1

Cointegration analysis in the presence of outliers

Heino Bohn Nielsen
Journal:
The Econometrics Journal
Year:
2004
Language:
english
File:
PDF, 188 KB
english, 2004
2

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

Heino Bohn Nielsen
Journal:
The Econometrics Journal
Year:
2008
Language:
english
File:
PDF, 255 KB
english, 2008
3

Comment on “The long-run determinants of UK wages, 1860–2004”

Heino Bohn Nielsen
Journal:
Journal of Macroeconomics
Year:
2009
Language:
english
File:
PDF, 128 KB
english, 2009
4

THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL

Nielsen, Heino Bohn, Rahbek, Anders
Journal:
Econometric Theory
Year:
2007
Language:
english
File:
PDF, 202 KB
english, 2007
5

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

Heino Bohn Nielsen, Christopher Bowdler
Journal:
Empirical Economics
Year:
2006
Language:
english
File:
PDF, 269 KB
english, 2006
6

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

Heino Bohn Nielsen
Journal:
Cliometrica
Year:
2007
Language:
english
File:
PDF, 276 KB
english, 2007
8

An I(2) cointegration model with piecewise linear trends

Takamitsu Kurita, Heino Bohn Nielsen, Anders Rahbek
Journal:
The Econometrics Journal
Year:
2011
Language:
english
File:
PDF, 338 KB
english, 2011
11

A “maximum-eigenvalue” test for the cointegration ranks in I(2) vector autoregressions

Heino Bohn Nielsen
Journal:
Economics Letters
Year:
2007
Language:
english
File:
PDF, 153 KB
english, 2007
12

Unit root vector autoregression with volatility induced stationarity

Nielsen, Heino Bohn, Rahbek, Anders
Journal:
Journal of Empirical Finance
Year:
2014
Language:
english
File:
PDF, 662 KB
english, 2014
13

The Co-Integrated Vector Autoregression with Errors–in–Variables

Nielsen, Heino Bohn
Journal:
Econometric Reviews
Year:
2014
Language:
english
File:
PDF, 485 KB
english, 2014
15

Cointegration analysis in the presence of outliers

Heino Bohn Nielsen
Journal:
The Econometrics Journal
Year:
2004
Language:
english
File:
PDF, 2.27 MB
english, 2004
16

The Likelihood Ratio Test for Cointegration Ranks in the I(2) Model

Heino Bohn Nielsen and Anders Rahbek
Journal:
Econometric Theory
Year:
2007
Language:
english
File:
PDF, 1.85 MB
english, 2007
18

Estimation bias and bias correction in reduced rank autoregressions

Nielsen, Heino Bohn
Journal:
Econometric Reviews
Year:
2017
Language:
english
File:
PDF, 1.02 MB
english, 2017
21

Unit Root Vector Autoregression with Volatility Induced Stationarity

Rahbek, Anders, Nielsen, Heino Bohn
Journal:
SSRN Electronic Journal
Year:
2012
Language:
english
File:
PDF, 495 KB
english, 2012