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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 Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Anders Rahbek.

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

Short-id: pra434


Jump to Journal Articles

Working Papers

2021

  1. BOOTSTRAP INFERENCE FOR HAWKES AND GENERAL POINT PROCESSES
    Working Papers, University of Sydney, School of Economics Downloads
    Also in Papers, arXiv.org (2021) Downloads
    Discussion Papers, University of Copenhagen. Department of Economics (2021) Downloads
  2. Bootstrapping Non-Stationary Stochastic Volatility
    Papers, arXiv.org Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2019) Downloads

    See also Journal Article in Journal of Econometrics (2021)
  3. MinP Score Tests with an Inequality Constrained Parameter Space
    Papers, arXiv.org Downloads
  4. Specification tests for GARCH processes
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in Papers, arXiv.org (2021) Downloads

2020

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

2019

  1. 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 Downloads
  2. Dynamic Conditional Eigenvalue GARCH
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
  3. The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes
    Working Papers Series, Institute for New Economic Thinking Downloads
  4. The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (1)

2018

  1. BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (3)

2017

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

2016

  1. Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (2)
    See also Journal Article in Econometric Theory (2018)
  2. 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 Downloads
    See also Journal Article in Journal of Time Series Analysis (2017)

2015

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

2013

  1. 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 Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2015)
  2. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2013) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2016)

2012

  1. Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (20)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (16)

    See also Journal Article in Econometric Reviews (2014)
  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

    See also Journal Article in Journal of Empirical Finance (2014)

2011

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

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 (11)
    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 (76)
    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 (17)
    Also in Discussion Papers, University of Nottingham, Granger Centre for Time Series Econometrics (2007) Downloads View citations (7)
    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 (25)
    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, Center for Research in Economics and Statistics 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 (3)

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

2021

  1. Bootstrapping non-stationary stochastic volatility
    Journal of Econometrics, 2021, 224, (1), 161-180 Downloads
    See also Working Paper (2021)

2020

  1. Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
    Journal of Business & Economic Statistics, 2020, 38, (1), 55-67 Downloads View citations (6)

2019

  1. TESTING GARCH-X TYPE MODELS
    Econometric Theory, 2019, 35, (5), 1012-1047 Downloads View citations (2)
    See also Working Paper (2017)

2018

  1. DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER
    Econometric Theory, 2018, 34, (2), 349-382 Downloads View citations (1)
    See also Working Paper (2016)
  2. The Fixed Volatility Bootstrap for a Class of Arch(q) Models
    Journal of Time Series Analysis, 2018, 39, (6), 920-941 Downloads View citations (8)

2017

  1. 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 Downloads View citations (4)
    See also Working Paper (2016)

2016

  1. Inference on co-integration parameters in heteroskedastic vector autoregressions
    Journal of Econometrics, 2016, 192, (1), 64-85 Downloads View citations (15)
    See also Working Paper (2013)
  2. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    Journal of Empirical Finance, 2016, 38, (PB), 640-663 Downloads View citations (15)
    See also Working Paper (2015)
  3. Nonstationary GARCH with t-distributed innovations
    Economics Letters, 2016, 138, (C), 19-21 Downloads View citations (13)

2015

  1. 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 Downloads
    See also Working Paper (2013)
  2. Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models
    Econometrica, 2015, 83, 813-831 Downloads View citations (14)
  3. Recent developments in bootstrap methods for dependent data
    Journal of Time Series Analysis, 2015, 36, (3), 352-376 Downloads
    Also in Journal of Time Series Analysis, 2015, 36, (3), 290-314 (2015) Downloads

2014

  1. Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
    Econometric Reviews, 2014, 33, (5-6), 606-650 Downloads View citations (17)
    See also Working Paper (2012)
  2. Multivariate variance targeting in the BEKK–GARCH model
    Econometrics Journal, 2014, 17, (1), 24-55 Downloads View citations (33)
    See also Working Paper (2012)
  3. Unit root vector autoregression with volatility induced stationarity
    Journal of Empirical Finance, 2014, 29, (C), 144-167 Downloads View citations (11)
    See also Working Paper (2012)

2013

  1. TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2013, 29, (6), 1238-1288 Downloads View citations (7)
    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 (50)

2011

  1. An I(2) cointegration model with piecewise linear trends
    Econometrics Journal, 2011, 14, (2), 131-155 View citations (7)
  2. Estimation and Asymptotic Inference in the AR-ARCH Model
    Econometric Reviews, 2011, 30, (2), 129-153 Downloads View citations (18)

2010

  1. COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
    Econometric Theory, 2010, 26, (6), 1719-1760 Downloads View citations (43)
    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 Economia 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 (8)
  4. Testing for co-integration in vector autoregressions with non-stationary volatility
    Journal of Econometrics, 2010, 158, (1), 7-24 Downloads View citations (42)
    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 (76)
    See also Working Paper (2009)

2008

  1. Purchasing power parity: A nonlinear multivariate perspective
    Economics Bulletin, 2008, 6, (39), 1-6 Downloads View citations (2)
  2. The ACR Model: A Multivariate Dynamic Mixture Autoregression*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 Downloads View citations (23)
    See also Working Paper (2008)

2007

  1. ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS
    Econometric Theory, 2007, 23, (4), 761-766 Downloads View citations (12)
  2. THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
    Econometric Theory, 2007, 23, (4), 615-637 Downloads View citations (19)

2005

  1. ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
    Econometric Theory, 2005, 21, (5), 946-961 Downloads View citations (32)

2004

  1. ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
    Econometric Theory, 2004, 20, (6), 1203-1226 Downloads View citations (83)
  2. Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
    Econometrica, 2004, 72, (2), 641-646 Downloads View citations (47)
  3. Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions
    Statistical Inference for Stochastic Processes, 2004, 7, (2), 137-151 Downloads View citations (7)
  4. Vector equilibrium correction models with non-linear discontinuous adjustments
    Econometrics Journal, 2004, 7, (2), 628-651 View citations (34)

2002

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

2001

  1. Asymptotic Likelihood Based Inference for Co‐integrated Homogenous Gaussian Diffusions
    Scandinavian Journal of Statistics, 2001, 28, (3), 455-470 Downloads View citations (6)

2000

  1. Similarity Issues in Cointegration Analysis
    Oxford Bulletin of Economics and Statistics, 2000, 62, (1), 5-22 Downloads View citations (47)

1999

  1. Cointegration rank inference with stationary regressors in VAR models
    Econometrics Journal, 1999, 2, (1), 76-91 View citations (71)
  2. Trend stationarity in the I(2) cointegration model
    Journal of Econometrics, 1999, 90, (2), 265-289 Downloads View citations (91)
    See also Working Paper (1996)
  3. Weak exogeneity in I(2) VAR systems
    Journal of Econometrics, 1999, 93, (2), 281-308 Downloads View citations (35)
 
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