Statistics (62-XX) 292 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 127 Numerical analysis (65-XX) 87 Probability theory and stochastic processes (60-XX) 11 Computer science (68-XX) 10 Dynamical systems and ergodic theory (37-XX) 8 Operations research, mathematical programming (90-XX) 6 Biology and other natural sciences (92-XX) 5 Geophysics (86-XX) 4 Systems theory; control (93-XX) 4 Information and communication theory, circuits (94-XX) 2 General and overarching topics; collections (00-XX) 2 History and biography (01-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Special functions (33-XX) 1 Ordinary differential equations (34-XX) 1 Functional analysis (46-XX) 1 Astronomy and astrophysics (85-XX)