Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics

Professor

Chicago, IL 60637

United States

  • University of Chicago - Booth School of Business - Econometrics and Statistics

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    • Tel: 773-834-1702
SCHOLARLY PAPERS

31

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979

CROSSREF CITATIONS

47

Scholarly Papers (31)

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1.

Using Double-Lasso Regression for Principled Variable Selection

Number of pages: 70 Posted: 18 Feb 2016
Oleg Urminsky, Christian Hansen and Victor Chernozhukov
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 1,124 (37,609)
Citation 8

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research methods, covariate, regression, variable selection, confound, omitted variable bias

2.

Plausibly Exogenous

Number of pages: 48 Posted: 18 May 2007 Last Revised: 04 Aug 2008
Timothy G. Conley, Christian Hansen and Peter E. Rossi
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 888 (52,426)
Citation 122

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Instrumental Variables, Sensitivity Analysis, Priors

3.

The Reduced Form: A Simple Approach to Inference with Weak Instruments

Number of pages: 36 Posted: 17 Oct 2006
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 833 (57,265)
Citation 37

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4.

Finite Sample Inference for Quantile Regression Models

MIT Department of Economics Working Paper No. 06-03
Number of pages: 39 Posted: 03 Feb 2006
Victor Chernozhukov, Christian Hansen and Michael Jansson
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Berkeley - Department of Economics
Downloads 580 (91,332)
Citation 2

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Quantile Regression, Extremal Quantile Regression, Instrumental Quantile Regression

5.

A Semi-Parametric Bayesian Approach to the Instrumental Variable Problem

Number of pages: 68 Posted: 19 Jul 2006
Timothy G. Conley, Christian Hansen, Robert E. McCulloch and Peter E. Rossi
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics, University of Chicago - Booth School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 457 (122,222)
Citation 2

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instrumental variables, non-parametric Bayesian inference, Dirichlet process priors

6.

Instrumental Variable Quantile Regression

MIT Department of Economics Working Paper No. 06-19
Number of pages: 31 Posted: 19 Jun 2006
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 417 (135,949)
Citation 11

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Set estimator, contour sets, moment inequalities, moment equalities

7.

Lasso Methods for Gaussian Instrumental Variables Models

MIT Department of Economics Working Paper No. 11-14
Number of pages: 35 Posted: 12 Aug 2011
Alexandre Belloni, Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Operations Research Center, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 373 (154,344)
Citation 21

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8.

Inference for Distributional Effects Using Instrumental Quantile Regression

Number of pages: 38 Posted: 24 May 2002
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 344 (168,570)

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Quantile Regression, Instrumental Quantile Regression, Treatment Effects, Endogeneity, Stochastic Dominance, Hausman Test, Supply-Demand Equations, Returns to Education

9.

Inference on Treatment Effects after Selection Amongst High-Dimensional Controls

MIT Department of Economics Working Paper No. 12-13
Number of pages: 67 Posted: 05 May 2012
Alexandre Belloni, Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Operations Research Center, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 247 (237,313)
Citation 109

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treatment effects, partially linear model, high-dimensional-sparse regression, inference under imperfect model selection, uniformly valid inference after model selection

10.

Inference with Dependent Data in Accounting and Finance Applications

Downloads 234 (250,225)

Inference with Dependent Data in Accounting and Finance Applications

Number of pages: 91 Posted: 10 Nov 2017
Timothy G. Conley, Sílvia Gonçalves and Christian Hansen
University of Chicago - Booth School of Business, Independent and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 234 (249,127)
Citation 9

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clustering, HAC, Fama-MacBeth

Inference with Dependent Data in Accounting and Finance Applications

Journal of Accounting Research, Vol. 56, No. 4, 2018
Posted: 17 May 2019
Timothy G. Conley, Sílvia Gonçalves and Christian Hansen
University of Chicago - Booth School of Business, Independent and University of Chicago - Booth School of Business - Econometrics and Statistics

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hypothesis testing; confidence intervals; robust standard error estimation; spatial dependence; bootstrap; fixed-effects

11.

Bias Reduction for Bayesian and Frequentist Estimators

Number of pages: 45 Posted: 06 Nov 2006
Alan Bester and Christian Hansen
University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 202 (287,213)
Citation 5

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Bias, Objective Bayes, Penalized likelihood

12.

Admissible Invariant Similar Tests for Instrumental Variables Regression

MIT Department of Economics Working Paper No. 07-09
Number of pages: 21 Posted: 03 Apr 2007
Victor Chernozhukov, Christian Hansen and Michael Jansson
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Berkeley - Department of Economics
Downloads 191 (302,189)
Citation 6

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Instrumental Variables, Regression, Inference

13.

A Penalty Function Approach to Bias Reduction in Non-Linear Panel Models with Fixed Effects

Number of pages: 27 Posted: 29 Jul 2005
Alan Bester and Christian Hansen
University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 166 (342,211)
Citation 8

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Incidental Parameters, Fixed Effects, Panel Data, Bias

14.

Iassopack: Model Selection and Prediction with Regularized Regression in Stata

IZA Discussion Paper No. 12081
Number of pages: 55 Posted: 28 Jan 2019
Achim Ahrens, Christian Hansen and Mark E. Schaffer
Economic and Social Research Institute (ESRI), University of Chicago - Booth School of Business - Econometrics and Statistics and Heriot-Watt University - Centre for Economic Reform and Transformation
Downloads 165 (343,994)
Citation 6

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lasso2, cvlasso, rlasso, lasso, elastic net, square-root lasso, cross-validation

15.

Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain

MIT Department of Economics Working Paper No. 11-19
Number of pages: 63 Posted: 15 Aug 2011
Alexandre Belloni, Daniel Chen, Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Operations Research Center, affiliation not provided to SSRN, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 164 (345,785)
Citation 149

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Instrumental Variables, Optimal Instruments, LASSO, Post-LASSO, Sparsity, Eminent Domain, Data-Driven Penalty, Heteroscedasticity, Non-Gaussian Errors, Moderate Deviations for Self-Normalized Sums

16.

Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach

Downloads 149 (374,532)

Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach

MIT Department of Economics Working Paper No. 15-03
Number of pages: 35 Posted: 19 Feb 2015
Victor Chernozhukov, Christian Hansen and Martin Spindler
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and Max Planck Institute for Social Law and Social Policy
Downloads 149 (374,822)
Citation 8

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Neyman, orthogonalization, C(α) statistics, post-selection and post-regularization inference, general framework

Valid Post-Selection and Post-Regularization Inference: An Elementary, General Approach

Annual Review of Economics, Vol. 7, pp. 649-688, 2015
Posted: 07 Aug 2015
Victor Chernozhukov, Christian Hansen and Martin Spindler
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and Max Planck Institute for Social Law and Social Policy

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17.

Pre-Event Trends in the Panel Event-Study Design

Downloads 140 (393,466)
Citation 73

Pre-Event Trends in the Panel Event-Study Design

FRB of Philadelphia Working Paper No. 19-27
Number of pages: 54 Posted: 06 Jun 2019 Last Revised: 29 Apr 2020
Simon Freyaldenhoven, Christian Hansen and Jesse M. Shapiro
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of Chicago - Booth School of Business - Econometrics and Statistics and Harvard University - Department of Economics
Downloads 76 (607,063)
Citation 10

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pre-trends, event study, differences-in-differences

Pre-Event Trends in the Panel Event-Study Design

NBER Working Paper No. w24565
Number of pages: 40 Posted: 02 May 2018 Last Revised: 13 Feb 2023
Simon Freyaldenhoven, Christian Hansen and Jesse M. Shapiro
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of Chicago - Booth School of Business - Econometrics and Statistics and Harvard University - Department of Economics
Downloads 64 (667,845)
Citation 6

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18.

Double/Debiased Machine Learning for Treatment and Structural Parameters

NBER Working Paper No. w23564
Number of pages: 73 Posted: 10 Jul 2017 Last Revised: 12 Dec 2022
Victor Chernozhukov, Denis Chetverikov, Mert Demirer, Esther Duflo, Christian Hansen, Whitney K. Newey and James Robins
Massachusetts Institute of Technology (MIT) - Department of Economics, University of California, Los Angeles (UCLA) - Department of Economics, Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics, Massachusetts Institute of Technology (MIT) - Department of Economics and Harvard University - T.H. Chan School of Public Health
Downloads 136 (402,411)
Citation 98

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19.

Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Downloads 135 (404,786)
Citation 2

Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 1, 2007-7
Number of pages: 20 Posted: 18 Dec 2010
Christian Hansen, James McDonald and Panayiotis Theodossiou
University of Chicago - Booth School of Business - Econometrics and Statistics, Brigham Young University and Ball State University
Downloads 95 (527,892)

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Partially Adaptive Estimation, Econometric Models

Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Economics Discussion Paper No. 2007-13
Number of pages: 11 Posted: 29 Nov 2010
Panayiotis Theodossiou, James McDonald and Christian Hansen
Ball State University, Brigham Young University and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 40 (824,832)
Citation 3

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Partially Adaptive Estimation, Econometric Models

20.

Model Averaging and Double Machine Learning

IZA Discussion Paper No. 16714
Number of pages: 54 Posted: 11 Jan 2024
Achim Ahrens, Christian Hansen, Mark Schaffer and Thomas T. Wiemann
ETH Zürich, University of Chicago - Booth School of Business - Econometrics and Statistics, Heriot-Watt University and University of Chicago - Department of Economics
Downloads 113 (463,508)
Citation 4

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causal inference, partially linear model, high-dimensional models, super learners, nonparametric estimation

21.

Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments

MIT Department of Economics Working Paper No. 15-02
Number of pages: 9 Posted: 20 Feb 2015
Victor Chernozhukov, Christian Hansen and Martin Spindler
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and Max Planck Institute for Social Law and Social Policy
Downloads 97 (516,043)
Citation 45

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22.

Targeted Undersmoothing

University of Zurich, Department of Economics, Working Paper No. 282
Number of pages: 42 Posted: 09 May 2018
Christian Hansen, Damian Kozbur and Sanjog Misra
University of Chicago - Booth School of Business - Econometrics and Statistics, ETH Zürich - Department of Humanities, Social and Political Sciences (GESS) and University of Chicago - Booth School of Business
Downloads 95 (523,194)
Citation 3

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model selection, sparsity, dense functionals, hypothesis testing, sensitivity analysis

23.

Identification of Marginal Effects in a Nonparametric Correlated Random Effects Model

Number of pages: 38 Posted: 12 Sep 2007
Alan Bester and Christian Hansen
University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 88 (549,206)
Citation 4

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index, sufficient statistic, insider trading

24.

Visualization, Identification, and Estimation in the Linear Panel Event-Study Design

NBER Working Paper No. w29170
Number of pages: 48 Posted: 23 Aug 2021 Last Revised: 16 Mar 2023
Simon Freyaldenhoven, Christian Hansen, Jorge Pérez Pérez and Jesse M. Shapiro
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of Chicago - Booth School of Business - Econometrics and Statistics, Banco de México and Harvard University - Department of Economics
Downloads 78 (590,070)
Citation 8

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25.

A Lava Attack on the Recovery of Sums of Dense and Sparse Signals

Number of pages: 34 Posted: 13 Feb 2015 Last Revised: 25 Mar 2015
Victor Chernozhukov, Christian Hansen and Yuan Liao
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 75 (603,007)
Citation 2

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high-dimensional models, penalization, shrinkage, non-sparse signal recovery

26.

ddml: Double/Debiased Machine Learning in Stata

IZA Discussion Paper No. 15963
Number of pages: 52 Posted: 24 Feb 2023
Achim Ahrens, Christian Hansen, Mark Schaffer and Thomas T. Wiemann
ETH Zurich, University of Chicago - Booth School of Business - Econometrics and Statistics, Heriot-Watt University and University of Chicago - Department of Economics
Downloads 42 (789,192)

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st0001, causal inference, machine learning, doubly-robust estimation

27.

Xtevent: Estimation and Visualization in the Linear Panel Event-Study Design

FRB of Philadelphia Working Paper No. 24-15
Number of pages: 43 Posted: 15 Aug 2024
Simon Freyaldenhoven, Christian Hansen, Jorge Pérez Pérez, Jesse Shapiro and Constantino Carreto
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, University of Chicago - Booth School of Business - Econometrics and Statistics, Banco de México, Harvard University and Banco de Mexico
Downloads 6 (1,130,653)

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xtevent, xteventplot, xteventtest, get unit time effects, linear panel data models, two-way fixed effects regression, pre-trends, event study

28.

Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain

Econometrica, Vol. 80, No. 6, p. 2369–2429, November 2012
Posted: 05 Jun 2017
Alexandre Belloni, Daniel L. Chen, Victor Chernozhukov and Christian Hansen
Duke University - Fuqua School of Business, Directeur de Recherche, Centre National de la Recherche Scientifique, Toulouse School of Economics, Institute for Advanced Study in Toulouse, University of Toulouse Capitole, Toulouse, France, Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics

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Inference on a Low-Dimensional Parameter after Model Selection, Imperfect Model Selection, Instrumental Variables, Lasso, Post-Lasso, Data-Driven Penalty, Heteroscedasticity, Non-Gaussian Errors, Moderate Deviations for Self-Normalized Sums

29.

Quantile Models with Endogeneity

Annual Review of Economics, Vol. 5, pp. 57-81, 2013
Posted: 07 Aug 2013
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics

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30.

Grouped Effects Estimators in Fixed Effects Models

Posted: 05 Dec 2010
Alan Bester and Christian Hansen
University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics

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Fixed Effects, Panel Data, Hierarchical Models

31.

Inference with Dependent Data Using Cluster Covariance Estimators

Posted: 14 Nov 2010
Alan Bester, Timothy G. Conley and Christian Hansen
University of Chicago Graduate School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics

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HAC, panel, robust, spatial