Semiparametric tests for the order of integration in the possible presence of level breaks. / Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert.
In: Journal of Business and Economic Statistics, 2021.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
To infinity and beyond : Efficient computation of ARCH(∞) models. / Nielsen, Morten Ørregaard; L. Noël, Antoine.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2020.Research output: Working paper › Research
Adaptive Inference in Heteroskedastic Fractional Time Series Models. / Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, Robert.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2020.Research output: Working paper › Research
Truncated sum of squares estimation of fractional time series models with deterministic trends. / Hualde, Javier; Nielsen, Morten Ørregaard.
In: Econometric Theory, Vol. 36, No. 4, 08.2020, p. 751-772.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Wild Bootstrap and Asymptotic Inference with Multiway Clustering. / MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2020.Research output: Working paper › Research
Asymptotic theory and wild bootstrap inference with clustered errors. / Djogbenou, Antoine A.; MacKinnon, James G.; Nielsen, Morten Ørregaard.
In: Journal of Econometrics, Vol. 212, No. 2, 10.2019, p. 393-412.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model. / Johansen, Søren; Nielsen, Morten Ørregaard.
In: Journal of Time Series Analysis, Vol. 40, No. 4, 07.2019, p. 519-543.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter-Hudak (1983) : Guest Editors' Introduction. / Nielsen, Morten Ørregaard; Hualde, Javier.
In: Journal of Time Series Analysis, Vol. 40, No. 4, 07.2019, p. 386-387.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Editorial › peer-review
Truncated sum of squares estimation of fractional time series models with deterministic trends. / Hualde, Javier; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2019.Research output: Working paper › Research
Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. / Djogbenou, Antoine A.; James G. MacKinnon, James G.; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2019.Research output: Working paper › Research
Wild Bootstrap and Asymptotic Inference With Multiway Clustering. / MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D.
In: Journal of Business and Economic Statistics, 01.01.2019.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Fast and wild : Bootstrap inference in Stata using boottest. / Roodman, G David; MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, Matthew D.
In: Stata Journal, Vol. 19, 2019, p. 4-60.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. / Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, Morten Ørregaard; Xu, Ke.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.Research output: Working paper › Research
Fast and Wild: Bootstrap Inference in Stata Using boottest. / MacKinnon, James G.; Nielsen, Morten Ørregaard; Roodman, David; Webb, Matthew D.
Aarhus : Institut for Økonomi, Aarhus Univeritet, 2018.Research output: Working paper › Research
Testing the CVAR in the Fractional CVAR Model. / Johansen, Søren; Nielsen, Morten Ørregaard.
In: Journal of Time Series Analysis, Vol. 39, No. 6, 01.11.2018, p. 836-849.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Nonstationary cointegration in the fractionally cointegrated VAR model. / Johansen, Søren; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.Research output: Working paper › Research
Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. / Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, Morten Ørregaard; Xu, Ke.
In: Journal of Futures Markets, Vol. 38, No. 2, 01.02.2018, p. 219-242.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Forecasting daily political opinion polls using the fractionally cointegrated vector auto-regressive model. / Nielsen, Morten Ørregaard; Shibaev, Sergei S.
In: Journal of the Royal Statistical Society. Series A: Statistics in Society, Vol. 181, No. 1, 01.01.2018, p. 3-33.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
The cointegrated vector autoregressive model with general deterministic terms. / Johansen, Søren; Nielsen, Morten Ørregaard.
In: Journal of Econometrics, Vol. 202, No. 2, 2018, p. 214-229.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Testing the CVAR in the fractional CVAR model. / Johansen, Søren; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.Research output: Working paper › Research
Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form. / Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, Robert.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.Research output: Working paper › Research
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. / Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A.M. Robert.
In: Journal of Econometrics, Vol. 198, No. 1, 2017, p. 165-188.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Forecasting daily political opinion polls using the fractionally cointegrated VAR model. / Nielsen, Morten Ørregaard; Shibaev, Sergei S.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.Research output: Working paper › Research
The cointegrated vector autoregressive model with general deterministic terms. / Johansen, Søren; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.Research output: Working paper › Research
A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. / Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke.
In: Journal of Empirical Finance, Vol. 38, No. B, 2016, p. 623–639.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models. / Johansen, Søren; Nielsen, Morten Ørregaard.
In: Econometric Theory, Vol. 32, No. 5, 2016, p. 1095-1139.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
A fractionally cointegrated VAR analysis of economic voting and political support. / Jones, Maggie E C; Nielsen, Morten Orregaard; Popiel, Michał Ksawery.
In: Canadian Journal of Economics, Vol. 47, No. 4, 11.2015, p. 1078–1130.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Improved likelihood ratio tests for cointegration rank in the VAR model. / Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten Ørregaard.
In: Journal of Econometrics, Vol. 184, No. 1, 2015, p. 97-110.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
A fast fractional difference algorithm. / Jensen, Andreas Noack; Nielsen, Morten Ørregaard.
In: Journal of Time Series Analysis, Vol. 35, No. 5, 01.01.2014, p. 428-436.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Numerical distribution functions of fractional unit root and cointegration tests. / Mackinnon, James G.; Nielsen, Morten Ørregaard.
In: Journal of Applied Econometrics, Vol. 29, No. 1, 2014, p. 161-171.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
The role of initial values in nonstationary fractional time series models. / Johansen, Søren; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.Research output: Working paper › Research
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model. / Johansen, Søren; Nielsen, Morten Ørregaard.
In: Econometrica, Vol. 80, No. 6, 01.11.2012, p. 2667-2732.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model. / Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.Research output: Working paper › Research
Nearly efficient likelihood ratio tests of the unit root hypothesis. / Jansson, Michael; Nielsen, Morten Ørregaard.
In: Econometrica, Vol. 80, No. 5, 01.09.2012, p. 2321-2332.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
A necessary moment condition for the fractional functional central limit theorem. / Johansen, Søren; Nielsen, Morten Ørregaard.
In: Econometric Theory, Vol. 28, No. 3, 01.06.2012, p. 671-679.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Local polynomial Whittle estimation of perturbed fractional processes. / Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten Ørregaard.
In: Journal of Econometrics, Vol. 167, No. 2, 2012, p. 426–447.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
The impact of financial crises on the risk-return tradeoff and the leverage effect. / Christensen, Bent Jesper; Nielsen, Morten Ørregaard; Zhu, Jie.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.Research output: Working paper › Research
The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. / Busch, Thomas; Christensen, Bent Jesper; Nielsen, Morten Ørregaard.
In: Journal of Econometrics, Vol. 160, No. 1, 2011, p. 48-57.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
A necessary moment condition for the fractional functional central limit theorem. / Johansen, Søren; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.Research output: Working paper › Research
Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration. / Nielsen, Morten Ørregaard; Frederiksen, Per.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.Research output: Working paper › Research
Likelihood inference for a fractionally cointegrated vector autoregressive model. / Johansen, Søren; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.Research output: Working paper › Research
Numerical distribution functions of fractional unit root and cointegration tests. / MacKinnon, James G.; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.Research output: Working paper › Research
A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic. / Nielsen, Morten Ørregaard.
In: Econometric Theory, Vol. 25, 2009, p. 1515-1544.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots. / Jansson, Michael; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.Research output: Working paper › Research
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis. / Jansson, Michael; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.Research output: Working paper › Research
Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders. / Nielsen, Morten Ørregaard.
Aarhus, 2009.Research output: Working paper › Research
A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic. / Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.Research output: Working paper › Research
Bias-reduced estimation of long memory stochastic volatility. / Frederiksen, Per; Nielsen, Morten Ørregaard.
Aarhus : Inistitut for Økonomi, Aarhus Universitet, 2008.Research output: Working paper › Research
Local polynomial Whittle estimation of perturbed fractional processes. / Frederiksen, Per; Nielsen, Frank; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.Research output: Working paper › Research
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. / Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per Houmann; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.Research output: Working paper › Research
Likelihood inference for a nonstationary fractional autoregressive model. / Johansen, Søren; Nielsen, Morten Ørregaard.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.Research output: Working paper › Research