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Details about Anders Rahbek

Homepage:http://www.econ.ku.dk/rahbek/
Phone:+4535324031
Postal address:Department of Economics University of Copenhagen Øster Farimagsgade 5, building 26 DK-1353 Copenhagen K Denmark
Workplace:Økonomisk Institut (Department of Economics), Københavns Universitet (University of Copenhagen), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Anders Rahbek.

Last updated 2014-03-07. Update your information in the RePEc Author Service.

Short-id: pra434


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Working Papers

2013

  1. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (2)

2012

  1. Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) Downloads View citations (9)
  2. Multivariate Variance Targeting in the BEKK-GARCH Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) Downloads View citations (1)

    See also Journal Article in Econometrics Journal (2014)
  3. Unit Root Vector Autoregression with volatility Induced Stationarity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) Downloads

2010

  1. Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) Downloads View citations (4)
  2. Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads

    See also Journal Article in Econometric Theory (2013)

2009

  1. An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads
  2. Co-integration Rank Testing under Conditional Heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (9)
    See also Journal Article in Econometric Theory (2010)
  3. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics Downloads
  4. Poisson Autoregression
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (34)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2008) Downloads

    See also Journal Article in Journal of the American Statistical Association (2009)

2008

  1. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (13)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007) Downloads View citations (4)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) Downloads View citations (11)

    See also Journal Article in Journal of Econometrics (2010)
  2. The ACR model: a multivariate dynamic mixture autoregression
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads View citations (18)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)

2007

  1. Likelihood-Based Inference in Nonlinear Error-Correction Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)

2005

  1. The Autoregressive Conditional Root (ACR) Model
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (4)

2003

  1. Likelihood Ratio Testing for Cointegration Ranks in I(2) Models
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (1)

2002

  1. Autoregressive conditional root model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (9)

1996

  1. Trend-Stationarity in the I(2) Cointegration Model
    Discussion Papers, University of Copenhagen. Department of Economics
    See also Journal Article in Journal of Econometrics (1999)

Journal Articles

2014

  1. Multivariate variance targeting in the BEKK–GARCH model
    Econometrics Journal, 2014, 17, (1), 24-55 Downloads View citations (14)
    See also Working Paper (2012)

2013

  1. TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2013, 29, (06), 1238-1288 Downloads View citations (3)
    See also Working Paper (2010)

2012

  1. Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
    Econometrica, 2012, 80, (4), 1721-1740 Downloads View citations (17)

2011

  1. An I(2) cointegration model with piecewise linear trends
    Econometrics Journal, 2011, 14, (2), 131-155 View citations (2)
  2. Estimation and Asymptotic Inference in the AR-ARCH Model
    Econometric Reviews, 2011, 30, (2), 129-153 Downloads View citations (9)

2010

  1. COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2010, 26, (06), 1719-1760 Downloads View citations (28)
    See also Working Paper (2009)
  2. Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional
    Estudios de Economía Aplicada, 2010, 28, 519-552 Downloads
  3. Likelihood-based inference for cointegration with nonlinear error-correction
    Journal of Econometrics, 2010, 158, (1), 78-94 Downloads View citations (6)
  4. Testing for co-integration in vector autoregressions with non-stationary volatility
    Journal of Econometrics, 2010, 158, (1), 7-24 Downloads View citations (30)
    See also Working Paper (2008)

2009

  1. Asymptotics of the QMLE for Non-Linear ARCH Models
    Journal of Time Series Econometrics, 2009, 1, (1), 1-38 Downloads View citations (10)
  2. Poisson Autoregression
    Journal of the American Statistical Association, 2009, 104, (488), 1430-1439 Downloads View citations (34)
    See also Working Paper (2009)

2008

  1. Purchasing power parity: A nonlinear multivariate perspective
    Economics Bulletin, 2008, 6, (39), 1-6 Downloads View citations (1)
  2. The ACR Model: A Multivariate Dynamic Mixture Autoregression
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 Downloads View citations (16)
    See also Working Paper (2008)

2007

  1. ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS
    Econometric Theory, 2007, 23, (04), 761-766 Downloads View citations (11)
  2. THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
    Econometric Theory, 2007, 23, (04), 615-637 Downloads View citations (10)

2005

  1. ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
    Econometric Theory, 2005, 21, (05), 946-961 Downloads View citations (25)

2004

  1. ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
    Econometric Theory, 2004, 20, (06), 1203-1226 Downloads View citations (68)
  2. Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
    Econometrica, 2004, 72, (2), 641-646 Downloads View citations (26)
  3. Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions
    Statistical Inference for Stochastic Processes, 2004, 7, (2), 137-151 Downloads View citations (5)
  4. Vector equilibrium correction models with non-linear discontinuous adjustments
    Econometrics Journal, 2004, 7, (2), 628-651 Downloads View citations (27)

2000

  1. Similarity Issues in Cointegration Analysis
    Oxford Bulletin of Economics and Statistics, 2000, 62, (1), 5-22 Downloads View citations (38)

1999

  1. Cointegration rank inference with stationary regressors in VAR models
    Econometrics Journal, 1999, 2, (1), 76-91 View citations (58)
  2. Trend stationarity in the I(2) cointegration model
    Journal of Econometrics, 1999, 90, (2), 265-289 Downloads View citations (75)
    See also Working Paper (1996)
  3. Weak exogeneity in I(2) VAR systems
    Journal of Econometrics, 1999, 93, (2), 281-308 Downloads View citations (25)
 
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