Details about Bent Nielsen

Access statistics for papers by Bent Nielsen.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pni75

Working Papers

2008

1. An analysis of the indicator saturation estimator as a robust regression
   Discussion Papers, University of Copenhagen. Department of Economics
2. An analysis of the indicator saturation estimator as a robust regression estimator
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2008) View citations
3. Forecasting with the age-period-cohort model and the extended chain-ladder model
   Economics Papers, Economics Group, Nuffield College, University of Oxford
   See also Journal Article in Biometrika (2008)
4. On the Explosive Nature of Hyper-Inflation Data
   Economics Discussion Papers, Kiel Institute for the World Economy
   See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2008)
5. Properties of Estimated Characteristic Roots
   Discussion Papers, University of Copenhagen. Department of Economics View citations
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008)

2007

6. Convergence to Stochastic Integrals with Non-linear integrands
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
7. Identification of the age-period-cohort model and the extended chain ladder model
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
   See also Journal Article in Biometrika (2008)
8. The empirical process of autoregressive residuals
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations

2005

9. Analysis of co-explosive processes
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
10. Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model
    Economics Papers, Economics Group, Nuffield College, University of Oxford

2004

11. Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    See also Journal Article in Econometric Reviews (2007)
12. Two sided analysis of variance with a latent time series
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations

2003

13. Correlograms for non-stationary autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    See also Journal Article in Journal Of The Royal Statistical Society Series B (2006)
14. Power of tests for unit roots in the presence of a linear trend
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)
15. Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    See also Journal Article in Econometric Theory (2005)

2002

16. Measuring and forecasting financial variability using realised variance with and without a model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations

2001

17. Asymptotic properties of least squares statistics in general vector autoregressive models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
18. Order determination in general vector autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations

2000

19. Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    See also Journal Article in Econometrics Journal (2000)

1997

20. Asymptotic Results for Cointegration Tests in Non-Stable Cases
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford

1995

21. Bartlett Correction of the Unit Root test in Autoregressive Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (1995) View citations

Undated

22. On the distribution of tests of cointegration rank
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
23. Significance test in bivariate canonical correlation analysis
    Economics Papers, Economics Group, Nuffield College, University of Oxford

Journal Articles

2008

1. Forecasting with the age-period-cohort model and the extended chain-ladder model
   Biometrika, 2008, 95, (4), 987-991
   See also Working Paper (2008)
2. Identification of the age-period-cohort model and the extended chain-ladder model
   Biometrika, 2008, 95, (4), 979-986 View citations
   See also Working Paper (2007)
3. On the Explosive Nature of Hyper-Inflation Data
   Economics - The Open-Access, Open-Assessment E-Journal, 2008, 2, (21), 1-29 View citations
   See also Working Paper (2008)
4. Power of Tests for Unit Roots in the Presence of a Linear Trend
   Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 619-644
   See also Working Paper (2003)

2007

5. Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
   Econometric Reviews, 2007, 26, (5), 487-501
   See also Working Paper (2004)

2006

6. Correlograms for non-stationary autoregressions
   Journal Of The Royal Statistical Society Series B, 2006, 68, (4), 707-720 View citations
   See also Working Paper (2003)

2005

7. STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
   Econometric Theory, 2005, 21, (03), 534-561 View citations
   See also Working Paper (2003)

2003

8. Likelihood analysis of a first-order autoregressive model with exponential innovations
   Journal of Time Series Analysis, 2003, 24, (3), 337-344 View citations
9. The Influence of Var Dimensions on Estimator Biases: Comment
   Econometrica, 2003, 71, (1), 377-383

2001

10. The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes
    Econometrica, 2001, 69, (1), 211-19 View citations

2000

11. Cointegration analysis in the presence of structural breaks in the deterministic trend
    Econometrics Journal, 2000, 3, (2), 216-249 View citations
    See also Working Paper (2000)
12. Similarity Issues in Cointegration Analysis
    Oxford Bulletin of Economics and Statistics, 2000, 62, (1), 5-22 View citations

1998

13. Asymptotic Inference on Cointegrating Rank in Partial Systems
    Journal of Business & Economic Statistics, 1998, 16, (4), 388-99 View citations
14. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-72 View citations

1997

15. On convergence of multivariate Laplace transforms
    Statistics & Probability Letters, 1997, 33, (2), 125-128

Chapters

2007

1. Preface to Econometric Modeling: A Likelihood Approach
   A chapter in Econometric Modeling: A Likelihood Approach, 2007
2. The Bernoulli model, from Econometric Modeling: A Likelihood Approach
   A chapter in Econometric Modeling: A Likelihood Approach, 2007