John Chao, Professor, received his PhD in Economics from Yale University in 1994. He taught at Pennsylvania State University prior to joining the Maryland faculty in 1995. He has also taught as a Visiting Professor at Yale University and at the Shanghai University of Finance and Economics and has held a visiting research position at the Academia Sinica in Taiwan. His current research focuses on IV regressions with many instruments, Bayesian econometrics, and the use of model selection methods in nonstationary time series analysis.
Professor Chao is an Associate Editor of theEconometrics Journal. Publications include: "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure" (with P. C. B. Phillips),Journal of Econometrics, 1999; "Consistent Estimation with a Large Number of Weak Instruments" (with N. R. Swanson),Econometrica, 2005; "Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments" (with N.R. Swanson, J.A. Hausman, W.K.Newey, and T. Woutersen),Econometric Theory, 2012; "Instrumental Variable Estimation with Heteroskedasticity and Many Instruments" (with J.A.Hausman, W.K.Newey, and T. Woutersen, and N.R.Swanson)Quantitative Economics, 2012; "Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity," (with J.A. Hausman, W.K. Newey, N.R.Swanson, and T. Woutersen),Journal of Econometrics, 2014.
Areas of Interest
- IV Regressions with Many Instruments
- Bayesian Econometrics and the Use of Model Selection Methods in Nonstationary Time Series Analysis
Degree TypePhDDegree DetailsYale University, 1994
|Course Name||Course Title||Semester||Syllabus|
|ECON423||Econometrics II||Spring 2017|
|ECON709||Advanced Topics in Applied and Theoretical Macroeconomics||Spring 2017|
|ECON808||Workshop on Macroeconomics and Growth; Workshop in Applied Economics||Spring 2017|
|ECON623||Econometrics II||Fall 2016|
|ECON709||Advanced Topics in Applied and Theoretical Macroeconomics||Fall 2016|
|ECON721||Econometrics III||Fall 2016|
|ECON828||Workshop in Econometrics||Fall 2016|
|ECON709||Advanced Topics in Applied and Theoretical Macroeconomics||Spring 2016|
|ECON808||Workshop on Macroeconomics and Growth; Workshop in Applied Economics||Spring 2016|
|ECON623||Econometrics II||Fall 2015||Syllabus|
|ECON721||Econometrics III||Fall 2015||Syllabus|
- Mean Average Estimation of Dynamic Panel Models with Nonstationary Initial Condition, , Advances in Econometrics: Essays in Honor of Peter C. B. Phillips, ed. by Yoosoon Chang , Thomas B. Fomby, andJoon Y. Park, Emerald Group Publishing Limited 33, 241-279, January .
- Panel Structural Modeling with Weak Instrumentation and Covariance Restrictions, , Econometric Theory 30(4 ), 839-881, August .
- Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity, , Journal of Econometrics 178(1 ), 15-21, January .
- Harry Kelejian's Professional Life and Work, , Spatial Economic Analysis 8(3 ), 218-227, January .
- An Expository Note on the Existence of Moments of Fuller and HFUL Estimators, , Essays in Honor of Jerry Hausman: Advances in Econometrics 29, 87-106, July .
- Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments, , Econometric Theory 28(1 ), 42-86, February .
- Combining Two Consistent Estimators, , Essays in Honor of Jerry Hausman: Advances in Econometrics, ed. by Badi H. Baltagi, R. Carter Hill, Whitney K. Newey, Halbert L. White 29, 33-53, August .
- Instrumental Variable Estimation with Heteroskedasticity and Many Instruments, , Quantitative Economics 3(2 ), 211-255, July .
- Comments on "Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve", , Journal of Business and Economic Statistics 27(3 ), 316-318, January .
- Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with Application in Bias Correction, , Journal of Econometrics 137(2 ), 515-555, April .
- An Exact Bayes Test of Asset Pricing Models with Application to International Markets, , Journal of Business 79(1 ), 293-324, January .
- Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments, , Econometric Theory and Practice: Frontiers of Analysis and Applied Research, ed. by D. Corbae, S. Durlauf, and B. Hansen, 82-124, January .
- Consistent Estimation with a Large Number of Weak Instruments, , Econometrica 73(5 ), 1673-1692, September .
- Hedging Against Liquidity Risk and Short Sale Constraints, , The ICFAI Journal of Financial Risk Management 1, 19-39, January .
- Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n + 1 Endogenous Variables, , Journal of Econometrics 111(2 ), 251-283, December .
- Data Transformation and Forecasting in Models with Unit Roots and Cointegration, , Annals of Economics and Finance 2(1 ), 59-76, May .
- Out-of-Sample Tests for Granger Causality, , Macroeconomic Dynamics 5(4 ), 598-620, September .
- Tests of Non-nested Hypotheses in Nonstationary Regressions with an Application to Modeling Industrial Production, , Macroeconomic Dynamics 4(1 ), 42-72, March .
- Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure, , Journal of Econometrics 91(2 ), 227-271, August .
- Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior, , Journal of Econometrics 87(1 ), 49-86, November .
- Testing the Expectations Theory of the Term Structure of Interest Rates using Model Selection Methods, , Studies in Nonlinear Dynamics & Econometrics 2(4 ), 95-108, January .
- An Empirical Bayesian Approach to Cointegration Rank Selection and Test of the Present Value Model for Stock Prices, , Modeling and Prediction: Honoring Seymour Geisser, ed. by Wesley O. Johnson, Jack C. Lee, and Arnold Zellner, 325-341, January .