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Details about Bent Nielsen

Homepage:http://www.nuff.ox.ac.uk/users/nielsen
Workplace:Economics Group, Nuffield College, Department of Economics, Oxford University, (more information at EDIRC)
Department of Economics, Oxford University, (more information at EDIRC)

Access statistics for papers by Bent Nielsen.

Last updated 2015-09-22. Update your information in the RePEc Author Service.

Short-id: pni75


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Working Papers

2015

  1. Causal transmission in reduced-form models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads

2014

  1. Asymptotic theory for cointegration analysis when the cointegration rank is deficient
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  2. Deviance analysis of age-period-cohort models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  3. Optimal hedging with the cointegrated vector autoregressive model
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
  4. Outlier detection algorithms for least squares time series regression
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads
  5. apc: A Package for Age-Period-Cohort Analysis
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads

2013

  1. Asymptotic analysis of the Forward Search
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2013) Downloads
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads
  2. Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
    See also Journal Article in Journal of the Royal Statistical Society Series A (2015)
  3. The Geometric Chain-Ladder
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads

2012

  1. A Joint Chow Test for Structural Instability
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    See also Journal Article in Econometrics (2015)

2011

  1. Asymptotic theory for iterated one-step Huber-skip estimators
    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 (2011) Downloads View citations (1)

2010

  1. Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2010) Downloads View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (2)
  2. Forecasting in an extended chain-ladder-type model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    See also Journal Article in Journal of Risk & Insurance (2011)
  3. Testing for rational bubbles in a co-explosive vector autoregression
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2010) Downloads

    See also Journal Article in Econometrics Journal (2012)

2009

  1. Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    See also Journal Article in Econometric Theory (2011)
  2. Chain-Ladder as Maximum Likelihood Revisited
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
  3. Test for cointegration rank in general vector autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (4)
  4. The role of income in money demand during hyper-inflation: the case of Yugoslavia
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads

2008

  1. An analysis of the indicator saturation estimator as a robust regression
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (16)
  2. An analysis of the indicator saturation estimator as a robust regression estimator
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (4)
  3. Forecasting with the age-period-cohort model and the extended chain-ladder model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (7)
    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 (IfW) Downloads View citations (2)
    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 Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads

2007

  1. Convergence to Stochastic Integrals with Non-linear integrands
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
  2. Identification of the age-period-cohort model and the extended chain ladder model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
    See also Journal Article in Biometrika (2008)
  3. The empirical process of autoregressive residuals
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
    See also Journal Article in Econometrics Journal (2009)

2005

  1. Analysis of co-explosive processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
    See also Journal Article in Econometric Theory (2010)
  2. Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)

2004

  1. 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 Downloads
    See also Journal Article in Econometric Reviews (2007)
  2. Two sided analysis of variance with a latent time series
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)

2003

  1. Correlograms for non-stationary autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2006)
  2. Power of tests for unit roots in the presence of a linear trend
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)
  3. Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    See also Journal Article in Econometric Theory (2005)

2002

  1. Measuring and forecasting financial variability using realised variance with and without a model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)

2001

  1. Asymptotic properties of least squares statistics in general vector autoregressive models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  2. Order determination in general vector autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (21)

2000

  1. Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (212)
    See also Journal Article in Econometrics Journal (2000)

1997

  1. 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 Downloads

1995

  1. 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) Downloads View citations (9)

Undated

  1. On the distribution of tests of cointegration rank
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
  2. Significance test in bivariate canonical correlation analysis
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads

Journal Articles

2015

  1. A Joint Chow Test for Structural Instability
    Econometrics, 2015, 3, (1), 1-31 Downloads View citations (2)
    See also Working Paper (2012)
  2. Inference and forecasting in the age–period–cohort model with unknown exposure with an application to mesothelioma mortality
    Journal of the Royal Statistical Society Series A, 2015, 178, (1), 29-55 Downloads View citations (1)
    See also Working Paper (2013)

2013

  1. Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator
    Econometrics, 2013, 1, (1), 1-18 Downloads View citations (8)

2012

  1. Testing for rational bubbles in a coexplosive vector autoregression
    Econometrics Journal, 2012, 15, (2), 226-254 View citations (13)
    See also Working Paper (2010)

2011

  1. ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS
    Econometric Theory, 2011, 27, (04), 913-927 Downloads View citations (4)
    See also Working Paper (2009)
  2. Forecasting in an Extended Chain‐Ladder‐Type Model
    Journal of Risk & Insurance, 2011, 78, (2), 345-359 View citations (5)
    See also Working Paper (2010)

2010

  1. ANALYSIS OF COEXPLOSIVE PROCESSES
    Econometric Theory, 2010, 26, (03), 882-915 Downloads View citations (10)
    See also Working Paper (2005)

2009

  1. The empirical process of autoregressive residuals
    Econometrics Journal, 2009, 12, (2), 367-381 Downloads View citations (11)
    See also Working Paper (2007)

2008

  1. Forecasting with the age-period-cohort model and the extended chain-ladder model
    Biometrika, 2008, 95, (4), 987-991 Downloads View citations (7)
    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 Downloads View citations (6)
    See also Working Paper (2007)
  3. On the Explosive Nature of Hyper-Inflation Data
    Economics - The Open-Access, Open-Assessment E-Journal, 2008, 2, 1-29 Downloads View citations (3)
    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 Downloads
    See also Working Paper (2003)

2007

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

2006

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

2005

  1. STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
    Econometric Theory, 2005, 21, (03), 534-561 Downloads View citations (8)
    See also Working Paper (2003)

2004

  1. On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
    Econometric Reviews, 2004, 23, (1), 1-23 Downloads View citations (10)

2003

  1. Likelihood analysis of a first-order autoregressive model with exponential innovations
    Journal of Time Series Analysis, 2003, 24, (3), 337-344 Downloads View citations (7)
  2. The Influence of Var Dimensions on Estimator Biases: Comment
    Econometrica, 2003, 71, (1), 377-383 Downloads View citations (1)

2001

  1. The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes
    Econometrica, 2001, 69, (1), 211-19 View citations (11)

2000

  1. Cointegration analysis in the presence of structural breaks in the deterministic trend
    Econometrics Journal, 2000, 3, (2), 216-249 Downloads View citations (233)
    See also Working Paper (2000)
  2. Similarity Issues in Cointegration Analysis
    Oxford Bulletin of Economics and Statistics, 2000, 62, (1), 5-22 Downloads View citations (38)

1998

  1. Asymptotic Inference on Cointegrating Rank in Partial Systems
    Journal of Business & Economic Statistics, 1998, 16, (4), 388-99 View citations (163)
  2. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-72 Downloads View citations (123)
    Also in Journal of Economic Surveys, 1998, 12, (5), 533-572 (1998) Downloads View citations (39)

1997

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

Chapters

2007

  1. Preface to Econometric Modeling: A Likelihood Approach
    A chapter in Econometric Modeling: A Likelihood Approach, 2007 Downloads View citations (22)
  2. The Bernoulli model, from Econometric Modeling: A Likelihood Approach
    A chapter in Econometric Modeling: A Likelihood Approach, 2007 Downloads View citations (12)
 
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