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

** 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.

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

7. “Asymptotic
Properties of a Robust Variance Matrix Estimator for Panel Data when T is Large”
*Journal 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.

25. “Fixed-b
Asymptotics for Spatially Dependent Robust Nonparametric Covariance Matrix
Estimators” (with C. Alan Bester, Timothy Conley, and Timothy Vogelsang),
forthcoming *Econometric Theory*.

19. “Inference Methods for High-Dimensional
Sparse Econometric Models” (with A. Belloni and V. Chernozhukov), in __Advances
in Economics and Econometrics__, 10^{th} 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), 2369-2429. [Correction to Lemma 7. The statement and result in Lemma 7 of the
published version of the paper is incorrect – thanks to Achim
Ahrens for noting calling this error to our attention. The restatement of the lemma does not affect
rates or other results in the paper.]

21. “Inference
on Treatment Effects after Selection amongst High-Dimensional Controls”
(with A. Belloni and V. Chernozhukov), *Review of Economic Studies**, 2014, 81(2), 608-650*.

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

27. “Instrumental
Variables Estimation with Many Weak Instruments Using Regularized JIVE”
(with D. Kozbur), *Journal of Econometrics*,
2014, 182(2), 290-308.

29. “High-Dimensional
Methods and Inference on Structural and Treatment Effects” (with A. Belloni
and V. Chernozhukov), *Journal of Economic Perspectives*, 2014, 28(2),
29-50.

30. “Post-Selection
and Post-Regularization Inference in Linear Models with Very Many Controls and
Instruments” (with V. Chernozhukov and M. Spindler),
*American Economic Review: Papers and
Proceedings*, 2015, 105(5), 486-490.

31. “Inference
in High Dimensional Panel Models with an Application to Gun Control” (with
A. Belloni, V. Chernozhukov, and D. Kozbur)

32. “Program
Evaluation with High-Dimensional Data” (with A. Belloni, V. Chernozhukov,
and I. Fernandez-Val)

33. “Valid
Post-Selection and Post-Regularization Inference: An Elementary, General
Approach” (with V. Chernozhukov and M. Spindler)

34. “A Lava Attack
on the Recovery of Sums of Dense and Sparse Signals” (with V. Chernozhukov and Y. Liao)

__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.

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

4. “Generalized
Least Squares Inference in Panel and Multilevel Models with Serial Correlation
and Fixed Effects” *Journal 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.

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

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

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

31. “Inference
in High Dimensional Panel Models with an Application to Gun Control” (with
A. Belloni, V. Chernozhukov, and D. Kozbur)

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

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*, 2012, 80(6), 2369-2429. [Correction to Lemma 7. The statement and result in Lemma 7 of the
published version of the paper is incorrect – thanks to Achim
Ahrens for noting calling this error to our attention. The restatement of the lemma does not affect
rates or other results in the paper.]

21. “Inference
on Treatment Effects after Selection amongst High-Dimensional Controls” (with A. Belloni and V. Chernozhukov), *Review of Economic
Studies**,
2014, 81(2), 608-650.*

__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.

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), 2369-2429. [Correction to Lemma 7. The statement and result in Lemma 7 of the
published version of the paper is incorrect – thanks to Achim
Ahrens for noting calling this error to our attention. The restatement of the lemma does not affect
rates or other results in the paper.]

27. “Instrumental
Variables Estimation with Many Weak Instruments Using Regularized JIVE”
(with D. Kozbur), *Journal of Econometrics*,
2014, 182(2), 290-308.

30. “Post-Selection
and Post-Regularization Inference in Linear Models with Very Many Controls and
Instruments” (with V. Chernozhukov and M. Spindler),
*American Economic Review: Papers and
Proceedings*, 2015, 105(5), 486-490.

__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 Stata and Matlab code for running the empirical examples from “High-Dimensional Methods and Inference on Structural and Treatment Effects”. 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

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).
The MATLAB code also includes code for performing the weak
identification robust inference procedure proposed in “Instrumental Variable
Quantile Regression: A Robust Inference Approach” (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

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”)__

Stata code for IV sensitivity
analysis is available through Stata and can be installed in Stata by typing

**ssc install plausexog**

Documentation is available here. (A big thanks
to Damian Clarke for putting together this nice set of code.)

Additional resources:

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”