Heino Bohn Nielsen

Publikation

Publikationer pr. år 2001 2002 2003 2004 2007 2009 2020

• 17 Tidsskriftartikel
• 15 Working paper
• 1 Ph.d.-afhandling
• 1 Kommentar/debat

Publikationer pr. år

Publikationer pr. år

Søgeresultater

• 2020

  Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling

  Cavaliere, G., Nielsen, H. B. & Rahbek, A., 2 jan. 2020, I: Journal of Business and Economic Statistics. 13 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Bootstrap 100%
  • Autoregression 91%
  • Bubble 84%
  • Bootstrapping 82%
  • Innovation 57%
  5 Citationer (Scopus)
• 2019

  Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models

  Cavaliere, G., Nielsen, H. B., Pedersen, R. S. & Rahbek, A., 2019, (Accepteret/In press) I: Journal of Econometrics.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

• Estimation bias and bias correction in reduced rank autoregressions

  Nielsen, H. B., 16 mar. 2019, I: Econometric Reviews. 38, 3, s. 332-349 18 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Bias Correction 100%
  • Autoregression 69%
  • Maximum Likelihood Estimator 63%
  • Vector Autoregression 34%
  • Finite Sample Bias 27%
  1 Citationer (Scopus)
• 2018

  Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models

  Cavaliere, G., Nielsen, H. B., Pedersen, R. S. & Rahbek, A., 5 dec. 2018, 36 s. (SSRN: Social Science Research Network ).

  Publikation: Working paper › Forskning

  • Volatility 100%
  • Parameter Space 82%
  • Bootstrap 82%
  • Limiting Distribution 52%
  • Null hypothesis 50%
• 2017

  On the consistency of bootstrap testing for a parameter on the boundary of the parameter space

  Cavaliere, G., Nielsen, H. B. & Rahbek, A., jul. 2017, I: Journal of Time Series Analysis. 38, 4, s. 513–534

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Bootstrap 100%
  • Parameter Space 65%
  • Testing 58%
  • Conditional Heteroskedasticity 41%
  • Nonparametric Bootstrap 39%
  5 Citationer (Scopus)

  76 Downloads (Pure)
• 2016

  The Co-Integrated Vector Autoregression With Errors-In-Variables

  Nielsen, H. B., 7 feb. 2016, I: Econometric Reviews. 35, 2, s. 169-200

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Vector Autoregression 100%
  • Measurement Error 81%
  • Errors in Variables 72%
  • Autoregression 67%
  • Moving Average 58%
  4 Citationer (Scopus)
• 2015

  Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models

  Cavaliere, G., Nielsen, H. B. & Rahbek, A., 1 mar. 2015, I: Econometrica. 83, 2, s. 813-831

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Cointegration 100%
  • Bootstrap 81%
  • Bootstrap Test 81%
  • Vector Autoregressive Model 62%
  • Testing 48%
  16 Citationer (Scopus)
• 2014

  Unit Root Vector Autoregression with Volatility induced Stationarity

  Nielsen, H. B. & Rahbek, A., 1 dec. 2014, I: Journal of Empirical Finance. 29, s. 144-167

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Vector Autoregression 100%
  • Stationarity 56%
  • Unit Root 53%
  • Interest Rates 24%
  • Asymptotic Theory 22%
  13 Citationer (Scopus)
• 2012

  Unit root vector autoregression with volatility induced stationarity

  Rahbek, A. & Nielsen, H. B., 2012, Department of Economics, University of Copenhagen, 36 s.

  Publikation: Working paper › Forskning
• 2011

  An I(2) cointegration model with piecewise linear trends

  Kurita, T., Nielsen, H. B. & Rahbek, A., jul. 2011, I: Econometrics Journal. 14, 2, s. 131-155 25 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  7 Citationer (Scopus)
• 2009

  An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application

  Kurita, T., Nielsen, H. B. & Rahbek, A. C., 2009, Department of Economics, University of Copenhagen, 24 s.

  Publikation: Working paper › Forskning

  • Cointegration 100%
  • Vector Autoregression 36%
  • Likelihood Ratio Statistic 28%
  • Asymptotic Theory 25%
  • Limiting Distribution 24%
  2748 Downloads (Pure)

• Comment on "The long-run determinants of UK wages, 1860-2004"

  Nielsen, H. B., 2009, I: Journal of Macroeconomics. 31, 1, s. 29-34 6 s.

  Publikation: Bidrag til tidsskrift › Kommentar/debat › Forskning

  • Unemployment 100%
  • Wages 64%
  • Phillips Curve 55%
  • Empirical Evidence 46%
  • Inflation 33%

• Monetary Policy in the Greenspan Era: A Time Series Analysis of Rules vs. Discretion

  Christensen, A. M. & Nielsen, H. B., 2009, I: Oxford Bulletin of Economics and Statistics. 71, 1, s. 69-89 22 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Monetary Policy 100%
  • Time Series Analysis 85%
  • monetary policy 70%
  • Federal Funds Rate 68%
  • time series analysis 67%
  9 Citationer (Scopus)
• 2008

  Influential observations in cointegrated VAR models: Danish money demand 1973-2003

  Nielsen, H. B., 2008, I: Econometrics Journal. 11, 1, s. 39-57 19 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  4 Citationer (Scopus)

• Properties of Estimated Characteristic Roots

  Nielsen, B. & Nielsen, H. B., 2008, Department of Economics, University of Copenhagen, 13 s.

  Publikation: Working paper › Forskning

  • Autoregression 100%
  • Finite Sample Distribution 58%
  • Asymptotic Analysis 54%
  • Convergence Rate 50%
  • Autoregressive Process 50%
  1061 Downloads (Pure)
• 2007

  A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

  Nielsen, H. B., 2007, I: Economics Letters. 94, 3, s. 445-451

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Vector Autoregression 100%
  • Cointegration 90%
  • Eigenvalues 64%
  • Asymptotic Distribution 20%
  • Empirical Evidence 17%
  1 Citationer (Scopus)

• The likelihood ratio test for cointegration ranks in the I(2) model

  Nielsen, H. B. & Rahbek, A. C., 2007, I: Econometric Theory. 23, 4, s. 615-637

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Cointegration 100%
  • Likelihood Ratio Test 69%
  • Test Statistic 30%
  • Econometrics 23%
  • Asymptotic Distribution 22%
  21 Citationer (Scopus)

• UK money demand 1873-2001: a long-run time series analysis and event study

  Nielsen, H. B., 2007, I: Cliometrica. 1, 1, s. 45-61

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Time Series Analysis 100%
  • Money Demand 72%
  • Event Study 68%
  • Special Events 43%
  • Multivariate Cointegration 41%
  7 Citationer (Scopus)
• 2006

  Inflation adjustment in the open economy: an I(2) analysis of UK prices

  Nielsen, H. B. & Bowdler, C., 2006, I: Empirical Economics. 31, 3, s. 569-586

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • open economy 100%
  • Import Prices 83%
  • Inflation 82%
  • inflation 76%
  • Open Economy 70%
  5 Citationer (Scopus)
• 2005

  US Monetary Police 1988-2004: An Empirical Analysis

  Christensen, A. M. & Nielsen, H. B., 2005, Cph.: Department of Economics, University of Copenhagen, 20 s.

  Publikation: Working paper › Forskning

  268 Downloads (Pure)
• 2004

  Analysing I(2) systems by transformed vector autoregressions

  Kongsted, H. C. & Nielsen, H. B., 2004, I: Oxford Bulletin of Economics and Statistics. 66, 3, s. 379-397

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  12 Citationer (Scopus)

• Cointegration analysis in the presence of outliers

  Nielsen, H. B., 2004, I: Econometrics Journal. 7, 1, s. 249-271

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

• I(1) and I(2) Cointegration Analysis: Theory and Applications

  Nielsen, H. B., 2004, Cph.: Department of Economics, University of Copenhagen. 133 s. (Rød Serie; Nr. 98).

  Publikation: Bog/antologi/afhandling/rapport › Ph.d.-afhandling

• UK Money Demand 1873-2001:  a Cointegrated VAR Analysis with Additive Data Corrections

  Nielsen, H. B., 2004, Cph.: Department of Economics, University of Copenhagen, 20 s.

  Publikation: Working paper › Forskning

  208 Downloads (Pure)
• 2003

  Cointegration Analysis in the Presence of Outliers

  Nielsen, H. B., 2003, Cph.: Department of Economics, University of Copenhagen, 22 s.

  Publikation: Working paper › Forskning

  1011 Downloads (Pure)

• Has US Monetary Policy Followed the Taylor Rule? A Cointegration Analysis 1988-2002

  Christensen, A. M. & Nielsen, H. B., 2003, Kbh.: Danmarks Nationalbank, 18 s.

  Publikation: Working paper › Forskning

• Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices

  Nielsen, H. B. & Bowdler, C., 2003, Oxford, UK: Nuffield College, University of Oxford, 22 s.

  Publikation: Working paper › Forskning

• Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

  Nielsen, H. B. & Rahbek, A., 2003, nr. 11 udg., Københavns Universitet, s. 1-25.

  Publikation: Working paper › Forskning

• Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

  Nielsen, H. B. & Rahbek, A., 2003, Cph.: Department of Economics, University of Copenhagen, 25 s.

  Publikation: Working paper › Forskning

  230 Downloads (Pure)

• Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

  Nielsen, H. B. & Rahbek, A., 2003, Københavns Universitet, s. 1-22.

  Publikation: Working paper › Forskning
• 2002

  Analyzing I(2) Systems by Transformed Vector Autoregressions

  Kongsted, H. C. & Nielsen, H. B., 2002, Cph.: Department of Economics, University of Copenhagen, 20 s.

  Publikation: Working paper › Forskning

  436 Downloads (Pure)

• An I(2)Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports

  Nielsen, H. B., 2002, I: Oxford Bulletin of Economics and Statistics. 64, 5, s. 449-472

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  14 Citationer (Scopus)

• Robust Estimation of the Expected Inflation

  Nielsen, H. B. & Knudsen, D., 2002, Danmarks Nationalbank, 18 s.

  Publikation: Working paper › Forskning
• 2001

  An I(2) Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports

  Nielsen, H. B., 2001, Department of Economics, University of Copenhagen, 20 s.

  Publikation: Working paper › Forskning

  542 Downloads (Pure)