John C. Chao

University of Maryland

Associate Professor

Department of Economics

College Park, MD 20742

United States

  • University of Maryland

    • Email
    • Tel: 301-405-1579
    • Fax: 301-408-3542
SCHOLARLY PAPERS

15

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72

Scholarly Papers (15)

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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 859 (60,821)
Citation 7

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

2.

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

Downloads 515 (117,572)
Citation 10

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 515 (116,091)
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.

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
John C. Chao, Norman R. Swanson and Norman R. Swanson
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 276 (236,724)

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

4.

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
John C. Chao, Norman R. Swanson and Norman R. Swanson
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 276 (236,724)
Citation 15

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Instrumental Variables, k-class Estimator, Local-to-zero Framework, 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
John C. Chao, Norman R. Swanson and Norman R. Swanson
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 197 (328,859)
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
John C. Chao, Norman R. Swanson and Norman R. Swanson
University of Maryland and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 114 (522,395)

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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
John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, Norman R. Swanson and Tiemen Woutersen
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 75 (680,396)
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
John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, Norman R. Swanson and Tiemen Woutersen
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 74 (685,458)

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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
Jerry A. Hausman, Whitney K. Newey, Tiemen Woutersen, John C. Chao, Norman R. Swanson and Norman R. Swanson
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 69 (712,263)
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
John C. Chao, Norman R. Swanson, Norman R. Swanson, Jerry A. Hausman, Whitney K. Newey and Tiemen Woutersen
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 69 (712,263)
Citation 13

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11.

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
John C. Chao, Kaiwen Qiu, Norman R. Swanson and Norman R. Swanson
University of Maryland, affiliation not provided to SSRN and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 66 (729,465)

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

12.

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
John C. Chao, Norman R. Swanson, Norman R. Swanson and Tiemen Woutersen
University of Maryland, Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and University of Arizona
Downloads 65 (735,197)

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

13.

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 65 (735,197)
Citation 2

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

14.

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
John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson, Norman R. Swanson and Tiemen Woutersen
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 62 (753,387)

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

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
John C. Chao, Kaiwen Qiu, Norman R. Swanson and Norman R. Swanson
University of Maryland, affiliation not provided to SSRN and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 37 (951,555)
Citation 1

Abstract:

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