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Details about Niels Haldrup

E-mail:
Homepage:http://www.econ.au.dk/vip_htm/nhaldrup/Homepage/homepage.html
Phone:+45 8942 1613
Postal address:CREATES, Department of Economics and Business University of Aarhus Fuglesangs Alle 4 DK-8210 Aarhus V Denmark
Workplace: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 Niels Haldrup.

Last updated 2017-03-12. Update your information in the RePEc Author Service.

Short-id: pha155


Jump to Journal Articles Edited books Chapters

Working Papers

2016

  1. A generalized exponential time series regression model for electricity prices
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2015

  1. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Energy Economics (2016)
  2. Long Memory, Fractional Integration, and Cross-Sectional Aggregation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  3. Space-time modeling of electricity spot prices
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2014

  1. Deterministic and stochastic trends in the Lee-Carter mortality model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  2. Discriminating between fractional integration and spurious long memory
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)

2012

  1. Unit roots, nonlinearities and structural breaks
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    See also Chapter (2013)

2009

  1. A vector autoregressive model for electricity prices subject to long memory and regime switching
    Working Papers, Queen's University, Department of Economics Downloads View citations (20)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (1)

    See also Journal Article in Energy Economics (2010)
  2. Detection of additive outliers in seasonal time series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Time Series Econometrics (2011)

2006

  1. A Gaussian IV estimator of cointegrating relations
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  2. A Note on the Vogelsang Test for Additive Outliers
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Statistics & Probability Letters (2008)

2005

  1. Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
  2. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2006)
  3. Improving Size and Power in Unit Root Testing
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  4. Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon
    Working Papers, Centre for Competition Policy, University of East Anglia Downloads View citations (1)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University (2005) Downloads
  5. Sequential versus simultaneous market
    Working Papers, Copenhagen Business School, Department of Economics Downloads
  6. Testing for Additive Outliers in Seasonally Integrated Time Series
    DEA Working Papers, Universitat de les Illes Balears, Departament d'Economía Aplicada Downloads View citations (2)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University (2004) Downloads

2004

  1. A Regime Switching Long Memory Model for Electricity Prices
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (13)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Long-Run Forecasting in Multicointegrated Systems
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (4)
    Also in Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2002) Downloads View citations (1)
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)

    See also Journal Article in Journal of Forecasting (2004)

2000

  1. Local Power Functions of Tests for Double Unit Roots
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads

    See also Journal Article in Statistica Neerlandica (2005)
  2. Measurement Errors and Outliers in Seasonal Unit Root Testing
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (2)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2005)
  3. On the Robustness of Unit Root Tests in the Presence of Double Unit Roots
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (13)
  4. Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) Downloads

1996

  1. Multicointegration and present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

Undated

  1. Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (11)
  2. Estimation of Fractional Integration in the Presence of Data Noise
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (7)
    See also Journal Article in Computational Statistics & Data Analysis (2007)

Journal Articles

2016

  1. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads
    Energy Economics, 2016, 60, (C), 79-96 Downloads
    See also Working Paper (2015)

2011

  1. Detection of Additive Outliers in Seasonal Time Series
    Journal of Time Series Econometrics, 2011, 3, (2), 1-20 Downloads View citations (1)
    See also Working Paper (2009)
  2. Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
    Journal of Time Series Econometrics, 2011, 3, (1), 1-8 Downloads

2010

  1. A vector autoregressive model for electricity prices subject to long memory and regime switching
    Energy Economics, 2010, 32, (5), 1044-1058 Downloads View citations (32)
    See also Working Paper (2009)
  2. Separation in Cointegrated Systems
    Journal of Financial Econometrics, 2010, 8, (2), 177-180 Downloads View citations (2)

2008

  1. A note on the Vogelsang test for additive outliers
    Statistics & Probability Letters, 2008, 78, (3), 296-300 Downloads View citations (6)
    See also Working Paper (2006)

2007

  1. Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
    Journal of Business & Economic Statistics, 2007, 25, 21-32 Downloads View citations (5)
    See also Working Paper (2005)
  2. Estimation of fractional integration in the presence of data noise
    Computational Statistics & Data Analysis, 2007, 51, (6), 3100-3114 Downloads View citations (27)
    See also Working Paper

2006

  1. A regime switching long memory model for electricity prices
    Journal of Econometrics, 2006, 135, (1-2), 349-376 Downloads View citations (80)
    See also Working Paper (2004)
  2. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 1-24 Downloads View citations (50)
    See also Working Paper (2005)

2005

  1. Local power functions of tests for double unit roots
    Statistica Neerlandica, 2005, 59, (2), 159-179 Downloads View citations (6)
    See also Working Paper (2000)
  2. Measurement errors and outliers in seasonal unit root testing
    Journal of Econometrics, 2005, 127, (1), 103-128 Downloads View citations (12)
    See also Working Paper (2000)

2004

  1. Long-run forecasting in multicointegrated systems
    Journal of Forecasting, 2004, 23, (5), 315-335 Downloads View citations (4)
    See also Working Paper (2003)

2003

  1. Guest Editors' Introduction: Model Selection and Evaluation in Econometrics
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 681-688 Downloads

2002

  1. REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES
    Econometric Theory, 2002, 18, (06), 1309-1335 Downloads View citations (9)

2000

  1. Labour market implications of EU product market integration
    Economic Policy, 2000, 15, (30), 105-134 Downloads View citations (35)

1999

  1. Estimating the LQAC Model with I(2) Variables
    Journal of Applied Econometrics, 1999, 14, (2), 155-70 Downloads View citations (11)
  2. Multicointegration in Stock-Flow Models
    Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 237-54 Downloads View citations (21)

1998

  1. Representations of I(2) cointegrated systems using the Smith-McMillan form
    Journal of Econometrics, 1998, 84, (2), 303-325 Downloads View citations (6)

1997

  1. Money demand, adjustment costs, and forward-looking behavior
    Journal of Policy Modeling, 1997, 19, (2), 153-173 Downloads View citations (4)
  2. Multiple unit roots in periodic autoregression
    Journal of Econometrics, 1997, 80, (1), 167-193 Downloads View citations (9)
  3. Separation in Cointegrated Systems and Persistent-Transitory Decompositions
    Oxford Bulletin of Economics and Statistics, 1997, 59, (4), 449-63 View citations (18)
  4. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 Downloads View citations (28)

1996

  1. Mirror image distributions and the Dickey-Fuller regression with a maintained trend
    Journal of Econometrics, 1996, 72, (1-2), 301-312 Downloads View citations (3)

1995

  1. A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
    Economics Letters, 1995, 48, (3-4), 221-228 Downloads View citations (13)

1994

  1. Semiparametric Tests for Double Unit Roots
    Journal of Business & Economic Statistics, 1994, 12, (1), 109-22 View citations (11)
  2. The Effects of Additive Outliers on Tests for Unit Roots and Cointegration
    Journal of Business & Economic Statistics, 1994, 12, (4), 471-78 View citations (115)
  3. The Linear Quadratic Adjustment Cost Model and the Demand for Labour
    Journal of Applied Econometrics, 1994, 9, (S), S145-59 Downloads View citations (13)
  4. The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables
    Journal of Econometrics, 1994, 63, (1), 153-181 Downloads View citations (50)

Edited books

2014

  1. Essays in Nonlinear Time Series Econometrics
    OUP Catalogue, Oxford University Press View citations (1)

Chapters

2013

  1. Unit roots, non-linearities and structural breaks
    Chapter 4 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 61-94 Downloads View citations (1)
    See also Working Paper (2012)
 
Page updated 2017-10-23