Bent Nielsen: Publications

Links to Nuffield College, Other Nuffield discussion papers.

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Papers: Unpublished & Published & Some older unpublished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

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

Unpublished papers

Nielsen, B. and Qian, M. (2023) Asymptotic properties of the gauge and power of Step-Indicator Saturation. Download: Nuffield Discussion Paper 2023-W03.

Nielsen, B. (2022) Two-sample age-period-cohort models with an application to Swiss suicide rates. Download: Nuffield Discussion Paper 2022-W03.

Nielsen, B. (2022) Age-period-cohort analysis of mixed frequency data Download: Nuffield Discussion Paper 2022-W02.

Published papers

Berenguer-Rico, V. and Nielsen, B. (2024) "Least Trimmed Squares: Nuisance parameter free asymptotics" To appear in Econometric Theory. Download: previously circulated with the title "Least Trimmed Squares Asymptotics: Regression with leverage" Nuffield Discussion Paper 2023-W01.

Berenguer-Rico, V. and Nielsen, B. (2018) Normality testing after outlier removal. To appear in Econometrics and Statistics In press. Download: Nuffield Discussion Paper 2023-W02. Earlier version: Marked and Weighted Empirical Processes of Residuals with Applications to Robust Regressions Department of Economics Discussion Paper 841 - or from here.

(56) Berenguer-Rico, V., Johansen, S. and Nielsen, B. (2023) A model where the Least Trimmed Squares estimator is maximum likelihood. Journal of the Royal Statistical Society, Series B 85, 886-912. Article. Download: Nuffield Discussion Paper 2019-W05, Oxford Department of Economics Discussion Paper 879, Copenhagen Department of Economics Discussion Paper 19-11. Revised version: Nuffield Discussion Paper 2019-W05a, Nuffield Discussion Paper 2019-W05b: Supplement. Code and Data: R code for empirical illustrations, Matlab code for simulations.

(55) Bazinas, V. and Nielsen, B. (2022) Causal transmission in reduced-form models. Econometrics 10, article 14. Download: Article, open access. Supplement: Data. Earlier version: Nuffield Discussion Paper 2015-W07.

(54) Fannon, Z., Monden, C. and Nielsen, B. (2021) Age-period cohort modelling and covariates, with an application to obesity in England 2001-2014. Journal of the Royal Statistical Society, Series A 184, 842-867. Download: Open access. Earlier version: Nuffield Discussion Paper 2018-W05. Supplement Code for replication: 2018-W05a.

(53) Hendry, D.F. and Nielsen, B. (2021) Oxford's contributions to econometrics. In: R.A. Cord The Palgrave Companion to Oxford Economics Cham: Palgrave Macmillan. 3-28.

(52) Kuang, D. and Nielsen, B. (2020) Generalized Log-Normal Chain-Ladder. Scandinavian Actuarial Journal 2020, 553--576. Download: Open access. Supplementary material: reproducing results. Previous versions: arXiv , Nuffield Discussion Paper 2018-W02. Vignettes with code: apc in R.

(51) Berenguer-Rico, V. and Nielsen, B. (2020) Cumulated sum of squares statistics for non-linear and non-stationary regressions. Econometric Theory 20, 1-47. Download: doi.org/10.1017/S0266466618000476. Nuffield Discussion Paper 2015-W09. Revised Version 2018: 2015-W09a.

(50) Fannon, Z. and Nielsen, B. (2019) Age-period-cohort models. Oxford Research Encyclopedia of Economics and Finance. Oxford University Press. Download: Article. Earlier version: Nuffield Discussion Paper 2018-W04.

(49) Elpidorou, V., Margraf, C., Martínez-Miranda, M.D. and Nielsen, B. (2019) A likelihood approach to Bornhuetter-Ferguson analysis. Risks 7, article 119. Download: Article, open access.

(48) Kurita, T. and Nielsen, B. (2019) Partial cointegrated vector autoregressive models with structural breaks in deterministic terms. Econometrics 7, article 42. Download: Article, open access. Supplement: Supplement. Response surface for quantiles. Earlier version: Nuffield Discussion Paper 2018-W03.

(47) Johansen, S. and Nielsen, B. (2019) Boundedness of M-estimators for multiple linear regression in time series. Econometric Theory 35, 653-683. Previously circulated with the title "Tightness of M-estimators for multiple linear regression in time series". Download: Article: doi.org/10.1017/S0266466618000257. Earlier version: CREATES resarch paper 2016-18,

(46) Bernstein, D. and Nielsen, B. (2019) Asymptotic theory for cointegration analysis when the cointegration rank is deficient. Econometrics 7, article 6. Download: Article, open access. Earlier version: Nuffield Discussion Paper 2014-W06.

(45) Harnau, J. and Nielsen, B. (2018) Over-dispersed age-period-cohort models. Journal of the American Statistical Association 113, 1722-1732. Download: Article, doi.org/10.1080/01621459.2017.1366908. Earlier version: Nuffield Discussion Paper 2017-W06. Vignettes with code: apc in R, apc in Python, and with description of typos in Table 3,4.

(44) Jiao, X. and Nielsen, B. (2017) Asymptotic Analysis of Iterated 1-step Huber-skip M-estimators with Varying Cut-offs. In Antoch, J., Jurečková, J., Maciak, M. and Pešta, M. (Eds.) Analytic Methods in Statistics: AMISTAT, Prague, November 2015. Springer Proceedings in Mathematics & Statistics, 193, 23-52. Download: Article. Earlier version: Nuffield Discussion Paper 2016-W08.

(43) Martínez-Miranda, M.D., Nielsen, B. and Nielsen, J.P. (2016) A simple benchmark for mesothelioma projection for Great Britain. Occupational and Environmental Medicine 73, 561-563. Download: Article. Nuffield Discussion Paper 2016-W03. Data and code pdf, R Code, see also apc vignettes.

(42) Johansen, S. and Nielsen, B. (2016) Asymptotic theory of outlier detection algorithms for linear time series regression models (with discussion). Scandinavian Journal of Statistics 43, 321-381. Download: doi.org/10.1111/sjos.12174. Earlier version: Nuffield Discussion Paper 2014-W04. Method implemented in R-package ForwardSearch.

(41) Johansen, S. and Nielsen, B. (2016) Analysis of the Forward Search using some new results for martingales and empirical processes. Bernoulli 22, 1131-1183. Download: Article. doi.org/10.3150/14-BEJ689. Earlier version: Nuffield Discussion Paper 2013-W02. CREATES discussion paper 13-05. Corrigendum. (2019) Bernoulli 25, 3201.

(40) Nielsen, B. (2015) apc: An R package for age-period-cohort analysis. R Journal 7(1), 52-64. Download: Open access. R-package: CRAN and development version.

(39) Kuang, D., Nielsen, B. and Nielsen, J.P. (2015) The geometric chain-ladder. Scandinavian Actuarial Journal vol. 2015, 278-300. Download: Nuffield DP. Published version.

(38) Nielsen, B. and Whitby, A. (2015) A Joint Chow Test for Structural Instability. Econometrics 3, 156--186. Best paper award 2016. Download: Open Access; Earlier version: Nuffield Discussion Paper 2012-W07.

(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. Data and code: PDF, R code, see also apc vignettes.

(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. Published version 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. JSTOR.

(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) Doornik, J.A., Hendry, D.F. and Nielsen, B. (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. Download: Preprint 1995-5, Institute of Mathematical Statistics, University of Copenhagen, Abstract.

(3) Nielsen, B. (1997) Bartlett correction of the unit root test in autoregressive models. Biometrika 84, 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

apc: An R package for age-period-cohort modelling. Download: apc from CRAN and development version.

(54) Fannon, Z., Monden, C. and Nielsen, B. (2021) Age-period cohort modelling and covariates, with an application to obesity in England 2001-2014. Journal of the Royal Statistical Society Series A 184, 842-867. Download: Open access. Earlier version: Nuffield Discussion Paper 2018-W05. Supplement Code for replication: 2018-W05a.

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

(49) Elpidorou, V., Margraf, C., Martínez-Miranda, M.D. and Nielsen, B. (2019) A likelihood approach to Bornhuetter-Ferguson analysis. Risks 7, article 119. Download: Article, open access.

(45) Harnau, J. and Nielsen, B. (2018) Over-dispersed age-period-cohort models. Journal of the American Statistical Association 113, 1722-1732. Download: Article. Earlier version: Nuffield Discussion Paper 2017-W06. Vignettes with code: apc in R, apc in Python, and with description of typos in Table 3,4.

(40) Nielsen, B. (2015) apc: An R package for age-period-cohort analysis. R Journal 7, 52-64. Download: Open access. R-package: CRAN and development version.

(39) Kuang, D., Nielsen, B. and Nielsen, J.P. The geometric chain-ladder. Scandinavian Actuarial Journal vol. 2015, 278-300. Download: Nuffield DP. Published version.

(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.

Co-explosiveness

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

(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.

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

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

Cointegration

(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. JSTOR.

(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.

Outlier detection

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

Nielsen, B. and Qian, M. (2023) Asymptotic properties of the gauge and power of Step-Indicator Saturation. Download: Nuffield Discussion Paper 2023-W03.

Berenguer-Rico, V., Johansen, S. and Nielsen, B. (2019) Uniform consistency of marked and weighted empirical distributions of residuals. Download: Nuffield Discussion Paper 2019-W04, Oxford Department of Economics Discussion Paper 871, Copenhagen Department of Economics Discussion Paper 19-09.

Berenguer-Rico, V., Johansen, S. and Nielsen, B. (2019) The analysis of marked and weighted empirical processes of estimated residuals. Download: Nuffield Discussion Paper 2019-W03, Oxford Department of Economics Discussion Paper 870, Copenhagen Department of Economics Discussion Paper 19-05, CREATES resarch paper 2019-06.

(47) Johansen, S. and Nielsen, B. (2019) Boundedness of M-estimators for multiple linear regression in time series. Econometric Theory 35, 653-683. Download: Article: doi.org/10.1017/S0266466618000257. Earlier version: Previously circulated with the title "Tightness of M-estimators for multiple linear regression in time series". CREATES resarch paper 2016-18,

(41) Johansen, S. and Nielsen, B. (2016) Analysis of the Forward Search using some new results for martingales and empirical processes. Bernoulli 22, 1131-1183. Download: Article. Nuffield Discussion Paper 2013-W02. CREATES discussion paper 13-05. Corrigendum. (2019) Bernoulli 25, 3201.

Time series specification tests

Berenguer-Rico, V. and Nielsen, B. (2018) Marked and Weighted Empirical Processes of Residuals with Applications to Robust Regressions Download: Department of Economics Discussion Paper 841 .

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

Caceres, C. and Nielsen, B. (2006) Asymptotic properties of White's test for heteroskedasticity.

(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.

Bent Nielsen: Publications

Book

Unpublished papers

Published papers

Papers by theme

Age-period-cohort & chain ladder

Co-explosiveness

Cointegration

Outlier detection

Time series specification tests

Unit root testing

Some older unpublished papers