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Analysis of co-explosive processes

Nielsen, Bent (contributor) - 2005

Persistent link: https://www.econbiz.de/10002844948

On the distribution of likelihood ratio test statistics for cointegration rank

Nielsen, Bent - In: Econometric reviews 23 (2004) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10001944637

Test for cointegration rank in general vector autoregressions

Nielsen, Bent - 2009

Persistent link: https://www.econbiz.de/10003881805

Inference in cointegration models : UK M1 revisited

Doornik, Jurgen A.; Hendry, David F.; Nielsen, Bent - In: Journal of economic surveys 12 (1998) 5, pp. 533-572

Persistent link: https://www.econbiz.de/10001400862

Nielsen, Bent; Rahbek, Anders - In: Oxford bulletin of economics and statistics 62 (2000) 1, pp. 5-22

Persistent link: https://www.econbiz.de/10001481785

Cointegration analysis in the presence of structural breaks in the deterministic trend

Johansen, Søren; Mosconi, Rocco; Nielsen, Bent - In: The econometrics journal 3 (2000) 2, pp. 216-249

Persistent link: https://www.econbiz.de/10001546189

Inference in cointegrating models : UK M1 revisited

Doornik, Jurgen A.; Hendry, David F.; Nielsen, Bent - In: Practical issues in cointegration analysis, (pp. 117-156). 1999

Persistent link: https://www.econbiz.de/10001550932

Short-run parameter changes in a cointegrated vector autoregressive model

Kurita, Takamitsu (contributor); Nielsen, Bent (contributor) - 2005

Persistent link: https://www.econbiz.de/10002639912

Identification and Forecasting in the Lee-Carter Model

Nielsen, Bent - 2010

We consider the identification problem for the model of Lee and Carter (1992). The parameters of this model are known only to be identified up to certain transformations. Forecasts from the model may therefore depend on the arbitrarily chosen identification scheme. A condition for invariant...

Persistent link: https://www.econbiz.de/10013135261

Testing for rational bubbles in a co-explosive vector autoregression

Engsted, Tom; Nielsen, Bent - 2010

Persistent link: https://www.econbiz.de/10008659876