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subject:"Theory"
~person:"Nielsen, Morten Ørregaard"
~type_genre:"Article in journal"
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Search: subject_exact:"Kointegrationsanalyse"
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Cointegration
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Nielsen, Morten Ørregaard
Lütkepohl, Helmut
20
Saikkonen, Pentti
17
Phillips, Peter C. B.
16
Gil-Alaña, Luis A.
13
Johansen, Søren
13
Jusélius, Katarina
9
Rahbek, Anders
9
Banerjee, Anindya
8
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8
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8
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7
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7
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7
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7
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7
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6
Chiu, Mei Choi
6
Haldrup, Niels
6
Hecq, Alain W. J.
6
Hendry, David F.
6
Paruolo, Paolo
6
Pesaran, M. Hashem
6
Wagner, Martin
6
Bahmani-Oskooee, Mohsen
5
Breitung, Jörg
5
Cavaliere, Giuseppe
5
Chen, Shyh-Wei
5
Cubadda, Gianluca
5
Doornik, Jurgen A.
5
Franses, Philip Hans
5
Gabriel, Vasco J.
5
Hall, Stephen G.
5
MacDonald, Ronald
5
McAleer, Michael
5
Mármol, Francesc
5
Nielsen, Bent
5
Shin, Yongcheol
5
Swanson, Norman R.
5
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Journal of econometrics
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Energy economics
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
The journal of futures markets
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ECONIS (ZBW)
7
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1
Improved likelihood ratio tests for cointegration rank in the VAR model
Boswijk, Herman Peter
;
Jansson, Michael
;
Nielsen, …
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 97-110
Persistent link: https://www.econbiz.de/10011326813
Saved in:
2
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh
;
Nielsen, Morten Ørregaard
;
Xu, Ke
- In:
The journal of futures markets
35
(
2015
)
4
,
pp. 339-356
Persistent link: https://www.econbiz.de/10011348418
Saved in:
3
Numerical distribution functions of fractional unit root and cointegration tests
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
- In:
Journal of applied econometrics
29
(
2014
)
1
,
pp. 161-171
Persistent link: https://www.econbiz.de/10010414227
Saved in:
4
Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren
;
Nielsen, Morten Ørregaard
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
6
,
pp. 2667-2732
Persistent link: https://www.econbiz.de/10009689454
Saved in:
5
A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels
;
Nielsen, Frank S.
;
Nielsen, Morten …
- In:
Energy economics
32
(
2010
)
5
,
pp. 1044-1058
Persistent link: https://www.econbiz.de/10008934329
Saved in:
6
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
Saved in:
7
Optimal residual-based tests for fractional cointegration and exchange rate dynamics
Nielsen, Morten Ørregaard
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10002135512
Saved in:
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