Christian Hansen’s Research Page [Papers, Code and Other Material]

 

Vita

 

Research Interests:  Bayesian Instrumental Variables, Covariance Matrix Estimation, High-Dimensional Models, Instrumental Variable Quantile Regression, Panel Data, Partial Identification, Partially Adaptive Estimation, Weak and Many Instruments

 

 

 

Papers

 

Bayesian Instrumental Variables

 

9. “A Semi-Parametric Bayesian Approach to the Instrumental Variable Problem” (with Timothy Conley, Rob McCulloch, and Peter Rossi) Journal of Econometrics, 2008, 144(1), 276-305.

18. “Plausibly Exogenous” (with Timothy Conley and Peter Rossi), Review of Economics and Statistics, 2012, 94(1), 260-272.

 

Covariance Matrix Estimation

 

4. “Generalized Least Squares Inference in Panel and Multilevel Models with Serial Correlation and Fixed EffectsJournal of Econometrics, 2007, 140(2), 670-94.

7. “Asymptotic Properties of a Robust Variance Matrix Estimator for Panel Data when T is LargeJournal of Econometrics, 2007, 141(2), 597-620.

17. “Inference with Dependent Data Using Cluster Covariance Estimators” (with C. Alan Bester and Tim Conley), Journal of Econometrics, 2011, 165(2), 137-151.

26. “Fixed-b Asymptotics for Spatially Dependent Robust Nonparametric Covariance Matrix Estimators” (with C. Alan Bester, Timothy Conley, and Timothy Vogelsang, working paper)

 

High-Dimensional Models

 

19. “Inference Methods for High-Dimensional Sparse Econometric Models” (with Alexandre Belloni and Victor Chernozhukov), in Advances in Economics and Econometrics, 10th World Congress of the Econometric Society, 2013.

20. “Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain” (with A. Belloni, D. Chen, and V. Chernozhukov), Econometrica, 2012, 80(6), 2369-2430.

21. “Inference on Treatment Effects after Selection amongst High-Dimensional Controls” (with A. Belloni and V. Chernozhukov, Review of Economic Studies, forthcoming)

23. “Lasso Methods for Gaussian Instrumental Variables Models” (with A. Belloni and V. Chernozhukov, working paper)

28. “Instrumental Variables Estimation with Many Weak Instruments Using Regularized JIVE” (with D. Kozbur, working paper)

30. “High-Dimensional Methods and Inference on Structural and Treatment Effects” (with A. Belloni and V. Chernozhukov, working paper)

 

Instrumental Variables Quantile Regression

 

1. “The Impact of 401(k) Participation on the Wealth Distribution: An Instrumental Quantile Regression Analysis”, (with Victor Chernozhukov) Review of Economics and Statistics, 2004, 86(3), 735-751.

2. “An IV Model of Quantile Treatment Effects”, (with Victor Chernozhukov) Econometrica, 2005, 73(1), 245-261.

3. “Instrumental Quantile Regression Inference for Structural and Treatment Effect Models”, (with Victor Chernozhukov) Journal of Econometrics, 2006, 132(2), 491-525.

5. “Inference Approaches for Instrumental Variable Quantile Regression” (with Victor Chernozhukov and Michael Jansson) Economics Letters, 2007, 95(2), 272-277.

8. “Instrumental Variable Quantile Regression: A Robust Inference Approach” (with Victor Chernozhukov) Journal of Econometrics, 2008, 142(1), 379-398.

15. “Finite Sample Inference in Econometric Models via Quantile Restrictions” (with Victor Chernozhukov and Michael Jansson) Journal of Econometrics, 2009, 152(2), 93-103.

29. “Quantile Models with Endogeneity” (with Victor Chernozhukov), Annual Review of Economics, 2013, 5, 57-81.

 

Panel Data

 

4. “Generalized Least Squares Inference in Panel and Multilevel Models with Serial Correlation and Fixed EffectsJournal of Econometrics, 2007, 140(2), 670-94.

12. “A Penalty Function Approach to Bias Reduction in Nonlinear Panel Models with Fixed Effects” (with C. Alan Bester) Journal of Business and Economic Statistics, 2009, 27(2), 131-148.

13. “Identification of Marginal Effects in a Nonparametric Correlated Random Effects Model” (with C. Alan Bester) Journal of Business and Economic Statistics, 2009, 27(2), 235-250.

24. “Grouped Effects Estimators in Fixed Effects Models” (with C. Alan Bester), Journal of Econometrics, forthcoming.

25. “Flexible Correlated Random Effects Estimation in Panel Models with Unobserved Heterogeneity” (with C. Alan Bester, working paper)

27. Bias Reduction for Bayesian and Frequentist Estimators” (with C. Alan Bester, working paper)

 

Partial Identification

 

18. “Plausibly Exogenous” (with Timothy Conley and Peter Rossi), Review of Economics and Statistics, 2012, 94(1), 260-272.

 

Partially Adaptive Estimation

 

6. “Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models” (with James B. McDonald and Panayiotis Theodossiou) economics - The Open-Access, Open-Assessment E-Journal, 2007.

9. “A Semi-Parametric Bayesian Approach to the Instrumental Variable Problem” (with Timothy Conley, Rob McCulloch, and Peter Rossi) Journal of Econometrics, 2008, 144(1), 276-305.

16. “Instrumental Variables Regression with Flexible Distributions” (with James McDonald and Whitney Newey) Journal of Business and Economic Statistics, 2010, 28(1), 13-25.

20. “Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain” (with A. Belloni, D. Chen, and V. Chernozhukov), Econometrica, forthcoming.

21. “Inference on Treatment Effects after Selection amongst High-Dimensional Controls” (with A. Belloni and V. Chernozhukov, working paper)

 

Weak and Many Instruments

 

5. “Inference Approaches for Instrumental Variable Quantile Regression” (with Victor Chernozhukov and Michael Jansson) Economics Letters, 2007, 95(2), 272-277.

8. “Instrumental Variable Quantile Regression: A Robust Inference Approach” (with Victor Chernozhukov) Journal of Econometrics, 2008, 142(1), 379-398.

10. “The Reduced Form: A Simple Approach to Inference with Weak Instruments” (with Victor Chernozhukov) Economics Letters, 2008, 100(1), 68-71.

11. “Estimation with Many Instrumental Variables” (with Jerry Hausman and Whitney Newey) Journal of Business and Economic Statistics, 2008, 26(4), 398-422.

14.  Admissible Invariant Similar Tests for Instrumental Variables Regression” (with Victor Chernozhukov and Michael Jansson) Econometric Theory, 2009, 25(3), 806-818.

15. “Finite Sample Inference in Econometric Models via Quantile Restrictions” (with Victor Chernozhukov and Michael Jansson) Journal of Econometrics, 2009, 152(2), 93-103.

18. “Plausibly Exogenous” (with Timothy Conley and Peter Rossi), Review of Economics and Statistics, 2012, 94(1), 260-272.

28. “Instrumental Variables Estimation with Many Weak Instruments Using Regularized JIVE” (with D. Kozbur, working paper)

 

 

 

NBER 2013 Summer Econometrics Mini-Course

 

1.  Lectures and Slides (Full set of recorded lectures and lecture slides from Victor Chernozhukov, Matthew Gentzkow, Christian Hansen, Jesse Shapiro, and Matthew Taddy)            

2.  Data and Code for Examples from Hansen's Lecture


Code for LASSO

 

Below are links to MATLAB and Stata code for running the empirical example from “Inference on Treatment Effects after Selection amongst High-Dimensional Controls”. The Stata code includes a stand-alone .ado file that may be used to obtain LASSO and Post-LASSO estimates in Stata.

 

1.  MATLAB Code             

2.  Stata Code                     

 

Code for IVQR

 

Below are links to MATLAB and Ox code for performing IVQR estimation and inference as developed in “Instrumental Quantile Regression Inference for Structural and Treatment Effect Models” (with Victor Chernozhukov) and “Instrumental Variable Quantile Regression” (with Victor Chernozhukov).  Along with the code, each file contains examples illustrating how the code may be implemented; the data for the examples may also be downloaded below.

 

1.  MATLAB Code             

2.  Ox Code                          

3.  Data for examples

4.  Stata Code contributed by Do Wan Kwak (kwakdo@msu.edu)

 

Code for Weak Instrument Robust Inference

 

Below are links for the Stata code and data used in the empirical example in “A Simple Approach to Heteroskedasticity and Autocorrelation Robust Inference with Weak Instruments” (with Victor Chernozhukov).  The data are taken from Acemoglu, Johnson, and Robinson (2001) “The Colonial Origins of Comparative Development: An Empirical Investigation”.  The code illustrates the basic procedure and may easily be modified for other data sets and to provide inference that is robust to autocorrelation or clustering.

 

I thank Mel Stephens for noticing a small error in the original code that has been corrected.  Due to this correction, the results produced by running the files given below will differ slightly from those in the published paper.

 

1.  Stata Code for weak instrument robust inference

2.  Data

 

Code for Finite Sample Inference for Quantile Regression

 

Below is a link to MATLAB code used to produce the results in Table 1 and Figure 1 in Chernozhukov, Hansen, and Jansson (2009) “Finite Sample Inference in Econometric Models via Quantile Restrictions.” 

 

1.  MATLAB code for finite sample inference for quantile regression

 

Code for Sensitivity Analysis for IV (from “Plausibly Exogenous”)

 

1.  Stata Code for IV sensitivity analysis  (Stata code that produces some of the results from “Plausibly Exogenous” (with Tim Conley and Peter Rossi).  The code illustrates the basic procedure and may easily be modified for other data sets.  The file with the Stata code also includes sample data.)

2.  Review of Economics and Statistics Replication Files (Files to replicate all results from “Plausibly Exogenous” maintained by REStat.)

 

Other Material

 

Technical Appendix for “Generalized Least Squares Inference in Panel and Multilevel Models with Serial Correlation and Fixed Effects” Journal of Econometrics (October 2007).

Technical Appendix for “Asymptotic Properties of a Robust Variance Matrix Estimator for Panel Data when T is Large” Journal of Econometrics (December 2007).

Derivation of F-statistic Result for “Asymptotic Properties of a Robust Variance Matrix Estimator for Panel Data when T is Large” Journal of Econometrics (December 2007) contributed by Mark Watson and James Stock.  I am deeply indebted to Stock and Watson for pointing this result out to me that they established while working on their paper “Heteroskedasticity-Robust Standard Errors for Fixed Effect Panel Data Regression” (Econometrica, 2008).  I am also embarrassed that a citation to their paper does not appear in the published version of my paper.

Working paper version of "The Reduced Form: A Simple Approach to Inference with Weak Instruments" (with Victor Chernozhukov, published as “The reduced form: A simple approach to inference with weak instruments” Economics Letters, July 2008) with additional tables and discussion excluded from published version.         

Further discussion of empirical illustration from “Inference on Treatment Effects after Selection amongst High-Dimensional Controls”