Bent Nielsen

Nuffield College, Oxford OX1 1NF, UK

Email: bent.nielsen@nuffield.ox.ac.uk

Phone: +44 1865 278630

Professor of Econometrics, Department of Economics at the University of Oxford.
Fellow of Nuffield College.

Research Interests: Econometric and Statistical theory. In particular, I am interested in:

the theoretical properties of outlier detection algorithms;
cohort models such as the age-period-cohort model and the chain ladder method used to forecast future liabilities in general insurance.

Publications: Papers & Book.

Projects: Research fellow at ACE - Aarhus Center for Econometrics.

Teaching:

MPhil Core Econometrics, see canvas;
MPhil Advanced Econometrics, see canvas;
MPhil Topics in Probability, see canvas.
Research students.

Computer programs:

apc An R package for age-period-cohort modelling. Download: apc from CRAN and further documentation and development version.
ForwardSearch An R package for Forward Search for regression using asymptotic theory. Download: ForwardSearch from CRAN.
Gamma computes quantiles for a Gamma distribution.
DisCo simulates asymptotic critical values of cointegration tests in the presence of structural breaks.