Details about Bent Nielsen

Access statistics for papers by Bent Nielsen.

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

Short-id: pni75

Working Papers

2015

1. Causal transmission in reduced-form models
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)

2014

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

2013

7. Asymptotic analysis of the Forward Search
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) View citations (6)
   Discussion Papers, University of Copenhagen. Department of Economics (2013) View citations (6)
8. 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 View citations (1)
   See also Journal Article 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, Royal Statistical Society (2015) View citations (10) (2015)
9. The Geometric Chain-Ladder
   Economics Papers, Economics Group, Nuffield College, University of Oxford

2012

10. A Joint Chow Test for Structural Instability
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    See also Journal Article A Joint Chow Test for Structural Instability, Econometrics, MDPI (2015) View citations (6) (2015)

2011

11. Asymptotic theory for iterated one-step Huber-skip estimators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2011) View citations (5)

2010

12. 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 View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2010) View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (2)
13. Forecasting in an extended chain-ladder-type model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)
    See also Journal Article Forecasting in an Extended Chain‐Ladder‐Type Model, Journal of Risk & Insurance, The American Risk and Insurance Association (2011) View citations (10) (2011)
14. Testing for rational bubbles in a co-explosive vector autoregression
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2010)
    See also Journal Article Testing for rational bubbles in a coexplosive vector autoregression, Econometrics Journal, Royal Economic Society (2012) View citations (34) (2012)

2009

15. Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    See also Journal Article ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS, Econometric Theory, Cambridge University Press (2011) View citations (5) (2011)
16. Chain-Ladder as Maximum Likelihood Revisited
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (12)
17. Test for cointegration rank in general vector autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)
18. The role of income in money demand during hyper-inflation: the case of Yugoslavia
    Economics Papers, Economics Group, Nuffield College, University of Oxford

2008

19. An analysis of the indicator saturation estimator as a robust regression
    Discussion Papers, University of Copenhagen. Department of Economics View citations (20)
20. An analysis of the indicator saturation estimator as a robust regression estimator
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (4)
21. Forecasting with the age-period-cohort model and the extended chain-ladder model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (18)
    See also Journal Article Forecasting with the age-period-cohort model and the extended chain-ladder model, Biometrika, Biometrika Trust (2008) View citations (18) (2008)
22. On the Explosive Nature of Hyper-Inflation Data
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (7)
    See also Journal Article On the Explosive Nature of Hyper-Inflation Data, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2008) View citations (8) (2008)
23. Properties of Estimated Characteristic Roots
    Discussion Papers, University of Copenhagen. Department of Economics View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008)

2007

24. Convergence to Stochastic Integrals with Non-linear integrands
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)
25. Identification of the age-period-cohort model and the extended chain ladder model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)
    See also Journal Article Identification of the age-period-cohort model and the extended chain-ladder model, Biometrika, Biometrika Trust (2008) View citations (22) (2008)
26. The empirical process of autoregressive residuals
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)
    See also Journal Article The empirical process of autoregressive residuals, Econometrics Journal, Royal Economic Society (2009) View citations (27) (2009)

2005

27. Analysis of co-explosive processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (9)
    See also Journal Article ANALYSIS OF COEXPLOSIVE PROCESSES, Econometric Theory, Cambridge University Press (2010) View citations (23) (2010)
28. Short-Run Parameter Changes in a Cointegrated Vector Autoregressive Model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)

2004

29. 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 View citations (1)
    See also Journal Article Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression, Econometric Reviews, Taylor & Francis Journals (2007) View citations (1) (2007)
30. Two sided analysis of variance with a latent time series
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)

2003

31. Correlograms for non-stationary autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
    See also Journal Article Correlograms for non‐stationary autoregressions, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2006) View citations (4) (2006)
32. 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 Power of Tests for Unit Roots in the Presence of a Linear Trend*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2008) View citations (1) (2008)
33. Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
    See also Journal Article STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS, Econometric Theory, Cambridge University Press (2005) View citations (17) (2005)

2002

34. Measuring and forecasting financial variability using realised variance with and without a model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)

2001

35. Asymptotic properties of least squares statistics in general vector autoregressive models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
36. Order determination in general vector autoregressions
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (32)

2000

37. Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (378)
    See also Journal Article Cointegration analysis in the presence of structural breaks in the deterministic trend, Econometrics Journal, Royal Economic Society (2000) View citations (412) (2000)

1997

38. 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

39. 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 (9)

Undated

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

Journal Articles

2015

1. A Joint Chow Test for Structural Instability
   Econometrics, 2015, 3, (1), 1-31 View citations (6)
   See also Working Paper A Joint Chow Test for Structural Instability, Economics Papers (2012) (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 View citations (10)
   See also Working Paper Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality, Economics Papers (2013) View citations (1) (2013)

2013

3. Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator
   Econometrics, 2013, 1, (1), 1-18 View citations (15)

2012

4. Testing for rational bubbles in a coexplosive vector autoregression
   Econometrics Journal, 2012, 15, (2), 226-254 View citations (34)
   See also Working Paper Testing for rational bubbles in a co-explosive vector autoregression, CREATES Research Papers (2010) (2010)

2011

5. ASYMPTOTIC BEHAVIOR OF THE CUSUM OF SQUARES TEST UNDER STOCHASTIC AND DETERMINISTIC TIME TRENDS
   Econometric Theory, 2011, 27, (4), 913-927 View citations (5)
   See also Working Paper Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends, Economics Papers (2009) (2009)
6. Forecasting in an Extended Chain‐Ladder‐Type Model
   Journal of Risk & Insurance, 2011, 78, (2), 345-359 View citations (10)
   See also Working Paper Forecasting in an extended chain-ladder-type model, Economics Papers (2010) View citations (1) (2010)

2010

7. ANALYSIS OF COEXPLOSIVE PROCESSES
   Econometric Theory, 2010, 26, (3), 882-915 View citations (23)
   See also Working Paper Analysis of co-explosive processes, Economics Papers (2005) View citations (9) (2005)

2009

8. The empirical process of autoregressive residuals
   Econometrics Journal, 2009, 12, (2), 367-381 View citations (27)
   See also Working Paper The empirical process of autoregressive residuals, Economics Papers (2007) View citations (6) (2007)

2008

9. Forecasting with the age-period-cohort model and the extended chain-ladder model
   Biometrika, 2008, 95, (4), 987-991 View citations (18)
   See also Working Paper Forecasting with the age-period-cohort model and the extended chain-ladder model, Economics Papers (2008) View citations (18) (2008)
10. Identification of the age-period-cohort model and the extended chain-ladder model
    Biometrika, 2008, 95, (4), 979-986 View citations (22)
    See also Working Paper Identification of the age-period-cohort model and the extended chain ladder model, Economics Papers (2007) View citations (1) (2007)
11. On the Explosive Nature of Hyper-Inflation Data
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2008, 2, 1-29 View citations (8)
    See also Working Paper On the Explosive Nature of Hyper-Inflation Data, Economics Discussion Papers (2008) View citations (7) (2008)
12. Power of Tests for Unit Roots in the Presence of a Linear Trend*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 619-644 View citations (1)
    See also Working Paper Power of tests for unit roots in the presence of a linear trend, Economics Papers (2003) (2003)

2007

13. Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
    Econometric Reviews, 2007, 26, (5), 487-501 View citations (1)
    See also Working Paper Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression, Economics Papers (2004) View citations (1) (2004)

2006

14. Correlograms for non‐stationary autoregressions
    Journal of the Royal Statistical Society Series B, 2006, 68, (4), 707-720 View citations (4)
    See also Working Paper Correlograms for non-stationary autoregressions, Economics Papers (2003) View citations (2) (2003)

2005

15. STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
    Econometric Theory, 2005, 21, (3), 534-561 View citations (17)
    See also Working Paper Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms, Economics Papers (2003) View citations (2) (2003)

2004

16. On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
    Econometric Reviews, 2004, 23, (1), 1-23 View citations (14)

2003

17. Likelihood analysis of a first‐order autoregressive model with exponential innovations
    Journal of Time Series Analysis, 2003, 24, (3), 337-344 View citations (10)
18. The Influence of Var Dimensions on Estimator Biases: Comment
    Econometrica, 2003, 71, (1), 377-383 View citations (3)

2001

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

2000

20. Cointegration analysis in the presence of structural breaks in the deterministic trend
    Econometrics Journal, 2000, 3, (2), 216-249 View citations (412)
    See also Working Paper Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (378) (2000)
21. Similarity Issues in Cointegration Analysis
    Oxford Bulletin of Economics and Statistics, 2000, 62, (1), 5-22 View citations (51)

1998

22. Asymptotic Inference on Cointegrating Rank in Partial Systems
    Journal of Business & Economic Statistics, 1998, 16, (4), 388-99 View citations (233)
23. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-572 View citations (96)

1997

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

Chapters

2007

1. Preface to Econometric Modeling: A Likelihood Approach
   A chapter in Econometric Modeling: A Likelihood Approach, 2007 View citations (50)
2. The Bernoulli model, from Econometric Modeling: A Likelihood Approach
   A chapter in Econometric Modeling: A Likelihood Approach, 2007 View citations (38)