Mailing Address:
University of California, Berkeley
Department of Economics
530 Evans Hall #3880
Berkeley, CA 94720-3880

Tel No. (510) 642-4639
Fax No. (510) 642-6615

E-mail Address:
mjansson@econ.berkeley.edu

Working Papers

Bootstrapping Density-Weighted Average Derivatives
with Matias Cattaneo & Richard Crump
March 2013

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
with Peter Boswijk & Morten Nielsen
September 2012

Alternative Asymptotics and the Partially Linear Model with Many Regressors
with Matias Cattaneo & Whitney Newey
July 2012

Generalized Jackknife Estimators of Weighted Average Derivatives
with Matias Cattaneo & Richard Crump
Forthcoming in Journal of the American Statistical Association

Small Bandwidth Asymptotics for Density-Weighted Average Derivatives
with Matias Cattaneo & Richard Crump
Forthcoming in Econometric Theory

Published Papers

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
with Morten Nielsen
Published in Econometrica, 80, 2321-2332, 2012

Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors
with Matias Cattaneo & Richard Crump
Published in Journal of Econometrics, 167, 1-15, 2012

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
with Morten Nielsen
Published in Journal of Time Series Econometrics, Volume 3: Issue 1, Article 5, 2011

Robust Data-Driven Inference for Density-Weighted Average Derivatives
with Matias Cattaneo & Richard Crump
Published in Journal of the American Statistical Association, 105, 1070-1083, 2010

Finite Sample Inference for Quantile Regression Models
with Victor Chernozhukov & Christian Hansen
Published in Journal of Econometrics, 152, 93-103, 2009

Admissible Invariant Similar Tests for Instrumental Variables Regression
with Victor Chernozhukov & Christian Hansen
Published in Econometric Theory, 25, 806-818, 2009

Optimal Invariant Inference when the Number of Instruments is Large
with Laura Chioda
Published in Econometric Theory, 25, 793-805, 2009

Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis
Published in Econometrica, 76, 1103-1142, 2008

Inference Approaches for Instrumental Variable Quantile Regression
with Victor Chernozhukov & Christian Hansen
Published in Economics Letters, 95, 272-277, 2007

Optimal Inference in Regression Models with Nearly Integrated Regressors
with Marcelo Moreira
Published in Econometrica, 74, 681-714, 2006

Improving Size and Power in Unit Root Testing
with Niels Haldrup
Preprint, August 2005
Published in Palgrave Handbook of Econometrics, Volume 1: Econometric Theory, 252-277, 2006

Tests of the Null Hypothesis of Cointegration Based on Efficient Tests for a Unit MA Root
Published in Identification and Inference in Econometric Models: Essays in Honor of Thomas J. Rothenberg, 357-374, 2005

Optimal Power for Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity
with Graham Elliott & Elena Pesavento
Published in Journal of Business & Economic Statistics, 23, 34-48, 2005

Point Optimal Tests of the Null Hypothesis of Cointegration
Published in Journal of Econometrics, 124, 187-201, 2005

The Error in Rejection Probability of Simple Autocorrelation Robust Tests
Published in Econometrica, 72, 937-946, 2004

Stationarity Testing with Covariates
Published in Econometric Theory, 20, 56-94, 2004

Testing for Unit Roots with Stationary Covariates
with Graham Elliott
Published in Journal of Econometrics, 115, 75-89, 2003

Consistent Covariance Matrix Estimation for Linear Processes
Published in Econometric Theory, 18, 1449-1459, 2002

Regression Theory for Nearly Cointegrated Time Series
with Niels Haldrup
Published in Econometric Theory, 18, 1309-1335, 2002