Department of Economics and Business Economics

Niels Haldrup

  1. 2018
  2. Published

    A Parametric Factor Model of the Term Structure of Mortality. / Haldrup, Niels; Rosenskjold, Carsten Paysen T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

    Research output: Working paperResearch

  3. 2017
  4. Published

    Spikes and memory in (Nord Pool) electricity price spot prices. / Proietti, Tomasso; Haldrup, Niels; Knapik, Oskar.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  5. Published

    Long memory, fractional integration, and cross sectional aggregation. / Haldrup, Niels; Vera-Valdés, Eduardo.

    In: Journal of Econometrics, Vol. 199, No. 1, 2017, p. 1-11.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. Published

    Space-time modeling of electricity spot prices. / Abate, Girum Dagnachew; Haldrup, Niels.

    In: The Energy Journal, Vol. 38, No. 5, 2017, p. 175-196.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. 2016
  8. Published

    A generalized exponential time series regression model for electricity prices. / Haldrup, Niels; Knapik, Oskar; Proietti, Tomasso.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

    Research output: Working paperResearch

  9. Published

    CREATES Annual Report 2015. / Haldrup, Niels.

    Aarhus : Aarhus University, Center for Research in Econometric Analysis of Times Series, CREATES, 2016. 118 p.

    Research output: Book/anthology/dissertation/reportReportCommunication

  10. Published

    Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. / Ergemen, Yunus Emre; Haldrup, Niels; Rodríguez-Caballero, Carlos Vladimir.

    In: Energy Economics, Vol. 60, No. November, 2016, p. 79-96.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. 2015
  12. Published

    Long Memory, Fractional Integration, and Cross-Sectional Aggregation. / Haldrup, Niels; Vera-Valdés, Eduardo.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paperResearch

  13. Published
  14. Published

    Space-time modeling of electricity spot prices. / Abate, Girum Dagnachew; Haldrup, Niels.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paperResearch

  15. Published

    CREATES Annual Report 2014. / Haldrup, Niels.

    Aarhus : Aarhus University, Center for Research in Econometric Analysis of Times Series, CREATES, 2015. 109 p.

    Research output: Book/anthology/dissertation/reportReportCommunication

  16. Published

    Deterministic and stochastic trends in the Lee-Carter mortality model. / Callot, Laurent; Haldrup, Niels; Kallestrup-Lamb, Malene.

    In: Applied Economics Letters, Vol. 23, No. 7, 2015, p. 486-493.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  17. 2014
  18. Published

    Deterministic and stochastic trends in the Lee-Carter mortality model. / Callot, Laurent; Haldrup, Niels; Kallestrup-Lamb, Malene.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paperResearch

  19. Published

    Discriminating between fractional integration and spurious long memory. / Haldrup, Niels; Kruse, Robinson.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paperResearch

  20. Published

    CREATES Annual Report 2013. / Haldrup, Niels.

    Aarhus : Aarhus University, Center for Research in Econometric Analysis of Times Series, CREATES, 2014. 103 p.

    Research output: Book/anthology/dissertation/reportReportCommunication

  21. Published

    Essays on Non-linear Time Series Econometrics. / Haldrup, Niels; Meitz, Mika; Saikkonen, Pentti.

    Oxford : Oxford University Press, 2014. 450 p.

    Research output: Book/anthology/dissertation/reportBookResearchpeer-review

  22. 2013
  23. Published

    CREATES Annual Report 2012. / Haldrup, Niels.

    Aarhus : Aarhus University, Center for Research in Econometric Analysis of Times Series, CREATES, 2013. 91 p.

    Research output: Book/anthology/dissertation/reportReportCommunication

  24. Published

    Unit Roots, Non-linearities, and Structural Breaks. / Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; Varneskov, Rasmus T.

    Handbook of Research Methods and Applications in Empirical Macroeconomics. ed. / Nigar Hashimzade; Michael A. Thornton. Cheltenham : Edward Elgar Publishing, 2013. p. 61-94.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  25. 2012
  26. Published

    Unit roots, nonlinearities and structural breaks. / Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; Varneskov, Rasmus T.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  27. Published

    CREATES Annual Report 2011. / Haldrup, Niels.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Book/anthology/dissertation/reportReportCommunication

  28. 2011
  29. Published

    CREATES Annual Report 2010. / Haldrup, Niels.

    2011.

    Research output: Book/anthology/dissertation/reportReportCommunication

  30. Published

    Detection of Additive Outliers in Seasonal Time Series. / Haldrup, Niels; Montanés, Antonio; Sansó, Andreu.

    In: Journal of Time Series Econometrics, Vol. 3, No. 2, Article 2, 2011.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  31. Published

    Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction. / Bollerslev, Tim; Christensen, Bent Jesper; Haldrup, Niels; Lunde, Asger.

    In: Journal of Time Series Econometrics, Vol. 3, No. 1, Article 1, 2011.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  32. 2010
  33. Published

    A Vector Autoregressive Model for Electricity Prices subject to Long Memory and Regime Switching. / Haldrup, Niels; Nielsen, Frank; Nielsen, Morten Ørregaard.

    In: Energy Economics, Vol. 32, No. 5, 2010, p. 1044-1058.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  34. Published

    CREATES Annual Report 2009. / Haldrup, Niels.

    2010.

    Research output: Book/anthology/dissertation/reportReportCommunication

  35. Published

    Separation in Cointegrated Systems. / Haldrup, Niels.

    In: Journal of Financial Econometrics, Vol. 8, No. 2, 2010, p. 177-180.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  36. 2009
  37. Published

    CREATES Annual Report 2008. / Haldrup, Niels.

    2009.

    Research output: Book/anthology/dissertation/reportReportCommunication

  38. Published

    Detection of additive outliers in seasonal time series. / Haldrup, Niels; Montañés, Antonio; Sansó, Andreu.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Research output: Working paperResearch

  39. 2008
  40. Published

    A note on the Vogelsang test for additive outliers. / Haldrup, Niels; Sanso, Andreu.

    In: Statistics & Probability Letters, Vol. 78, 2008, p. 296-306.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  41. Published

    CREATES Annual Report 2007. / Haldrup, Niels.

    2008.

    Research output: Book/anthology/dissertation/reportReportCommunication

  42. Published

    Sequential Versus Simultaneous Market Delineation : The Relevant Antitrust Market for Salmon. / Haldrup, Niels; Møllgaard, Peter; Nielsen, Claus Kastberg.

    In: Journal of Competition Law & Economics, Vol. 4, No. 3, 2008, p. 893-913.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  43. 2007
  44. Published

    A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching. / Haldrup, Niels; Nielsen, Frank; Nielsen, Morten Ørregaard.

    2007.

    Research output: Working paperResearch

  45. Published

    Common Periodic Correlation Features and the Interaction of Stock and Flows in Daily Airport Data. / Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; Sansó, Andreu.

    In: Journal of Business and Economic Statistics, Vol. 25, No. 1, 2007, p. 21-32.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  46. Published

    Estimation of fractional integration and cointegration in the presence of data noise. / Haldrup, Niels; Ørregaard Nielsen, Morten.

    In: Computational Statistics and Data Analysis, Vol. 51, 2007, p. 3100-3114.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  47. 2006
  48. Published

    A Gaussian IV estimator of cointegrating relations. / Bårdsen, Gunnar; Haldrup, Niels.

    2006.

    Research output: Working paperResearch

  49. Published

    A Note on the Vogelsang Test for Additive Outliers. / Haldrup, Niels; Sansó, Andreu.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2006.

    Research output: Working paperResearch

  50. Published

    Directional Congestion and regime switching in a long memory model for electricity prices. / Haldrup, Niels; Ørregaard Nielsen, Morten.

    In: Studies in Nonlinear Dynamics and Econometrics (Online), Vol. 10, 2006, p. 1-24.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  51. Published

    Improving power and size in unit root testing. / Haldrup, Niels; Jansson, Michael.

    Palgrave Handbooks of Econometrics: Econometric Theory. Vol. 1 New York : Palgrave Macmillan, 2006. p. 252-277.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  52. Published

     A regime switching long memory model for electricity prices. / Haldrup, Niels; Ørregaard Nielsen, Morten.

    In: Journal of Econometrics, Vol. 135, 2006, p. 349-376.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  53. 2005
  54. Published

    Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices. / Haldrup, Niels; Nielsen, Morten Ø.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2005.

    Research output: Working paperResearch

  55. Published

    Improving Size and Power in Unit Root Testing. / Haldrup , Niels; Jansson, Michael.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2005.

    Research output: Working paperResearch

  56. Published

    Local Power Functions of Tests for Double Unit Roots. / Haldrup, Niels; Lildholt, P.

    In: Statistica Neerlandica, Vol. 59, No. 2, 2005, p. 151-179.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  57. Published

    Measurement Errors and Outliers in Seasonal Unit Root Testing. / Haldrup, Niels; Montanes, Antonio; Sanso, Andreu.

    In: Journal of Econometrics, Vol. 127, 2005, p. 103-128.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  58. Published

    Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon. / Haldrup, Niels; Peter, Møllgaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2005.

    Research output: Working paperResearch

  59. 2004
  60. Published

    A Regime Switching Long Memory Model for Electricity Prices. / Haldrup, N.; Nielsen, M.Ø.

    Afdeling for Nationaløkonomi, Institut for Økonomi, Aarhus Universitet, 2004.

    Research output: Working paperResearch

  61. Published
  62. Published

    Long-run forecasting in multi-cointegrated systems. / Siliverstovs, B.; Haldrup, N.; Engsted, T.

    In: Journal of Forecasting, Vol. 23, 2004, p. 315-335.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  63. Published

    Nobel-prisen i Økonomi 2003, Tidsserieøkonometri: Cointegration og ARCH, Clive W.J. Granger og Robert F. Engle. / Christiansen, C.; Haldrup, N.

    In: Finans/Invest, Vol. 4, No. 2, 2004, p. 23-27.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  64. Published

    Testing for Additive Outliers in Seasonally Integrated Time Series. / Haldrup, N.; Montanes, A.; Sanso, A.

    Afdeling for Nationaløkonomi, Institut for Økonomi, Aarhus Universitet, 2004.

    Research output: Working paperResearch

  65. 2003
  66. Published

    Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis. / Haldrup, N.

    The internal market and the relevant geographical market. Bruxelles : Enterprise DG, 2003.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  67. Published

    Estimation of fractional integration in the presence of data noise. / Haldrup, N.; Nielsen, M.Ø.

    Afdeling for Nationaløkonomi, IfØ, Aarhus Universitet, 2003.

    Research output: Working paperResearch

  68. Published

    Guest editors introduction: Model selection and evaluation in econometrics. / Haldrup, N.; Hendry, D.F.; Dijk, H.K.van.

    In: Oxford Bulletin of Economics and Statistics, Vol. 65, No. Supplement, 2003, p. 681-688.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearch

  69. Published

    Model selection and evaluation in econometrics. / Haldrup, N.; Hendry, D.F.; Dijk, H.K.van.

    In: Oxford Bulletin of Economics and Statistics, Vol. 65, No. Supplement, 2003, p. 681-906.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  70. 2002
  71. Published

    On the Robustness of Unit Root Tests in the Presence of Double Unit Roots. / Haldrup, N.; Lildholdt, P.M.

    In: Journal of Time Series Analysis, Vol. 23, No. 2, 2002, p. 155-171.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  72. Published

    Regression Theory for Nearly Co-Integrated Time Series. / Jansson, M.; Haldrup, N.

    In: Econometric Theory, Vol. 18, No. 6, 2002, p. 1309-1335.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  73. 2001
  74. Published

    Separation in Cointegrated Systems and Permanent-Transitory Decompositions. / Granger, C.W.J.; Haldrup, N.; Ghysels, E. (Editor); Swanson, N.R. (Editor); Watson, M.W. (Editor).

    Essays in Econometrics, Collected Papers of Clive W.J. Granger: Vol. II, Causality, Integration and Cointegration. Econometric Society Monographs. Cambridge : Cambridge University Press, 2001.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  75. 2000
  76. Published

    A Review of Unit Roots, Cointegration, and Structural Change by G. S. Maddala and In Moo Kim, Cambridge University Press. / Haldrup, Niels.

    In: The Economic Journal, Vol. 110, No. 1, 2000, p. F800-F803.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperReviewResearch

  77. Published

    Labour Market Implications of EU Product Market Integration. / Andersen, Torben M.; Haldrup, Niels; Sørensen, J. R.

    In: Economic Policy, Vol. 30, 2000, p. 107-133.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  78. Published

    Product Market Introduction and European Labour Markets. / Haldrup, Niels; Andersen, Torben M.; Rose Sørensen, Jan.

    In: Economic Policy, Vol. 30, 2000, p. 107-133.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  79. Published

    Udviklingslinier i Økonometrien. / Bunzel, Henning; Christensen, Bent Jesper; Haldrup, Niels; Hylleberg, Svend; Høst, Viggo; Jensen, Peter; Wurtz, Allan.

    Udviklingslinier i Økonomisk Teori. ed. / Christian Hjort-Andersen. København : Djøf Forlag, 2000. p. 47-105.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  80. 1999
  81. Published

    Estimating the LQAC Model with I(2) Variables. / Engsted, Tom; Haldrup, Niels.

    In: Journal of Applied Econometrics, Vol. 14, No. 2, 1999, p. 155-170.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  82. Published

    Multicointegration in Stock-Flow Models. / Engsted, Tom; Haldrup, Niels.

    In: Oxford Bulletin of Economics and Statistics, Vol. 61, No. 2, 1999, p. 237-254.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  83. 1998
  84. Published

    An Econometric Analysis of I(2) Variables. / Haldrup, Niels.

    In: Journal of Economic Surveys, Vol. 12, No. 5, 1998, p. 595-650.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  85. Published

    Representation of I(2) Cointegrated Systems using the Smith-McMillan Form. / Haldrup, Niels; Salmon, Mark.

    In: Journal of Econometrics, Vol. 84, No. 2, 1998, p. 303-325.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  86. Published

    Spurious Regression Amongst Dependent Integrated Processes. / Haldrup, Niels.

    20th Symposium in Applied Statistics. 1998. p. 327-339.

    Research output: Contribution to book/anthology/report/proceedingArticle in proceedingsResearch

  87. 1997
  88. Published

    Money Demand, Adjustment Costs, and Forward Looking Behaviour. / Engsted, Tom; Haldrup, Niels.

    In: Journal of Policy Modeling, Vol. 19, 1997, p. 153-173.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  89. Published

    Multiple Unit Roots in Periodic Autoregression. / Boswijk, H Peter; Franses, Philip Hans; Haldrup, Niels.

    In: Journal of Econometrics, Vol. 80, No. 1, 1997, p. 167-193.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  90. Published

    Near-integration and Deterministic Trends. / Haldrup, Niels; Hylleberg, Svend.

    In: Statistical Papers, Vol. 38, No. 1, 1997, p. 77-101.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  91. Published

    Separation in Cointegrated Systems and Persisten-Transitory Decompositions. / Granger, Clive W J ; Haldrup, Niels.

    In: Oxford Bulletin of Economics and Statistics, Vol. 59, No. 4, 1997, p. 449-463.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  92. Published

    Testing for Multicointegration. / Engsted, Tom; Gonzalo, Jesus; Haldrup, Niels.

    In: Economics Letters, Vol. 56, No. 3, 1997, p. 259-266.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  93. 1996
  94. Published

    Mirror Image Distributions and the Dickey-Fuller Regression with a Maintained Trend. / Haldrup, Niels.

    In: Journal of Econometrics, Vol. 72, No. 1-2, 1996, p. 301-313.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  95. 1995
  96. Published

    A Note on: The Distribution of the Least Squares Estimator of a Random Walk with Drift - Some Analytical Evidence. / Haldrup, Niels; Hylleberg, Svend.

    In: Economic Letters, Vol. 48, 1995, p. 221-228.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  97. 1994
  98. Published

    Heteroscedasticity in Non-Stationary Time Series. Some Monte Carlo Evidence. / Haldrup, Niels.

    In: Statistical Papers, Vol. 35, No. 1, 1994, p. 287-307.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  99. Published

    Semi-parametric Tests for Double Unit Roots. / Haldrup, Niels.

    In: Journal of Business and Economic Statistics, Vol. 12, No. 1, 1994, p. 109-122.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  100. Published

    The Asymptotics of Single Equation Cointegeration Regression Models with I(1) and I(2) Variables. / Haldrup, Niels.

    In: Journal of Econometrics, Vol. 63, No. 1, 1994, p. 153-181.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  101. Published

    The Effects of Additive Outliers on Tests for Unit Roots and Cointegdration. / Franses, Philip Hans; Haldrup, Niels.

    In: Journal of Business and Economic Statistics, Vol. 12, No. 4, 1994, p. 471-478.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  102. Published

    The Linear Quadratic Adjustment Cost Model and the Demand for Labour. / Engsted, Tom; Haldrup, Niels.

    In: Journal of Applied Econometrics, Vol. 9 Supplement, 1994, p. S145-S159.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review