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CREATES Research Papers

From Department of Economics and Business Economics, Aarhus University
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2020-04: Tree-based Synthetic Control Methods: Consequences of moving the US Embassy Downloads
Nicolaj N. Mühlbach
2020-03: Targeting predictors in random forest regression Downloads
Daniel Borup, Bent Jesper Christensen, Nicolaj N. Mühlbach and Mikkel S. Nielsen
2020-02: Risk Matters: Breaking Certainty Equivalence Downloads
Juan Parra-Alvarez, Hamza Polattimur and Olaf Posch
2020-01: Designing a sequential testing procedure for verifying global CO2 emissions Downloads
Mikkel Bennedsen
2019-23: Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings Downloads
Duván Humberto Cataño, Carlos Vladimir Rodríguez-Caballero and Daniel Peña
2019-22: The move towards riskier pensions: The importance of mortality Downloads
Anne G. Balter, Malene Kallestrup-Lamb and Jesper Rangvid
2019-21: Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors Downloads
Mikkel Bennedsen, Eric Hillebrand and Siem Jan Koopman
2019-20: Insight into Stagnating Life Expectancy: Analysing Cause of Death Patterns across Socio-economic Groups Downloads
Malene Kallestrup-Lamb, Søren Kjærgaard and Carsten P. T. Rosenskjold
2019-19: Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model Downloads
Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang
2019-18: Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model Downloads
Changli He, Jian Kang, Timo Teräsvirta and Shuhua Zhang
2019-17: Comprehensive Testing of Linearity against the Smooth Transition Autoregressive Model Downloads
Dakyung Seong, Jin Seo Cho and Timo Teräsvirta
2019-16: Comparing Tests for Identification of Bubbles Downloads
Kristoffer Pons Bertelsen
2019-15: Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood Downloads
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen
2019-14: The Economic Value of VIX ETPs Downloads
Kim Christensen, Charlotte Christiansen and Anders M. Posselt
2019-13: In search of a job: Forecasting employment growth using Google Trends Downloads
Daniel Borup and Erik Christian Montes Schütte
2019-12: Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals Downloads
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen
2019-11: Explaining Bond Return Predictability in an Estimated New Keynesian Model Downloads
Martin M. Andreasen
2019-10: Bond Risk Premiums at the Zero Lower Bound Downloads
Martin Møller Andreasen, Kasper Jørgensen and Andrew Meldrum
2019-09: Demand and Welfare Analysis in Discrete Choice Models with Social Interactions Downloads
Debopam Bhattacharya, Pascaline Dupas and Shin Kanaya
2019-08: Longevity forecasting by socio-economic groups using compositional data analysis Downloads
Søren Kjærgaard, Yunus Emre Ergemen, Marie-Pier Bergeron Boucher, Jim Oeppen and Malene Kallestrup-Lamb
2019-07: Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths Downloads
Søren Kjærgaard, Yunus Emre Ergemen, Malene Kallestrup-Lamb, Jim Oeppen and Rune Lindahl-Jacobsen
2019-06: The analysis of marked and weighted empirical processes of estimated residuals Downloads
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen
2019-05: Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors Downloads
Antoine Djogbenou, James MacKinnon and Morten Nielsen
2019-04: Assessing predictive accuracy in panel data models with long-range dependence Downloads
Daniel Borup, Bent Jesper Christensen and Yunus Emre Ergemen
2019-03: Estimating the Price Markup in the New Keynesian Model Downloads
Martin M. Andreasen and Mads Dang
2019-02: Resuscitating the co-fractional model of Granger (1986) Downloads
Federico Carlini and Paolo Santucci de Magistris
2019-01: Defining, measuring and ranking energy vulnerability Downloads
Andrea Gatto and Francesco Busato
2018-38: The dynamics of factor loadings in the cross-section of returns Downloads
Riccardo Borghi, Eric Hillebrand, Jakob Mikkelsen and Giovanni Urga
2018-37: Realizing Correlations Across Asset Classes Downloads
Niels S. Grønborg, Asger Lunde, Kasper V. Olesen and Harry Vander Elst
2018-36: Mutual Fund Selection for Realistically Short Samples Downloads
Charlotte Christiansen, Niels S. Grønborg and Ole L. Nielsen
2018-35: Economic significance of commodity return forecasts from the fractionally cointegrated VAR model Downloads
Sepideh Dolatabadi, Paresh Kumar Narayan, Morten Nielsen and Ke Xu
2018-34: Fast and Wild: Bootstrap Inference in Stata Using boottest Downloads
James MacKinnon, Morten Nielsen, David Roodman and Matthew Webb
2018-33: A multilevel factor approach for the analysis of CDS commonality and risk contribution Downloads
Carlos Vladimir Rodríguez-Caballero and Massimiliano Caporin
2018-32: A mixed-frequency Bayesian vector autoregression with a steady-state prior Downloads
Sebastian Ankargren, Måns Unosson and Yukai Yang
2018-31: Transition from the Taylor rule to the zero lower bound Downloads
Stan Hurn, Nicholas Johnson, Annastiina Silvennoinen and Timo Teräsvirta
2018-30: State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering Downloads
Yukai Yang and Luc Bauwens
2018-29: Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD Downloads
Isabel Casas, Jiti Gao and Shangyu Xie
2018-28: Edgeworth expansion for Euler approximation of continuous diffusion processes Downloads
Mark Podolskij, Bezirgen Veliyev and Nakahiro Yoshida
2018-27: Threshold regression with endogeneity for short panels Downloads
Tue Gørgens and Allan Würtz
2018-26: State-dependent Hawkes processes and their application to limit order book modelling Downloads
Maxime Morariu-Patrichi and Mikko Pakkanen
2018-25: In Search of a Job: Forecasting Employment Growth in the US using Google Trends Downloads
Erik Christian Montes Schütte
2018-24: Disappearing money illusion Downloads
Tom Engsted and Thomas Q. Pedersen
2018-23: Forecasters’ utility and forecast coherence Downloads
Emilio Zanetti Chini
2018-22: Time-varying parameters: New test tailored to applications in finance and macroeconomics Downloads
Russell Davidson and Niels S. Grønborg
2018-21: The drift burst hypothesis Downloads
Kim Christensen, Roel Oomen and Roberto Renò
2018-20: Diffusion Copulas: Identification and Estimation Downloads
Ruijun Bu, Kaddour Hadri and Dennis Kristensen
2018-19: The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing Downloads
Kim Christensen, Martin Thyrsgaard and Bezirgen Veliyev
2018-18: Cross-sectional noise reduction and more efficient estimation of Integrated Variance Downloads
Giorgio Mirone
2018-17: Nonstationary cointegration in the fractionally cointegrated VAR model Downloads
Soren Johansen and Morten Nielsen
2018-16: Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach Downloads
Ulrich Hounyo and Rasmus T. Varneskov
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