Details about Anders Rahbek

Access statistics for papers by Anders Rahbek.

Last updated 2021-09-13. Update your information in the RePEc Author Service.

Short-id: pra434

Working Papers

2021

1. BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES
   Working Papers, University of Sydney, School of Economics
   Also in Papers, arXiv.org (2021)
   Discussion Papers, University of Copenhagen. Department of Economics (2021)
2. Bootstrapping Non-Stationary Stochastic Volatility
   Papers, arXiv.org View citations (4)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2019)
   See also Journal Article Bootstrapping non-stationary stochastic volatility, Journal of Econometrics, Elsevier (2021) View citations (4) (2021)
3. MinP Score Tests with an Inequality Constrained Parameter Space
   Papers, arXiv.org
4. Specification tests for GARCH processes
   Discussion Papers, University of Copenhagen. Department of Economics
   Also in Papers, arXiv.org (2021)

2020

5. AN INTRODUCTION TO BOOTSTRAP THEORY IN TIME SERIES ECONOMETRICS
   Discussion Papers, University of Copenhagen. Department of Economics View citations (2)

2019

6. A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS
   Discussion Papers, University of Copenhagen. Department of Economics
7. Dynamic Conditional Eigenvalue GARCH
   Discussion Papers, University of Copenhagen. Department of Economics View citations (1)
8. The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes
   Working Papers Series, Institute for New Economic Thinking View citations (4)
9. The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes
   Discussion Papers, University of Copenhagen. Department of Economics View citations (5)

2018

10. BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS
    Discussion Papers, University of Copenhagen. Department of Economics View citations (4)

2017

11. TESTING GARCH-X TYPE MODELS
    Discussion Papers, University of Copenhagen. Department of Economics
    See also Journal Article TESTING GARCH-X TYPE MODELS, Econometric Theory, Cambridge University Press (2019) View citations (9) (2019)
12. THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT
    Discussion Papers, University of Copenhagen. Department of Economics View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (1)
    Working Papers Series, Institute for New Economic Thinking (2017) View citations (1)

2016

13. Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (3)
    See also Journal Article DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER, Econometric Theory, Cambridge University Press (2018) View citations (12) (2018)
14. On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
    Quaderni di Dipartimento, Department of Statistics, University of Bologna
    See also Journal Article On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (12) (2017)

2015

15. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), Journal of Empirical Finance, Elsevier (2016) View citations (35) (2016)
16. Nonstationary ARCH and GARCH with t-Distributed Innovations
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)

2013

17. A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna
    See also Journal Article A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) View citations (8) (2015)
18. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
    Discussion Papers, University of Copenhagen. Department of Economics View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (4)
    See also Journal Article Inference on co-integration parameters in heteroskedastic vector autoregressions, Journal of Econometrics, Elsevier (2016) View citations (23) (2016)

2012

19. Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (16)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) View citations (20)
    See also Journal Article Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models, Econometric Reviews, Taylor & Francis Journals (2014) View citations (19) (2014)
20. Multivariate Variance Targeting in the BEKK-GARCH Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) View citations (1)
    See also Journal Article Multivariate variance targeting in the BEKK–GARCH model, Econometrics Journal, Royal Economic Society (2014) View citations (41) (2014)
21. Unit Root Vector Autoregression with volatility Induced Stationarity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012)
    See also Journal Article Unit root vector autoregression with volatility induced stationarity, Journal of Empirical Finance, Elsevier (2014) View citations (17) (2014)

2011

22. Bootstrap determination of the co-integration rank in VAR models
    Quaderni di Dipartimento, Department of Statistics, University of Bologna View citations (8)

2010

23. Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (4)
24. Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (3)
    See also Journal Article TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS, Econometric Theory, Cambridge University Press (2013) View citations (11) (2013)

2009

25. An I(2) Cointegration Model With Piecewise Linear Trends: Likelihood Analysis And Application
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009)
26. Co-integration Rank Testing under Conditional Heteroskedasticity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (11)
    See also Journal Article COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY, Econometric Theory, Cambridge University Press (2010) View citations (46) (2010)
27. Co-integration rank tests under conditional heteroskedasticity
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics
28. Poisson Autoregression
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (124)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2008)
    See also Journal Article Poisson Autoregression, Journal of the American Statistical Association, American Statistical Association (2009) View citations (121) (2009)

2008

29. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
    Discussion Papers, University of Copenhagen. Department of Economics View citations (17)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (13)
    Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007) View citations (7)
    See also Journal Article Testing for co-integration in vector autoregressions with non-stationary volatility, Journal of Econometrics, Elsevier (2010) View citations (50) (2010)
30. The ACR model: a multivariate dynamic mixture autoregression
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations (33)
    See also Journal Article The ACR Model: A Multivariate Dynamic Mixture Autoregression*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2008) View citations (32) (2008)

2007

31. Likelihood-Based Inference in Nonlinear Error-Correction Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2005

32. The Autoregressive Conditional Root (ACR) Model
    Working Papers, Center for Research in Economics and Statistics View citations (4)

2003

33. Likelihood Ratio Testing for Cointegration Ranks in I(2) Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (3)

2002

34. Autoregressive conditional root model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (13)

1996

35. Trend-Stationarity in the I(2) Cointegration Model
    Discussion Papers, University of Copenhagen. Department of Economics
    See also Journal Article Trend stationarity in the I(2) cointegration model, Journal of Econometrics, Elsevier (1999) View citations (92) (1999)

Journal Articles

2021

1. Bootstrapping non-stationary stochastic volatility
   Journal of Econometrics, 2021, 224, (1), 161-180 View citations (4)
   See also Working Paper Bootstrapping Non-Stationary Stochastic Volatility, Papers (2021) View citations (4) (2021)

2020

2. Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
   Journal of Business & Economic Statistics, 2020, 38, (1), 55-67 View citations (14)

2019

3. TESTING GARCH-X TYPE MODELS
   Econometric Theory, 2019, 35, (5), 1012-1047 View citations (9)
   See also Working Paper TESTING GARCH-X TYPE MODELS, Discussion Papers (2017) (2017)

2018

4. DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
   Econometric Theory, 2018, 34, (2), 349-382 View citations (12)
   See also Working Paper Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order, Essex Finance Centre Working Papers (2016) View citations (3) (2016)
5. The Fixed Volatility Bootstrap for a Class of Arch(q) Models
   Journal of Time Series Analysis, 2018, 39, (6), 920-941 View citations (13)

2017

6. On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
   Journal of Time Series Analysis, 2017, 38, (4), 513-534 View citations (12)
   See also Working Paper On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space, Quaderni di Dipartimento (2016) (2016)

2016

7. Inference on co-integration parameters in heteroskedastic vector autoregressions
   Journal of Econometrics, 2016, 192, (1), 64-85 View citations (23)
   See also Working Paper Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions, Discussion Papers (2013) View citations (2) (2013)
8. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
   Journal of Empirical Finance, 2016, 38, (PB), 640-663 View citations (35)
   See also Working Paper Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), CREATES Research Papers (2015) View citations (1) (2015)
9. Nonstationary GARCH with t-distributed innovations
   Economics Letters, 2016, 138, (C), 19-21 View citations (16)

2015

10. A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models
    Oxford Bulletin of Economics and Statistics, 2015, 77, (1), 106-128 View citations (8)
    See also Working Paper A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models, Quaderni di Dipartimento (2013) (2013)
11. Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models
    Econometrica, 2015, 83, 813-831 View citations (23)
12. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 352-376 View citations (1)
    Also in Journal of Time Series Analysis, 2015, 36, (3), 290-314 (2015) View citations (1)

2014

13. Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
    Econometric Reviews, 2014, 33, (5-6), 606-650 View citations (19)
    See also Working Paper Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models, CREATES Research Papers (2012) View citations (16) (2012)
14. Multivariate variance targeting in the BEKK–GARCH model
    Econometrics Journal, 2014, 17, (1), 24-55 View citations (41)
    See also Working Paper Multivariate Variance Targeting in the BEKK-GARCH Model, CREATES Research Papers (2012) View citations (1) (2012)
15. Unit root vector autoregression with volatility induced stationarity
    Journal of Empirical Finance, 2014, 29, (C), 144-167 View citations (17)
    See also Working Paper Unit Root Vector Autoregression with volatility Induced Stationarity, CREATES Research Papers (2012) (2012)

2013

16. TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2013, 29, (6), 1238-1288 View citations (11)
    See also Working Paper Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models, Discussion Papers (2010) View citations (4) (2010)

2012

17. Bootstrap Determination of the Co‐Integration Rank in Vector Autoregressive Models
    Econometrica, 2012, 80, (4), 1721-1740 View citations (73)

2011

18. An I(2) cointegration model with piecewise linear trends
    Econometrics Journal, 2011, 14, (2), 131-155 View citations (8)
19. Estimation and Asymptotic Inference in the AR-ARCH Model
    Econometric Reviews, 2011, 30, (2), 129-153 View citations (21)

2010

20. COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2010, 26, (6), 1719-1760 View citations (46)
    See also Working Paper Co-integration Rank Testing under Conditional Heteroskedasticity, CREATES Research Papers (2009) View citations (11) (2009)
21. Likelihood-based inference for cointegration with nonlinear error-correction
    Journal of Econometrics, 2010, 158, (1), 78-94 View citations (17)
22. Testing for co-integration in vector autoregressions with non-stationary volatility
    Journal of Econometrics, 2010, 158, (1), 7-24 View citations (50)
    See also Working Paper Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility, Discussion Papers (2008) View citations (17) (2008)

2009

23. Asymptotics of the QMLE for Non-Linear ARCH Models
    Journal of Time Series Econometrics, 2009, 1, (1), 38 View citations (10)
24. Poisson Autoregression
    Journal of the American Statistical Association, 2009, 104, (488), 1430-1439 View citations (121)
    See also Working Paper Poisson Autoregression, CREATES Research Papers (2009) View citations (124) (2009)

2008

25. Purchasing power parity: A nonlinear multivariate perspective
    Economics Bulletin, 2008, 6, (39), 1-6 View citations (2)
26. The ACR Model: A Multivariate Dynamic Mixture Autoregression*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 View citations (32)
    See also Working Paper The ACR model: a multivariate dynamic mixture autoregression, THEMA Working Papers (2008) View citations (33) (2008)

2007

27. ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS
    Econometric Theory, 2007, 23, (4), 761-766 View citations (16)
28. THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
    Econometric Theory, 2007, 23, (4), 615-637 View citations (20)

2005

29. ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
    Econometric Theory, 2005, 21, (5), 946-961 View citations (35)

2004

30. ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
    Econometric Theory, 2004, 20, (6), 1203-1226 View citations (112)
31. Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
    Econometrica, 2004, 72, (2), 641-646 View citations (61)
32. Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions
    Statistical Inference for Stochastic Processes, 2004, 7, (2), 137-151 View citations (12)
33. Vector equilibrium correction models with non-linear discontinuous adjustments
    Econometrics Journal, 2004, 7, (2), 628-651 View citations (42)

2002

34. Approximate Conditional Unit Root Inference
    Journal of Time Series Analysis, 2002, 23, (1), 1-28 View citations (1)

2001

35. Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions
    Scandinavian Journal of Statistics, 2001, 28, (3), 455-470 View citations (9)

2000

36. Similarity Issues in Cointegration Analysis
    Oxford Bulletin of Economics and Statistics, 2000, 62, (1), 5-22 View citations (51)

1999

37. Cointegration rank inference with stationary regressors in VAR models
    Econometrics Journal, 1999, 2, (1), 76-91 View citations (77)
38. Trend stationarity in the I(2) cointegration model
    Journal of Econometrics, 1999, 90, (2), 265-289 View citations (92)
    See also Working Paper Trend-Stationarity in the I(2) Cointegration Model, Discussion Papers (1996) (1996)
39. Weak exogeneity in I(2) VAR systems
    Journal of Econometrics, 1999, 93, (2), 281-308 View citations (37)