The Mixtape with Scott S3E6: Bruce Hansen, Econometrician, Univ of Wisconsin
Feb 13, 2024
Bruce Hansen, an econometrician from the University of Wisconsin, shares insights into his career and influences, from free textbooks to his upbringing in Southern California. The podcast covers his transition from music to social science and his journey to becoming a leading figure in econometrics, highlighting the evolution of the field and the impact of his collaborative research.
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Yale PhD Sparked A Transformative Research Identity
- Bruce Hansen describes his Yale PhD experience as a complete intellectual transformation where he discovered economics as an active research field.
- He cites Peter Phillips' linear regression course as the catalyst, praising Phillips' chalkboard proofs and infectious enthusiasm.
Early Cointegration Work Led To Fully Modified Least Squares
- Hansen recounts his early joint work with Peter Phillips on cointegration and fully modified least squares that addressed endogeneity in nonstationary time series.
- Their paper (VoE 1990) introduced a GLS-type transformation and the term fully modified least squares, producing asymptotically normal estimators.
Read Applied Work To Find Useful Research Problems
- To produce useful econometric research, Hansen recommends immersing yourself in applied work: read top journals and attend applied workshops to spot practical needs.
- He says this approach helped him design methods that applied researchers would actually use during the 1990s data expansion.