Bent Nielsen: Publications

Links to Nuffield College, Other Nuffield discussion papers.

Book
Papers: Unpublished & Published
Papers by theme: age-period-cohort & chain ladder & coexplosiveness & cointegration & outlier detection & time series specification tests & unit testing



Book

Hendry, D.F. and Nielsen, B. (2007). Econometric Modelling: A likelihood Approach. Princeton University Press



Unpublished papers

Nielsen, B. (2014) apc: A Package for Age-Period-Cohort Analysis Download: Nuffield Discussion Paper 2014-W08.

Bernstein, D. and Nielsen, B. (2014) Asymptotic theory for cointegration analysis when the cointegration rank is deficient Download: Nuffield Discussion Paper 2014-W06.

Johansen, S. and Nielsen, B. (2014) Outlier detection algorithms for least squares time series. Download: Nuffield Discussion Paper 2014-W04. Method implemented in R-package ForwardSearch.

Nielsen, B. (2014) Deviance analysis of age-period-cohort models. Download: Nuffield Discussion Paper 2014-W03. Method implemented in R-package apc.

Nielsen, B. and Whitby, A. (2012) A Joint Chow Test for Structural Instability. Nuffield Discussion Paper 2012-W07.

2009-W10 Nielsen, B. Test for cointegration rank in general vector autoregressions

2009-W02 Mladenović, Z. and Nielsen, B. (2009) The role of income in money demand during hyper-inflation: the case of Yugoslavia.

2008-W14 Bent Nielsen (2008) Singular vector autoregressions with deterministic terms: Strong consistency and lag order determination. Abstract.

2008-W7 Nielsen, B. and Nielsen, H.B. Properties of estimated characteristic roots.

2007-W2 Caceres, C. and Nielsen, B. (2007) Convergence to stochastic integrals with non-linear integrands. Abstract.

2004-W25 Lars Hougaard Hansen, Bent Nielsen and Jens Perch Nielsen Two sided analysis of variance with a latent time series . Abstract.

2000-W24 Bent Nielsen The asymptotic distribution of likelihood ratio test statistics for cointegration in unstable vector autoregressive processes. Abstract.

W32. Bent Nielsen, 1997, Asymptotic results for cointegration tests in non-stable cases (0.2Mb) Zipped (0.08MB). Abstract.



Published papers

(39) Johansen, S. and Nielsen, B. Analysis of the Forward Search using some new results for martingales and empirical processes. To appear in Bernoulli. Download: Nuffield Discussion Paper 2013-W02. CREATES discussion paper 13-05.

(38) Kuang, D., Nielsen, B. and Nielsen, J.P. The geometric chain-ladder. To appear in Scandinavian Actuarial Journal. Early View Download: Nuffield DP.

(37) Martínez Miranda, M.D., Nielsen, B. and Nielsen, J.P. (2015) Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality. Journal of the Royal Statistical Society series A 178, 29-55. Download: Nuffield DP. Published version.

(36) Nielsen, B. and Nielsen, J.P. (2014) Identification and forecasting in mortality models. The Scientific World Journal. vol. 2014, Article ID 347043, 24 pages. doi:10.1155/2014/347043 Download: Open Access.

(35) Johansen, S. and Nielsen, B. (2013) Asymptotic theory for iterated one-step Huber-skip estimators. Econometrics 1, 53--70. Download: Open Access; Earlier version: CREATES discussion paper 11-40.

(34) Engsted, T. and Nielsen, B. (2012) Testing for rational bubbles in a coexplosive vector autoregression. Econometrics Journal 15, 226--254. Download: Article; Earlier version: Nuffield DP; CREATES DP; Supplementary material: zip.

(33) Nielsen, B. and Sohkanen, J. (2011) Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends. Econometric Theory 27, 913-927. Download: Article; Abstract; Earlier version: Nuffield DP.

(32) Kuang, D., Nielsen B. and Nielsen J.P. (2011) Forecasting in an extended chain-ladder-type model. Journal of Risk and Insurance 78, 345-359. Download: Article; Earlier version: Nuffield DP.

(31) Martínez Miranda, M.D., Nielsen, B., Nielsen, J.P. and Verrall, R. (2011) Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers. ASTIN Bulletin 41, 107--129. Download Article.

(30) Hendry, D.F. and Nielsen, B. (2010) A modern approach to teaching econometrics. European Journal of Pure and Applied Mathematics 3, 347-369. Download: Article.

(29) Johansen, S. and Nielsen, B. (2010) Discussion: The Forward Search: Theory and Data Analysis. Journal of the Korean Statistical Society 39, 137-145. Download: Article. Earlier version: Nuffield DP.

(28) Nielsen, B. (2010) Analysis of co-explosive processes. Econometric Theory 26, 882-915. Download: Article; Abstract; Earlier version: Nuffield DP; Supplementary material: Data.

(27) Kuang, D., Nielsen B. and Nielsen J.P. (2009) Chain-Ladder as Maximum Likelihood Revisited. Annals of Actuarial Science 4, 105-121. Download: Article; Earlier version: Nuffield DP.

(26) Kurita, T. and Nielsen, B. (2009) Short-run parameter changes in a cointegrated vector autoregressive model. Quantitative and Qualitative Analysis in Social Sciences 3, (3), 43-77. Download: Article; Abstract; Earlier version: Nuffield DP.

(25) Engler, E. and Nielsen, B. (2009) The empirical process of autoregressive residuals. Econometrics Journal 12, 367-381. Download: Article; Abstract; Supplementary material: Code & Illustration.

(24) Johansen, S. and Nielsen, B. (2009) An analysis of the indicator saturation estimator as a robust regression estimator. Castle, J.L. and Shephard, N. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Oxford: Oxford University Press. p. 1-36. Download: Article; Abstract; Earlier version: Nuffield DP.

(23) Kuang, D., Nielsen, B. and Nielsen, J.P. (2008) Forecasting with the age-period-cohort model and the extended chain-ladder model. Biometrika 95, 987-991. Download: Article; Abstract; Earlier version: Nuffield DP,

(22) Kuang, D., Nielsen, B. and Nielsen, J.P. (2008) Identification of the age-period-cohort model and the extended chain ladder model. Biometrika 95, 979-986. Download: Article; Abstract; Earlier version: Nuffield DP,

(21) Nielsen, B. (2008) Power of tests for unit roots in the presence of a linear trend. Oxford Bulletin of Economics and Statistics 70, 619-644. Abstract.

(20) Nielsen, B. (2008) On the Explosive Nature of Hyper-Inflation Data. Economics: The Open-Access, Open-Assessment E-Journal 2, 2008-21. http://www.economics-ejournal.org/economics/journalarticles/2008-21. Abstract. Data.

(19) Nielsen, B. and Reade, J.J. (2007) Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression. Econometric Reviews 26, 487-501. Abstract.

(18) Nielsen, B. (2006) Order determination in general vector autoregressions. In Ho, H.-C., Ing, C.-K., and Lai, T.L. (eds): Time Series and Related Topics: In Memory of Ching-Zong Wei. IMS Lecture Notes and Monograph Series, 52, 93-112. arXiv download.

(17) Bent Nielsen, 2006 Correlograms for non-stationary autoregressions. Journal of the Royal Statistical Society, series B, vol. 68, p. 707--720. Abstract.

(16) Bent Nielsen, 2005 Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. Econometric Theory, vol. 21, p. 534-561. Abstract.

(15) Ole E. Barndorff-Nielsen, Bent Nielsen, Neil Shephard and Carla Ysusi, 2004, Measuring and forecasting financial variability using realised variance; Andrew Harvey, Siem Jan Koopman and Neil Shephard (eds.): State space and unobserved components models: Theory and Applications, Cambridge University Press, p. 205-235. Abstract.

(14) Bent Nielsen, 2004, On the distribution of tests of cointegration; Econometric Reviews, vol. 23, p. 1-23. Abstract.

(13) Bent Nielsen and Neil Shephard, 2003 Likelihood analysis of a first order autoregressive model with exponential innovations; Journal of Time Series Analysis, vol. 24, p. 337-344. Abstract.

(12) Jurgen A. Doornik, Bent Nielsen and Thomas J. Rothenberg, 2003, The influence of VAR dimensions on estimator bias: Comment. Econometrica, vol. 71, p. 377-386.

(11) Bent Nielsen, 2001, Conditional test for rank in bivariate canonical correlation analysis; Biometrika, vol. 88, p. 874-880. Abstract.

(10) Bent Nielsen, 2001, The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes; Econometrica, vol. 69, p. 211-219. Abstract.

(9) Paolo Paruolo and Bent Nielsen, 2000, Correction: The role of the drift in I(2) systems. By Paruolo in Journal of the Italian Statistical Society vol. 3, p. 99-123. Journal of the Italian Statistical Society, vol. 6, p. 93-95 (1998, but printed 2000).

(8) Johansen, S., Mosconi, R. and Nielsen, B. (2000) Cointegration analysis in the presence of structural breaks in the deterministic trend. Econometrics Journal, 3, 216-249. Also in Econometrics Journal, 11, Virtual issue: Celebrating 10 years of The Econometrics Journal. Data. Abstract. Excel code computing critical values from response surface.

(7) Bent Nielsen and Anders Rahbek, 2000, Similarity issues in cointegration models; Oxford Bulletin of Economics and Statistics, vol. 62, p. 5-22. Abstract.

(6) Bent Nielsen, 1999, The likelihood ratio test for rank in bivariate canonical correlation analysis; Biometrika, vol. 86, p. 279-288. Abstract. JSTOR.

(5) Jurgen A. Doornik, David F. Hendry and Bent Nielsen, 1998, Inference in cointegrated models: UK M1 revisited; Journal of Economic Surveys, vol. 12, p. 533-572. Abstract. Reprinted in: Michael MacAleer and Les Oxley (1999) Practical issues in cointegration analysis; Blackwell, Oxford.

(4) Harbo, I., Johansen, S., Nielsen, B. and Rahbek, A. (1998) Asymptotic inference on cointegrating rank in partial systems. Journal of Business and Economic Statistics 16, 388-399. Abstract.

(3) Bent Nielsen, 1997, Bartlett correction of the unit root test in autoregressive models; Biometrika, vol. 84, p. 500-504. Abstract. JSTOR.

(2) Jensen, S.T. and Nielsen, B. (1997) On convergence of multivariate Laplace transforms. Statistics and Probability Letters 33, 125-128. Abstract.

(1) Bent Nielsen, 1997, Expected survival in the Cox model; Scandinavian Journal of Statistics, vol. 24, p. 275-287. Abstract. An addendum; vol. 26, p. 159 (1999).



Papers by theme


Age-period-cohort & chain ladder


R-package: apc: An R package for age-period-cohort modelling.

Nielsen, B. (2014) apc: A Package for Age-Period-Cohort Analysis Download: Nuffield Discussion Paper 2014-W08.

Nielsen, B. (2014) Deviance analysis of age-period-cohort models. Download: Nuffield Discussion Paper 2014-W03. Method implemented in R-package apc.

(38) Kuang, D., Nielsen, B. and Nielsen, J.P. The geometric chain-ladder. To appear in Scandinavian Actuarial Journal. Early View Download: Nuffield DP.

(37) Martínez Miranda, M.D., Nielsen, B. and Nielsen, J.P. (2015) Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality. Journal of the Royal Statistical Society series A 178, 29-55. Download: Nuffield DP. Published version.

(36) Nielsen, B. and Nielsen, J.P. (2014) Identification and forecasting in mortality models. The Scientific World Journal. vol. 2014, Article ID 347043, 24 pages. doi:10.1155/2014/347043 Download: Open Access.

(32) Kuang, D., Nielsen B. and Nielsen J.P. (2011) Forecasting in an extended chain-ladder-type model. Journal of Risk and Insurance 78, 345-359. Download: Article; Earlier version: Nuffield DP.

(31) Martínez Miranda, M.D., Nielsen, B., Nielsen, J.P. and Verrall, R. (2011) Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers. ASTIN Bulletin 41, 107--129. Download Article.

(27) Kuang, D., Nielsen B. and Nielsen J.P. (2009) Chain-Ladder as Maximum Likelihood Revisited. Annals of Actuarial Science 4, 105-121. Download: Article; Earlier version: Nuffield DP.

(23) Kuang, D., Nielsen, B. and Nielsen, J.P. (2008) Forecasting with the age-period-cohort model and the extended chain-ladder model. Biometrika 95, 987-991. Download: Article; Abstract; Earlier version: Nuffield DP,

(22) Kuang, D., Nielsen, B. and Nielsen, J.P. (2008) Identification of the age-period-cohort model and the extended chain ladder model. Biometrika 95, 979-986. Download: Article; Abstract; Earlier version: Nuffield DP,


Co-explosiveness

See also Cointegration & time series specification tests

(34) Engsted, T. and Nielsen, B. (2012) Testing for rational bubbles in a coexplosive vector autoregression. Econometrics Journal 15, 226--254. Download: Article; Earlier version: Nuffield DP; CREATES DP; Supplementary material: zip.

(28) Nielsen, B. (2010) Analysis of co-explosive processes. Econometric Theory 26, 882-915. Download: Article; Abstract; Earlier version: Nuffield DP; Supplementary material: Data.

(20) Nielsen, B. (2008) On the Explosive Nature of Hyper-Inflation Data. Economics: The Open-Access, Open-Assessment E-Journal 2, 2008-21. http://www.economics-ejournal.org/economics/journalarticles/2008-21. Abstract. Data.

(19) Nielsen, B. and Reade, J.J. (2007) Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression. Econometric Reviews 26, 487-501. Abstract.

(16) Bent Nielsen, 2005 Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. Econometric Theory, vol. 21, p. 534-561. Abstract.


Cointegration

See also Co-explosiveness & time sereis specification tests & unit root testing

Bernstein, D. and Nielsen, B. (2014) Asymptotic theory for cointegration analysis when the cointegration rank is deficient Download: Nuffield Discussion Paper 2014-W06.

(26) Kurita, T. and Nielsen, B. (2009) Short-run parameter changes in a cointegrated vector autoregressive model. Quantitative and Qualitative Analysis in Social Sciences 3, (3), 43-77. Download: Article; Abstract; Earlier version: Nuffield DP.

(14) Bent Nielsen, 2004, On the distribution of tests of cointegration; Econometric Reviews, vol. 23, p. 1-23. Abstract.

(11) Bent Nielsen, 2001, Conditional test for rank in bivariate canonical correlation analysis; Biometrika, vol. 88, p. 874-880. Abstract.

(9) Paolo Paruolo and Bent Nielsen, 2000, Correction: The role of the drift in I(2) systems. By Paruolo in Journal of the Italian Statistical Society vol. 3, p. 99-123. Journal of the Italian Statistical Society, vol. 6, p. 93-95 (1998, but printed 2000).

(8) Johansen, S., Mosconi, R. and Nielsen, B. (2000) Cointegration analysis in the presence of structural breaks in the deterministic trend. Econometrics Journal, 3, 216-249. Also in Econometrics Journal, 11, Virtual issue: Celebrating 10 years of The Econometrics Journal. Data. Abstract. Excel code computing critical values from response surface.

(7) Bent Nielsen and Anders Rahbek, 2000, Similarity issues in cointegration models; Oxford Bulletin of Economics and Statistics, vol. 62, p. 5-22. Abstract.

(6) Bent Nielsen, 1999, The likelihood ratio test for rank in bivariate canonical correlation analysis; Biometrika, vol. 86, p. 279-288. Abstract. JSTOR.

(5) Jurgen A. Doornik, David F. Hendry and Bent Nielsen, 1998, Inference in cointegrated models: UK M1 revisited; Journal of Economic Surveys, vol. 12, p. 533-572. Abstract. Reprinted in: Michael MacAleer and Les Oxley (1999) Practical issues in cointegration analysis; Blackwell, Oxford.

(4) Harbo, I., Johansen, S., Nielsen, B. and Rahbek, A. (1998) Asymptotic inference on cointegrating rank in partial systems. Journal of Business and Economic Statistics 16, 388-399. Abstract.


Outlier detection


R-package: ForwardSearch: An R package for Forward Search for regression using asymptotic theory.

Johansen, S. and Nielsen, B. (2014) Outlier detection algorithms for least squares time series. Download: Nuffield Discussion Paper 2014-W04. Method implemented in R-package ForwardSearch.

(39) Johansen, S. and Nielsen, B. Analysis of the Forward Search using some new results for martingales and empirical processes. To appear in Bernoulli. Download: Nuffield Discussion Paper 2013-W02. CREATES discussion paper 13-05.

(35) Johansen, S. and Nielsen, B. (2013) Asymptotic theory for iterated one-step Huber-skip estimators. Econometrics 1, 53--70. Download: Open Access; Earlier version: CREATES discussion paper 11-40.

(29) Johansen, S. and Nielsen, B. (2010) Discussion: The Forward Search: Theory and Data Analysis. Journal of the Korean Statistical Society 39, 137-145. Download: Article. Earlier version: Nuffield DP.

(24) Johansen, S. and Nielsen, B. (2009) An analysis of the indicator saturation estimator as a robust regression estimator. Castle, J.L. and Shephard, N. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Oxford: Oxford University Press. p. 1-36. Download: Article; Abstract; Earlier version: Nuffield DP.


Time series specification tests

Nielsen, B. and Whitby, A. (2012) A Joint Chow Test for Structural Instability. Nuffield Discussion Paper 2012-W07.

(33) Nielsen, B. and Sohkanen, J. (2011) Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends. Econometric Theory 27, 913-927. Download: Article; Abstract; Earlier version: Nuffield DP.

(25) Engler, E. and Nielsen, B. (2009) The empirical process of autoregressive residuals. Econometrics Journal 12, 367-381. Download: Article; Abstract; Supplementary material: Code & Illustration.

(18) Nielsen, B. (2006) Order determination in general vector autoregressions. In Ho, H.-C., Ing, C.-K., and Lai, T.L. (eds): Time Series and Related Topics: In Memory of Ching-Zong Wei. IMS Lecture Notes and Monograph Series, 52, 93-112. arXiv download.

(17) Bent Nielsen, 2006 Correlograms for non-stationary autoregressions. Journal of the Royal Statistical Society, series B, vol. 68, p. 707--720. Abstract.

(16) Bent Nielsen, 2005 Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. Econometric Theory, vol. 21, p. 534-561. Abstract.


Unit root testing

See also cointegration

(21) Nielsen, B. (2008) Power of tests for unit roots in the presence of a linear trend. Oxford Bulletin of Economics and Statistics 70, 619-644. Abstract.

(14) Bent Nielsen, 2004, On the distribution of tests of cointegration; Econometric Reviews, vol. 23, p. 1-23. Abstract.

(13) Bent Nielsen and Neil Shephard, 2003 Likelihood analysis of a first order autoregressive model with exponential innovations; Journal of Time Series Analysis, vol. 24, p. 337-344. Abstract.

(12) Jurgen A. Doornik, Bent Nielsen and Thomas J. Rothenberg, 2003, The influence of VAR dimensions on estimator bias: Comment. Econometrica, vol. 71, p. 377-386.

(10) Bent Nielsen, 2001, The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes; Econometrica, vol. 69, p. 211-219. Abstract.

(3) Bent Nielsen, 1997, Bartlett correction of the unit root test in autoregressive models; Biometrika, vol. 84, p. 500-504. Abstract. JSTOR.