Bent Nielsen: Publications

Links to Nuffield College, Other Nuffield discussion papers.

Book - Papers: Unpublished & Published



Book

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



Unpublished papers

Johansen, S. and Nielsen, B. (2013) Asymptotic analysis of the Forward Search. Nuffield Discussion Paper 2013-W02. CREATES discussion paper 13-05.

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

Nielsen, B. and Nielsen, J.P. (2010) Identification and Forecasting in the Lee-Carter Model. SSRN.

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

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

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

(35) Johansen, S. and Nielsen, B. (2013) Asymptotic theory for iterated one-step Huber-skip estimators. Econometrics 1, 53--70. Download: Article; 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).