John C. Chao

University of Maryland

Associate Professor

Department of Economics

College Park, MD 20742

United States

SCHOLARLY PAPERS

15

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2,557

SSRN CITATIONS
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Top 12,721

in Total Papers Citations

58

CROSSREF CITATIONS

67

Scholarly Papers (15)

1.

Hedging Against Liquidity Risk and Short Sale Constraints

Number of pages: 34 Posted: 26 Feb 2002
Doron Avramov, John C. Chao and Tarun Chordia
Reichman University - Interdisciplinary Center (IDC) Herzliyah, University of Maryland and Emory University - Department of Finance
Downloads 839 (55,868)
Citation 7

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Liquidity, Short Selling, Multifactor Efficiency, Intertemporal Asset Pricing Model, hedging

An Exact Bayes Test of Asset Pricing Models with Application to International Markets

Number of pages: 33 Posted: 12 Nov 2001
Doron Avramov and John C. Chao
Reichman University - Interdisciplinary Center (IDC) Herzliyah and University of Maryland
Downloads 506 (105,536)
Citation 10

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An Exact Bayes Test of Asset Pricing Models with Application to International Markets

Posted: 03 Sep 2003
Doron Avramov and John C. Chao
Reichman University - Interdisciplinary Center (IDC) Herzliyah and University of Maryland

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3.

Consistent Estimation with a Large Number of Weak Instruments

Econometrica, Forthcoming, Yale Cowles Foundation for Research in Economics, Research Paper No. 1417, Rutgers University Economics Working Paper No. 2004-21
Number of pages: 15 Posted: 26 May 2003
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 267 (216,712)
Citation 14

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Instrumental Variables, k-class Estimator, Local-to-zero Framework, Pathwise Asymptotics, Weak Instruments

4.

Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions with Many Weak Instruments

Rutgers University Economics Working Paper No. 2004-20
Number of pages: 62 Posted: 20 Sep 2004
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 231 (249,804)
Citation 8

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Heteroskedasticity, instrumental variables, Jackknife estimation, local-to-zero framework, many instruments, pathwise asymptotics, weak instruments

5.

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction

Number of pages: 24 Posted: 29 May 2003
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 159 (349,792)
Citation 2

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Confluent Hypergeometric Functions, Laplace Approximation, Local-to-zero Asymptotics, Weak Instruments

6.

Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models

Number of pages: 35 Posted: 17 Jan 2022 Last Revised: 08 Feb 2022
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 86 (548,850)

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factor analysis, factor augmented vector autoregression, forecasting, moderate deviation asymptotics, principal components, self-normalization, variable selection

7.

Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity

Number of pages: 15 Posted: 15 Jul 2013
University of Maryland, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of Arizona
Downloads 67 (632,074)
Citation 14

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heteroskedasticity, instrumental variables, jackknife estimation, many instruments, weak instruments

8.

Combining Two Consistent Estimators

In: Essays in Honor of Jerry Hausman: Advances in Econometrics, Volume 29, Emerald, New York, 2012
Number of pages: 20 Posted: 15 Jul 2013
University of Maryland, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of Arizona
Downloads 66 (637,046)

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endogeneity, instrumental variables, jackknife estimation, many moments, Hausman (1978) test

9.

Instrumental Variable Estimation with Heteroskedasticity and Many Instruments

Number of pages: 46 Posted: 15 Jul 2013
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, University of Arizona, University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 61 (662,976)
Citation 8

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Instrumental Variables, Jackknife, Many Instruments, Heteroskedasticity

10.

Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments

Number of pages: 61 Posted: 31 May 2011
University of Maryland, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Arizona
Downloads 59 (673,873)
Citation 12

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11.

Uniform Inference in Panel Autoregression

Cowles Foundation Discussion Paper No. 2071
Number of pages: 325 Posted: 18 Jan 2017
John C. Chao and Peter C. B. Phillips
University of Maryland and University of Auckland Business School
Downloads 56 (690,569)
Citation 2

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Confidence interval, Dynamic panel data models, panel IV, pooled OLS, Pretesting, Uniform inference

12.

An Expository Note on the Existence of Moments of Fuller and HFUL Estimators

In: Essays in Honor of Jerry Hausman: Advances in Econometrics, Volume 29, Emerald, New York, 2012
Number of pages: 20 Posted: 16 Jul 2013
University of Maryland, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of Arizona
Downloads 50 (726,769)

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endogeneity, instrumental variables, jackknife estimation, many moments, existence of moments

13.

Selecting the Relevant Variables for Factor Estimation in FAVAR Models, With An Application to Forecasting the Yield Curve

Number of pages: 35 Posted: 28 Dec 2022 Last Revised: 19 Jul 2023
University of Maryland, affiliation not provided to SSRN and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 49 (733,027)

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Factor analysis, factor augmented vector autoregression, forecasting, moderate deviation, principal components, self-normalization, variable selection

14.

Jackknife Estimation of a Cluster-Sample IV Regression Model with Many Weak Instruments

Number of pages: 43 Posted: 12 Apr 2021 Last Revised: 22 Dec 2022
University of Maryland, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of Arizona
Downloads 37 (817,577)

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cluster sample, instrumental variables, heteroskedasticity, jackknife, many weak instruments, panel data

15.

Technical Appendix to Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models, With An Application to Forecasting the Yield Curve

Number of pages: 82 Posted: 17 Jan 2022 Last Revised: 19 Jul 2023
University of Maryland, affiliation not provided to SSRN and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 24 (930,230)
Citation 1

Abstract:

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factor analysis, factor augmented vector autoregression, forecasting, moderate deviation asymptotics, principal components, self-normalization, variable selection