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~isPartOf:"CREATES research paper"
~isPartOf:"Economic modelling"
~person:"Nielsen, Morten Ørregaard"
~subject:"Estimation theory"
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Estimation theory
Time series analysis
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Zeitreihenanalyse
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Schätztheorie
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Cointegration
5
Estimation
5
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5
Schätzung
5
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deterministic trend
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nonstationarity
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cointegration
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Nielsen, Morten Ørregaard
Johansen, Søren
7
Teräsvirta, Timo
6
Kristensen, Dennis
4
Proietti, Tommaso
4
Taylor, Robert
4
Cavaliere, Giuseppe
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Kang, Jian
2
Kruse, Robinson
2
Kumar, Dilip
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Maheswaran, S.
2
Nielsen, Bent
2
Raïssi, Hamdi
2
Rossi, Eduardo
2
Seong, Dakyung
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Silvennoinen, Annastiina
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CREATES research paper
Economic modelling
Queen's Economics Department working paper
11
Econometric theory
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
CAE working paper
1
Discussion papers / Department of Economics, University of Copenhagen
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ECONIS (ZBW)
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Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
2
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189455
Saved in:
3
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
4
Truncated sum of squares estimation of fractional time series models with deterministic trends
Hualde, Javier
;
Nielsen, Morten Ørregaard
-
2020
Persistent link: https://www.econbiz.de/10012317784
Saved in:
5
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
6
To infinity and beyond : efficient computation of ARCH(∞) models
Nielsen, Morten Ørregaard
;
Noël, Antoine L.
-
2020
Persistent link: https://www.econbiz.de/10012318239
Saved in:
7
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2016
Persistent link: https://www.econbiz.de/10011624059
Saved in:
8
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
9
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard
-
2014
Persistent link: https://www.econbiz.de/10010413826
Saved in:
10
The role of initial values in nonstationary fractional time series models
Johansen, Søren
;
Nielsen, Morten Ørregaard
-
2012
Persistent link: https://www.econbiz.de/10009667400
Saved in:
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