BRUCE E. HANSEN

Address: Department of Economics

Boston College

Chestnut Hill, MA 02467-3806

Telephone: (617) 552-3678

Fax: (617) 552-2308

Internet: hansenb@bc.edu

Homepage: http://fmwww.bc.edu/EC-V/Hansen.fac.html

Born: April 18, 1962

Citizenship: U.S.

Education

1984 A.B. (Economics/Philosophy) Occidental College, Summa Cum Laude, Phi Beta Kappa

1986 M.A. (Economics) Yale University

1989 Ph.D. (Economics) Yale University

Thesis title: Statistical Inference in Non-Stationary Economic Systems.

Thesis Supervisors: P.C.B. Phillips and D.W.K. Andrews

Academic Positions

1989-1992 Assistant Professor, Department of Economics, University of Rochester

1992-1995 Associate Professor, Department of Economics, University of Rochester

1994-1995 Associate Professor, Department of Economics, Boston College

1995- Professor, Department of Economics, Boston College

Grants

1991-1992 National Science Foundation Grant SES-9022176, $ 35,201

1992-1993 National Science Foundation Grant SES-9120576, $ 29,234

1994-1996 Alfred P. Sloan Foundation Research Fellowship, $ 30,000

1994-1997 National Science Foundation Grant SBR-9412339, $128,191

Editorial Positions

1996- Associate Editor, Econometrica

1995- Co-Editor, Econometric Theory

1992-1995 Associate Editor, Econometric Theory

Refereed Publications

"Approximate asymptotic p-values for structural change tests," Journal of Business and Economic Statistics (1996, forthcoming).

"Tests for cointegration in models with regime and trend shifts," with Allan Gregory, Oxford Bulletin of Economics and Statistics, (1996, forthcoming).

"Methodology: Alchemy or Science? A Review of Econometrics: Alchemy or Science by David Hendry," Economic Journal (1996, forthcoming).

"Stochastic equicontinuity for unbounded dependent heterogeneous arrays," Econometric Theory (1996, forthcoming).

"Inference when a nuisance parameter is not identified under the null hypothesis," Econometrica (1996), 64, 413-430.

"Residual-based tests for cointegration in models with regime shifts," with Allan Gregory, Journal of Econometrics (1996), 70, 99-126

"Rethinking the univariate approach to unit root tests: How to use covariates to increase power," Econometric Theory (1995), 11, 1148-1171.

"Regression with non-stationary volatility," Econometrica (1995), 63, 1113-1132..

"Are seasonal patterns constant over time? A test for seasonal stability," with Fabio Canova, Journal of Business and Economic Statistics (1995), 13, 237-252.

"Autoregressive conditional density estimation," International Economic Review (1994), 35, 705-730.

"Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator," with Sang-Won Lee, Econometric Theory (1994), 10, 29-52.

"The likelihood ratio test under non-standard conditions: Testing the Markov switching model of GNP," Journal of Applied Econometrics (1992), 7, S61-S82. Also in Nonlinear Dynamics, Chaos and Econometrics, ed. M.H. Pesaran and S.M. Potter (1993), John Wiley & Sons. Also "Erratum", Journal of Applied Econometrics, (1996), 11, 195-198.

"Convergence to stochastic integrals for dependent heterogeneous processes," Econometric Theory (1992), 8, 489-500.

"Consistent covariance matrix estimation for dependent heterogeneous processes," Econometrica (1992), 62, 967-972.

"Tests for parameter instability in regressions with I(1) processes," Journal of Business and Economic Statistics (1992), 10, 321-335.

"Heteroskedastic cointegration," Journal of Econometrics (1992), 54, 139-158.

"Testing for parameter instability in linear models," Journal of Policy Modeling (1992), 14, 517-533.

"Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics (1992), 53, 87-121.

"GARCH(1,1) processes are near-epoch dependent," Economic Letters (1991), 36, 181-186.

"Strong laws for dependent heterogeneous processes," Econometric Theory (1991), 7 213-221, and "Erratum" (1992), 8, 421-422.

"Estimation and inference in models of cointegration: A simulation study," with P.C.B. Phillips, Advances in Econometrics (1990), 8, 225-248.

"Statistical inference in instrumental variables regression with I(1) processes," with P.C.B. Phillips, Review of Economic Studies (1990), 57, 99-125.

Non-Refereed Publications

"Book Review: Time Series Analysis by James D. Hamilton," Econometric Theory (1995), 11, 625-631.

Comment on "Testing for common features" by R. Engle and S. Kozicki, Journal of Business and Economic Statistics (1993), p. 385-386.

Comment on "Further evidence on business cycle duration dependence" by F.X. Diebold, G.D. Rudebusch and D.E. Sichel, Business Cycles, Indicators, and Forecasting, ed. J.H. Stock and M.W. Watson (1993), p. 280-284.

Submitted Papers

"Sample splitting and threshold estimation."

"Testing for structural change in conditional models."

Professional Responsibilities

Program Committee, 1993 summer meetings of the Econometric Society.

Program Committee, 1997 winter meetings of the Econometric Society.

Referee for: American Economic Review, Canadian Journal of Econometrics, Econometric Reviews, Econometric Theory, Econometrica, Economic Journal, Economic Letters, Empirical Economics, Handbook of Econometrics, International Economic Review, Journal of the American Statistical Association, Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Empirical Finance, Journal of Monetary Economics, Journal of Money, Credit and Banking, National Science Foundation, Review of Economic Studies, Review of Economics and Statistics.

Courses Taught

Undergraduate:

Principles of Economics

Econometrics

Ph.D.

Introduction to Probability and Statistics

Intermediate Mathematical Statistics

Elements of Econometrics

Advanced Econometric Theory

Non-Linear Econometric Theory

Time Series Econometrics

Completed Ph.D. Dissertations Supervised and Initial Placement

Sang-Won Lee (1992), "Essays on Non-Linear Econometrics," Indiana University.

Terence Tai Leung Chong (1995), "Econometrics of Multiple Structural Changes," Chinese University of Hong Kong.

Biing-Shen Kuo (1995), "Inference and Estimation in Regression Models with Stochastic Trend Processes," National Cheng-Chi University (Taiwan).

Mark Dwyer (1995), "Essays in Nonlinear, Nonstationary Time Series Econometrics," UCLA.

Mehmet Caner (1996), Koc University (Istanbul, Turkey).