Details about Morten Ørregaard Nielsen
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Short-id: pni42
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Working Papers
2024
- Cluster-Robust Jackknife and Bootstrap Inference for Binary Response Models
Working Paper, Economics Department, Queen's University 
Also in Papers, arXiv.org (2024)
- Inference on common trends in functional time series
Papers, arXiv.org
- Jackknife Inference with Two-Way Clustering
Working Paper, Economics Department, Queen's University
Also in Papers, arXiv.org (2024)
- The Global Carbon Budget as a cointegrated system
Papers, arXiv.org
2023
- Bootstrap inference in the presence of bias
Papers, arXiv.org View citations (2)
- Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference
Papers, arXiv.org View citations (5)
Also in Working Paper, Economics Department, Queen's University (2022) View citations (5)
See also Journal Article Fast and reliable jackknife and bootstrap methods for cluster‐robust inference, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) View citations (3) (2023)
- Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust
Papers, arXiv.org View citations (6)
Also in Working Paper, Economics Department, Queen's University (2022) View citations (8)
See also Journal Article Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust, Stata Journal, StataCorp LP (2023) View citations (1) (2023)
- Testing for the appropriate level of clustering in linear regression models
Papers, arXiv.org View citations (2)
Also in Working Paper, Economics Department, Queen's University (2022) View citations (6)
See also Journal Article Testing for the appropriate level of clustering in linear regression models, Journal of Econometrics, Elsevier (2023) (2023)
2022
- Cluster-Robust Inference: A Guide to Empirical Practice
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (21)
Also in Working Paper, Economics Department, Queen's University (2022) View citations (23)
Economics Virtual Symposium 2021, Stata Users Group (2021) View citations (1)
Papers, arXiv.org (2022) View citations (18)
See also Journal Article Cluster-robust inference: A guide to empirical practice, Journal of Econometrics, Elsevier (2023) View citations (44) (2023)
- Fractional integration and cointegration
Papers, arXiv.org View citations (1)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2022) View citations (1)
- Inference on the dimension of the nonstationary subspace in functional time series
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Also in Working Paper, Economics Department, Queen's University (2020) View citations (1)
See also Journal Article INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES, Econometric Theory, Cambridge University Press (2023) View citations (1) (2023)
- Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order
Working Paper, Economics Department, Queen's University
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
Working Paper, Economics Department, Queen's University View citations (3)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2022) View citations (2)
- Weak convergence to derivatives of fractional Brownian motion
Papers, arXiv.org
2021
- Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
Also in Working Paper, Economics Department, Queen's University (2020)
Essex Finance Centre Working Papers, University of Essex, Essex Business School (2021) View citations (2)
See also Journal Article Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) (2022)
2020
- Adaptive Inference in Heteroskedastic Fractional Time Series Models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
Also in Working Paper, Economics Department, Queen's University (2019) View citations (1)
See also Journal Article Adaptive Inference in Heteroscedastic Fractional Time Series Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (5) (2022)
- To infinity and beyond: Efficient computation of ARCH(1) models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
- To infinity and beyond: Efficient computation of ARCH(\infty) models
Working Paper, Economics Department, Queen's University
- Truncated sum of squares estimation of fractional time series models with deterministic trends
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
Also in Working Paper, Economics Department, Queen's University (2019) View citations (1)
See also Journal Article TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS, Econometric Theory, Cambridge University Press (2020) View citations (6) (2020)
- Wild Bootstrap and Asymptotic Inference with Multiway Clustering
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
Also in Working Paper, Economics Department, Queen's University (2019) View citations (29)
See also Journal Article Wild Bootstrap and Asymptotic Inference With Multiway Clustering, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (28) (2021)
2019
- Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (72)
Also in Working Paper, Economics Department, Queen's University (2018) View citations (9)
See also Journal Article Asymptotic theory and wild bootstrap inference with clustered errors, Journal of Econometrics, Elsevier (2019) View citations (59) (2019)
2018
- A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model
Working Paper, Economics Department, Queen's University View citations (42)
- Fast And Wild: Bootstrap Inference In Stata Using Boottest
Working Paper, Economics Department, Queen's University View citations (57)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) View citations (55)
See also Journal Article Fast and wild: Bootstrap inference in Stata using boottest, Stata Journal, StataCorp LP (2019) View citations (435) (2019)
- Nonstationary Cointegration In The Fractionally Cointegrated Var Model
Working Paper, Economics Department, Queen's University View citations (6)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) View citations (6)
Discussion Papers, University of Copenhagen. Department of Economics (2018) View citations (6)
See also Journal Article Nonstationary Cointegration in the Fractionally Cointegrated VAR Model, Journal of Time Series Analysis, Wiley Blackwell (2019) View citations (14) (2019)
2017
- Bootstrap And Asymptotic Inference With Multiway Clustering
Working Paper, Economics Department, Queen's University View citations (12)
- Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model
Working Paper, Economics Department, Queen's University View citations (3)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (1)
See also Journal Article Economic significance of commodity return forecasts from the fractionally cointegrated VAR model, Journal of Futures Markets, John Wiley & Sons, Ltd. (2018) View citations (33) (2018)
- Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
Also in Working Paper, Economics Department, Queen's University (2016) View citations (2)
See also Journal Article Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form, Journal of Econometrics, Elsevier (2017) View citations (12) (2017)
- Testing The Cvar In The Fractional Cvar Model
Working Paper, Economics Department, Queen's University View citations (2)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (1)
Discussion Papers, University of Copenhagen. Department of Economics (2017) View citations (1)
See also Journal Article Testing the CVAR in the Fractional CVAR Model, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (14) (2018)
- Validity Of Wild Bootstrap Inference With Clustered Errors
Working Paper, Economics Department, Queen's University View citations (5)
2016
- Forecasting daily political opinion polls using the fractionally cointegrated VAR model
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
Also in Working Paper, Economics Department, Queen's University (2015) View citations (7)
- The Cointegrated Vector Autoregressive Model With General Deterministic Terms
Working Paper, Economics Department, Queen's University
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2016)
Discussion Papers, University of Copenhagen. Department of Economics (2016)
See also Journal Article The cointegrated vector autoregressive model with general deterministic terms, Journal of Econometrics, Elsevier (2018) View citations (4) (2018)
2015
- A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets
Working Paper, Economics Department, Queen's University View citations (4)
See also Journal Article A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets, Journal of Empirical Finance, Elsevier (2016) View citations (41) (2016)
2014
- A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support
Working Paper, Economics Department, Queen's University View citations (40)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (41)
See also Journal Article A fractionally cointegrated VAR analysis of economic voting and political support, Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons (2014) View citations (39) (2014)
- A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets
Working Paper, Economics Department, Queen's University View citations (11)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (16)
See also Journal Article A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets, Journal of Futures Markets, John Wiley & Sons, Ltd. (2015) View citations (43) (2015)
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
Also in Working Paper, Economics Department, Queen's University (2011) View citations (5)
See also Journal Article Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models, Journal of Time Series Analysis, Wiley Blackwell (2015) View citations (19) (2015)
- Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Also in Working Paper, Economics Department, Queen's University (2013) View citations (4)
See also Journal Article Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, Journal of Econometrics, Elsevier (2015) View citations (14) (2015)
- Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model
Working Paper, Economics Department, Queen's University View citations (14)
2013
- A Fast Fractional Difference Algorithm
Working Paper, Economics Department, Queen's University View citations (6)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2013) View citations (2)
See also Journal Article A FAST FRACTIONAL DIFFERENCE ALGORITHM, Journal of Time Series Analysis, Wiley Blackwell (2014) View citations (44) (2014)
2012
- Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model
Working Paper, Economics Department, Queen's University View citations (5)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (5)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (5)
See also Journal Article Improved likelihood ratio tests for cointegration rank in the VAR model, Journal of Econometrics, Elsevier (2015) View citations (9) (2015)
- The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect
Working Paper, Economics Department, Queen's University View citations (2)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (2)
See also Journal Article The impact of financial crises on the risk–return tradeoff and the leverage effect, Economic Modelling, Elsevier (2015) View citations (12) (2015)
- The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models
Working Paper, Economics Department, Queen's University View citations (5)
See also Journal Article THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS, Econometric Theory, Cambridge University Press (2016) View citations (38) (2016)
- The role of initial values in nonstationary fractional time series models
Discussion Papers, University of Copenhagen. Department of Economics View citations (7)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (2)
2010
- A Necessary Moment Condition For The Fractional Functional Central Limit Theorem
Working Paper, Economics Department, Queen's University View citations (1)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (5)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (1)
See also Journal Article A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM, Econometric Theory, Cambridge University Press (2012) View citations (3) (2012)
- Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
Also in Working Paper, Economics Department, Queen's University (2009) View citations (1)
See also Journal Article Fully modified narrow‐band least squares estimation of weak fractional cointegration, Econometrics Journal, Royal Economic Society (2011) View citations (45) (2011)
- Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model
Working Paper, Economics Department, Queen's University View citations (8)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (15)
Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (6)
See also Journal Article Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model, Econometrica, Econometric Society (2012) View citations (204) (2012)
- Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests
Working Paper, Economics Department, Queen's University
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (3)
See also Journal Article NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (32) (2014)
2009
- A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching
Working Paper, Economics Department, Queen's University View citations (28)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007)
See also Journal Article A vector autoregressive model for electricity prices subject to long memory and regime switching, Energy Economics, Elsevier (2010) View citations (52) (2010)
- Likelihood Inference For A Nonstationary Fractional Autoregressive Model
Working Paper, Economics Department, Queen's University View citations (46)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (5)
Discussion Papers, University of Copenhagen. Department of Economics (2007) View citations (4)
See also Journal Article Likelihood inference for a nonstationary fractional autoregressive model, Journal of Econometrics, Elsevier (2010) View citations (111) (2010)
- Local Polynomial Whittle Estimation Of Perturbed Fractional Processes
Working Paper, Economics Department, Queen's University View citations (18)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (16)
See also Journal Article Local polynomial Whittle estimation of perturbed fractional processes, Journal of Econometrics, Elsevier (2012) View citations (27) (2012)
- Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model
Working Paper, Economics Department, Queen's University View citations (5)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (11)
See also Journal Article Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model, Journal of Empirical Finance, Elsevier (2010) View citations (38) (2010)
- Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots
Working Paper, Economics Department, Queen's University View citations (1)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (1)
See also Journal Article Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots, Journal of Time Series Econometrics, De Gruyter (2011) View citations (4) (2011)
- Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis
Working Paper, Economics Department, Queen's University View citations (4)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (2)
See also Journal Article Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis, Econometrica, Econometric Society (2012) View citations (23) (2012)
- Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Also in Working Paper, Economics Department, Queen's University (2008) View citations (2)
See also Journal Article Nonparametric cointegration analysis of fractional systems with unknown integration orders, Journal of Econometrics, Elsevier (2010) View citations (31) (2010)
2008
- A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic
Working Paper, Economics Department, Queen's University View citations (6)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (6)
See also Journal Article A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC, Econometric Theory, Cambridge University Press (2009) View citations (16) (2009)
- A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis
Working Paper, Economics Department, Queen's University View citations (6)
Also in Working Papers, Cornell University, Center for Analytic Economics (2008) View citations (7)
- Bias-reduced estimation of long memory stochastic volatility
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
See also Journal Article Bias-Reduced Estimation of Long-Memory Stochastic Volatility, Journal of Financial Econometrics, Oxford University Press (2008) View citations (9) (2008)
- Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns
Working Paper, Economics Department, Queen's University View citations (2)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (19)
See also Journal Article Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (105) (2010)
- Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration
Working Paper, Economics Department, Queen's University View citations (3)
- The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets
Working Paper, Economics Department, Queen's University View citations (7)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (16)
See also Journal Article The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets, Journal of Econometrics, Elsevier (2011) View citations (181) (2011)
2007
- The Effect of Long Memory in Volatility on Stock Market Fluctuations
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (56)
See also Journal Article The Effect of Long Memory in Volatility on Stock Market Fluctuations, The Review of Economics and Statistics, MIT Press (2007) View citations (54) (2007)
2006
- Asset Market Perspectives on the Israeli-Palestinian Conflict
Bank of Israel Working Papers, Bank of Israel View citations (2)
See also Journal Article Asset Market Perspectives on the Israeli–Palestinian Conflict, Economica, London School of Economics and Political Science (2008) View citations (55) (2008)
- Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach
Working Paper, Economics Department, Queen's University View citations (9)
See also Journal Article Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach, Journal of Econometrics, Elsevier (2007) View citations (57) (2007)
- The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps
Working Paper, Economics Department, Queen's University View citations (2)
2005
- Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2006) View citations (137) (2006)
- Finite Sample Accuracy Of Integrated Volatility Estimators
Working Paper, Economics Department, Queen's University View citations (7)
See also Journal Article Finite sample accuracy and choice of sampling frequency in integrated volatility estimation, Journal of Empirical Finance, Elsevier (2008) View citations (22) (2008)
- Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration
Working Paper, Economics Department, Queen's University View citations (35)
See also Journal Article Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration, Econometric Reviews, Taylor & Francis Journals (2005) View citations (40) (2005)
- Forecasting Exchange Rate Volatility In The Presence Of Jumps
Working Paper, Economics Department, Queen's University View citations (6)
- The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices
Working Paper, Economics Department, Queen's University View citations (5)
2004
- A Regime Switching Long Memory Model for Electricity Prices
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
See also Journal Article A regime switching long memory model for electricity prices, Journal of Econometrics, Elsevier (2006) View citations (138) (2006)
Undated
- Efficient Inference in Multivariate Fractionally Integrated Time Series Models
Economics Working Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article Efficient inference in multivariate fractionally integrated time series models, Econometrics Journal, Royal Economic Society (2004) View citations (18) (2004)
- Efficient Likelihold Inference in Nonstationary Univariate Models
Economics Working Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS, Econometric Theory, Cambridge University Press (2004) View citations (26) (2004)
- Estimation of Fractional Integration in the Presence of Data Noise
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
See also Journal Article Estimation of fractional integration in the presence of data noise, Computational Statistics & Data Analysis, Elsevier (2007) View citations (43) (2007)
- Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article Local empirical spectral measure of multivariate processes with long range dependence, Stochastic Processes and their Applications, Elsevier (2004) View citations (2) (2004)
- Local Whittle Analysis of Stationary Fractional Cointegration
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
- Multivariate Lagrange Multiplier Tests for Fractional Integration
Economics Working Papers, Department of Economics and Business Economics, Aarhus University
See also Journal Article Multivariate Lagrange Multiplier Tests for Fractional Integration, Journal of Financial Econometrics, Oxford University Press (2005) View citations (30) (2005)
- Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (22) (2004)
- Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
See also Journal Article Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting, Journal of Econometrics, Elsevier (2006) View citations (91) (2006)
- Semiparametric Estimation in Time Series Regression with Long Range Dependence
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
See also Journal Article Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence, Journal of Time Series Analysis, Wiley Blackwell (2005) View citations (11) (2005)
- Spectral Analysis of Fractionally Cointegrated Systems
Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
See also Journal Article Spectral analysis of fractionally cointegrated systems, Economics Letters, Elsevier (2004) View citations (11) (2004)
Journal Articles
2023
- Cluster-robust inference: A guide to empirical practice
Journal of Econometrics, 2023, 232, (2), 272-299 View citations (44)
See also Working Paper Cluster-Robust Inference: A Guide to Empirical Practice, CREATES Research Papers (2022) View citations (21) (2022)
- Fast and reliable jackknife and bootstrap methods for cluster‐robust inference
Journal of Applied Econometrics, 2023, 38, (5), 671-694 View citations (3)
See also Working Paper Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference, Papers (2023) View citations (5) (2023)
- INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
Econometric Theory, 2023, 39, (3), 443-480 View citations (1)
See also Working Paper Inference on the dimension of the nonstationary subspace in functional time series, CREATES Research Papers (2022) (2022)
- Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust
Stata Journal, 2023, 23, (4), 942-982 View citations (1)
See also Working Paper Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust, Papers (2023) View citations (6) (2023)
- Testing for the appropriate level of clustering in linear regression models
Journal of Econometrics, 2023, 235, (2), 2027-2056
See also Working Paper Testing for the appropriate level of clustering in linear regression models, Papers (2023) View citations (2) (2023)
2022
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
Journal of Business & Economic Statistics, 2022, 40, (1), 50-65 View citations (5)
See also Working Paper Adaptive Inference in Heteroskedastic Fractional Time Series Models, CREATES Research Papers (2020) View citations (3) (2020)
- Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
Journal of Business & Economic Statistics, 2022, 40, (2), 880-896
See also Working Paper Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks, CREATES Research Papers (2021) View citations (4) (2021)
2021
- To infinity and beyond: Efficient computation of ARCH(∞) models
Journal of Time Series Analysis, 2021, 42, (3), 338-354 View citations (2)
- Wild Bootstrap and Asymptotic Inference With Multiway Clustering
Journal of Business & Economic Statistics, 2021, 39, (2), 505-519 View citations (28)
See also Working Paper Wild Bootstrap and Asymptotic Inference with Multiway Clustering, CREATES Research Papers (2020) View citations (4) (2020)
2020
- TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS
Econometric Theory, 2020, 36, (4), 751-772 View citations (6)
See also Working Paper Truncated sum of squares estimation of fractional time series models with deterministic trends, CREATES Research Papers (2020) View citations (7) (2020)
2019
- Asymptotic theory and wild bootstrap inference with clustered errors
Journal of Econometrics, 2019, 212, (2), 393-412 View citations (59)
See also Working Paper Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors, CREATES Research Papers (2019) View citations (72) (2019)
- Fast and wild: Bootstrap inference in Stata using boottest
Stata Journal, 2019, 19, (1), 4-60 View citations (435)
See also Working Paper Fast And Wild: Bootstrap Inference In Stata Using Boottest, Working Paper (2018) View citations (57) (2018)
- Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
Journal of Time Series Analysis, 2019, 40, (4), 519-543 View citations (14)
See also Working Paper Nonstationary Cointegration In The Fractionally Cointegrated Var Model, Working Paper (2018) View citations (6) (2018)
- Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction
Journal of Time Series Analysis, 2019, 40, (4), 386-387 View citations (1)
2018
- Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Journal of Futures Markets, 2018, 38, (2), 219-242 View citations (33)
See also Working Paper Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model, Working Paper (2017) View citations (3) (2017)
- Forecasting daily political opinion polls using the fractionally cointegrated vector auto‐regressive model
Journal of the Royal Statistical Society Series A, 2018, 181, (1), 3-33 View citations (16)
- Testing the CVAR in the Fractional CVAR Model
Journal of Time Series Analysis, 2018, 39, (6), 836-849 View citations (14)
See also Working Paper Testing The Cvar In The Fractional Cvar Model, Working Paper (2017) View citations (2) (2017)
- The cointegrated vector autoregressive model with general deterministic terms
Journal of Econometrics, 2018, 202, (2), 214-229 View citations (4)
See also Working Paper The Cointegrated Vector Autoregressive Model With General Deterministic Terms, Working Paper (2016) (2016)
2017
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
Journal of Econometrics, 2017, 198, (1), 165-188 View citations (12)
See also Working Paper Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form, CREATES Research Papers (2017) View citations (14) (2017)
2016
- A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets
Journal of Empirical Finance, 2016, 38, (PB), 623-639 View citations (41)
See also Working Paper A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets, Working Paper (2015) View citations (4) (2015)
- THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
Econometric Theory, 2016, 32, (5), 1095-1139 View citations (38)
See also Working Paper The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models, Working Paper (2012) View citations (5) (2012)
2015
- A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
Journal of Futures Markets, 2015, 35, (4), 339-356 View citations (43)
See also Working Paper A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets, Working Paper (2014) View citations (11) (2014)
- Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models
Journal of Time Series Analysis, 2015, 36, (2), 154-188 View citations (19)
See also Working Paper Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models, CREATES Research Papers (2014) View citations (5) (2014)
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Journal of Econometrics, 2015, 187, (2), 557-579 View citations (14)
See also Working Paper Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets, CREATES Research Papers (2014) (2014)
- Improved likelihood ratio tests for cointegration rank in the VAR model
Journal of Econometrics, 2015, 184, (1), 97-110 View citations (9)
See also Working Paper Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model, Working Paper (2012) View citations (5) (2012)
- The impact of financial crises on the risk–return tradeoff and the leverage effect
Economic Modelling, 2015, 49, (C), 407-418 View citations (12)
See also Working Paper The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect, Working Paper (2012) View citations (2) (2012)
2014
- A FAST FRACTIONAL DIFFERENCE ALGORITHM
Journal of Time Series Analysis, 2014, 35, (5), 428-436 View citations (44)
See also Working Paper A Fast Fractional Difference Algorithm, Working Paper (2013) View citations (6) (2013)
- A fractionally cointegrated VAR analysis of economic voting and political support
Canadian Journal of Economics/Revue canadienne d'économique, 2014, 47, (4), 1078-1130 View citations (39)
Also in Canadian Journal of Economics, 2014, 47, (4), 1078-1130 (2014) View citations (41)
See also Working Paper A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support, Working Paper (2014) View citations (40) (2014)
- NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS
Journal of Applied Econometrics, 2014, 29, (1), 161-171 View citations (32)
See also Working Paper Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests, Working Paper (2010) (2010)
2012
- A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
Econometric Theory, 2012, 28, (3), 671-679 View citations (3)
See also Working Paper A Necessary Moment Condition For The Fractional Functional Central Limit Theorem, Working Paper (2010) View citations (1) (2010)
- Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Econometrica, 2012, 80, (6), 2667-2732 View citations (204)
See also Working Paper Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model, Working Paper (2010) View citations (8) (2010)
- Local polynomial Whittle estimation of perturbed fractional processes
Journal of Econometrics, 2012, 167, (2), 426-447 View citations (27)
See also Working Paper Local Polynomial Whittle Estimation Of Perturbed Fractional Processes, Working Paper (2009) View citations (18) (2009)
- Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
Econometrica, 2012, 80, (5), 2321-2332 View citations (23)
See also Working Paper Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis, Working Paper (2009) View citations (4) (2009)
2011
- Fully modified narrow‐band least squares estimation of weak fractional cointegration
Econometrics Journal, 2011, 14, (1), 77-120 View citations (45)
Also in Econometrics Journal, 2011, 14, 77-120 (2011) View citations (30)
See also Working Paper Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration, CREATES Research Papers (2010) View citations (1) (2010)
- Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
Journal of Time Series Econometrics, 2011, 3, (1), 21 View citations (4)
See also Working Paper Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots, Working Paper (2009) View citations (1) (2009)
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Journal of Econometrics, 2011, 160, (1), 48-57 View citations (181)
See also Working Paper The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets, Working Paper (2008) View citations (7) (2008)
2010
- A vector autoregressive model for electricity prices subject to long memory and regime switching
Energy Economics, 2010, 32, (5), 1044-1058 View citations (52)
See also Working Paper A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching, Working Paper (2009) View citations (28) (2009)
- Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Journal of Applied Econometrics, 2010, 25, (2), 233-261 View citations (105)
See also Working Paper Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns, Working Paper (2008) View citations (2) (2008)
- Likelihood inference for a nonstationary fractional autoregressive model
Journal of Econometrics, 2010, 158, (1), 51-66 View citations (111)
See also Working Paper Likelihood Inference For A Nonstationary Fractional Autoregressive Model, Working Paper (2009) View citations (46) (2009)
- Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model
Journal of Empirical Finance, 2010, 17, (3), 460-470 View citations (38)
See also Working Paper Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model, Working Paper (2009) View citations (5) (2009)
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
Journal of Econometrics, 2010, 155, (2), 170-187 View citations (31)
See also Working Paper Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders, CREATES Research Papers (2009) (2009)
2009
- A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
Econometric Theory, 2009, 25, (6), 1515-1544 View citations (16)
See also Working Paper A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic, Working Paper (2008) View citations (6) (2008)
2008
- Asset Market Perspectives on the Israeli–Palestinian Conflict
Economica, 2008, 75, (297), 84-115 View citations (55)
See also Working Paper Asset Market Perspectives on the Israeli-Palestinian Conflict, Bank of Israel Working Papers (2006) View citations (2) (2006)
- Bias-Reduced Estimation of Long-Memory Stochastic Volatility
Journal of Financial Econometrics, 2008, 6, (4), 496-512 View citations (9)
See also Working Paper Bias-reduced estimation of long memory stochastic volatility, CREATES Research Papers (2008) View citations (9) (2008)
- Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
Journal of Empirical Finance, 2008, 15, (2), 265-286 View citations (22)
See also Working Paper Finite Sample Accuracy Of Integrated Volatility Estimators, Working Paper (2005) View citations (7) (2005)
2007
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
Journal of Econometrics, 2007, 141, (2), 574-596 View citations (57)
See also Working Paper Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach, Working Paper (2006) View citations (9) (2006)
- Estimation of fractional integration in the presence of data noise
Computational Statistics & Data Analysis, 2007, 51, (6), 3100-3114 View citations (43)
See also Working Paper Estimation of Fractional Integration in the Presence of Data Noise, Economics Working Papers View citations (9)
- Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation
Journal of Business & Economic Statistics, 2007, 25, 427-446 View citations (44)
- The Effect of Long Memory in Volatility on Stock Market Fluctuations
The Review of Economics and Statistics, 2007, 89, (4), 684-700 View citations (54)
See also Working Paper The Effect of Long Memory in Volatility on Stock Market Fluctuations, CREATES Research Papers (2007) View citations (56) (2007)
2006
- A regime switching long memory model for electricity prices
Journal of Econometrics, 2006, 135, (1-2), 349-376 View citations (138)
See also Working Paper A Regime Switching Long Memory Model for Electricity Prices, Economics Working Papers (2004) View citations (14) (2004)
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Journal of Econometrics, 2006, 133, (1), 343-371 View citations (91)
See also Working Paper Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data, Economics Working Papers View citations (6)
- Comment
Journal of Business & Economic Statistics, 2006, 24, 173-179
- Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 24 View citations (137)
See also Working Paper Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices, Economics Working Papers (2005) View citations (1) (2005)
2005
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
Econometric Reviews, 2005, 24, (4), 405-443 View citations (40)
See also Working Paper Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration, Working Paper (2005) View citations (35) (2005)
- Multivariate Lagrange Multiplier Tests for Fractional Integration
Journal of Financial Econometrics, 2005, 3, (3), 372-398 View citations (30)
See also Working Paper Multivariate Lagrange Multiplier Tests for Fractional Integration, Economics Working Papers
- Noncontemporaneous cointegration and the importance of timing
Economics Letters, 2005, 86, (1), 113-119 View citations (3)
- Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
Journal of Time Series Analysis, 2005, 26, (2), 279-304 View citations (11)
See also Working Paper Semiparametric Estimation in Time Series Regression with Long Range Dependence, Economics Working Papers View citations (4)
2004
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
Econometric Theory, 2004, 20, (1), 116-146 View citations (26)
See also Working Paper Efficient Likelihold Inference in Nonstationary Univariate Models, Economics Working Papers
- Efficient inference in multivariate fractionally integrated time series models
Econometrics Journal, 2004, 7, (1), 63-97 View citations (18)
See also Working Paper Efficient Inference in Multivariate Fractionally Integrated Time Series Models, Economics Working Papers
- Local empirical spectral measure of multivariate processes with long range dependence
Stochastic Processes and their Applications, 2004, 109, (1), 145-166 View citations (2)
See also Working Paper Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence, Economics Working Papers View citations (1)
- Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
Journal of Business & Economic Statistics, 2004, 22, 331-345 View citations (22)
See also Working Paper Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics, Economics Working Papers View citations (1)
- Spectral analysis of fractionally cointegrated systems
Economics Letters, 2004, 83, (2), 225-231 View citations (11)
See also Working Paper Spectral Analysis of Fractionally Cointegrated Systems, Economics Working Papers View citations (1)
Software Items
2024
- LOGITJACK: Stata module to provide cluster robust inference for logit models
Statistical Software Components, Boston College Department of Economics
2023
- SUMMCLUST: Stata module to compute cluster level measures of leverage, influence, and a cluster jackknife variance estimator
Statistical Software Components, Boston College Department of Economics
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