| Peter Reinhard Hansen | |
| Birth Date: | 15 June 1968 |
| Birth Place: | Sorø, Denmark |
| Nationality: | Danish |
| Institution: | University of North Carolina |
| Field: | Econometrics |
| Alma Mater: | University of Copenhagen (M.Sc. 1995) UCSD (PhD 2000) |
| Influences: | Soren Johansen James D. Hamilton Halbert White Robert Engle |
| Spouse: | Gridt Vig Find |
| Repec Prefix: | e |
| Repec Id: | pha63 |
Peter Reinhard Hansen (born June 15, 1968) is the Henry A. Latané Distinguished Professor of Economics at the University of North Carolina at Chapel Hill. He has previously taught at Brown University, Stanford Graduate School of Business, Stanford University, and the European University Institute.
Hansen was born in Sorø, Denmark, where he went to Sorø Akademi. He studied mathematics and economics at the University of Copenhagen (M.sc. 1995) under the supervision of Søren Johansen and from 1996 he studied economics University of California, San Diego (Ph.D. 2000) supervised by James D. Hamilton.
Hansen is known for his research on volatility, forecasting and cointegration, including the "test for superior predictive ability", which can be used to test whether a benchmark forecast is significantly outperformed by competing forecasts, the Model Confidence Set.[1] He has, in collaboration with Ole E. Barndorff-Nielsen, Asger Lunde, and Neil Shephard, developed the realized kernel estimator that can estimate the quadratic variation in an environment with noisy high-frequency data, such as financial tick-by-tick data. He co-authored the book "Workbook on Cointegration" with Søren Johansen.