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Heino Bohn Nielsen

University of Copenhagen (from arXiv:2302.02867, 2023) · ORCID · OpenAlex

25 papers in scope · 24 published · 1 on the econ.EM arXiv · 324 citations · h-index 11 (over the papers listed here)

Papers

(1 of 25)

Confidence Intervals for Price Discovery
published2026 · Oxford Bulletin of Economics and Statistics · 1 citations
with Paolo Paruolo, Anders Rahbek
Oxford Bulletin of Economics and Statistics
Testing in GARCH‐X models: boundary, correlations and bootstrap theory
published2024 · Journal of Time Series Analysis · 1 citations
with Rasmus Søndergaard Pedersen, Anders Rahbek, Sigurd Nellemann Thorsen
Journal of Time Series Analysis
Forecast performance of noncausal autoregressions and the importance of unit root pretesting
published2024 · Journal of Forecasting · 1 citations
with Frédérique Bec
Journal of Forecasting
Power of Unit Root Tests Against Nonlinear and Noncausal Alternatives with an Application to the Brent Crude Oil Price
published2023 · Studies in Nonlinear Dynamics and Econometrics · 3 citations
with Frédérique Bec, Alain Guay, Sarra Saïdi
Studies in Nonlinear Dynamics and Econometrics
Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
published2023 · Econometrics Journal · 5 citations
with Anders Rahbek
Econometrics Journal
Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary
working paper2023 · arXiv
with Anders Rahbek
Paper profile arXiv arXiv:2302.02867
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
published2020 · Journal of Econometrics · 27 citations · first circulated 2018
with Giuseppe Cavaliere, Rasmus Søndergaard Pedersen, Anders Rahbek
Journal of Econometrics
Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1
published2020 · Oxford Bulletin of Economics and Statistics · 13 citations
with Frédérique Bec, Sarra Saïdi
Oxford Bulletin of Economics and Statistics
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
published2018 · Journal of Business and Economic Statistics · 36 citations
with Giuseppe Cavaliere, Anders Rahbek
Journal of Business and Economic Statistics
Estimation bias and bias correction in reduced rank autoregressions
published2017 · Econometric Reviews · 4 citations
Econometric Reviews
On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
published2016 · Journal of Time Series Analysis · 28 citations
with Giuseppe Cavaliere, Anders Rahbek
Journal of Time Series Analysis
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
published2015 · Econometrica · 43 citations
with Giuseppe Cavaliere, Anders Rahbek
Econometrica
The Co-Integrated Vector Autoregression with Errors–in–Variables
published2014 · Econometric Reviews · 5 citations
Econometric Reviews
Unit root vector autoregression with volatility induced stationarity
published2014 · Journal of Empirical Finance · 34 citations · first circulated 2012
with Anders Rahbek
Journal of Empirical Finance
An I(2) cointegration model with piecewise linear trends
published2011 · Econometrics Journal · 13 citations · first circulated 2009
with Takamitsu Kurita, Anders Rahbek
Econometrics Journal
Monetary Policy in the Greenspan Era: A Time Series Analysis of Rules vs. Discretion*
published2008 · Oxford Bulletin of Economics and Statistics · 15 citations
with Anders Møller Christensen
Oxford Bulletin of Economics and Statistics
Influential observations in cointegrated VAR models: Danish money demand 1973–2003
published2008 · Econometrics Journal · 11 citations
Econometrics Journal
Comment on “The long-run determinants of UK wages, 1860–2004”
published2007 · Journal of Macroeconomics · 2 citations
Journal of Macroeconomics
THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL
published2007 · Econometric Theory · 43 citations · first circulated 2003
with Anders Rahbek
Econometric Theory
UK money demand 1873–2001: a long-run time series analysis and event study
published2007 · Cliometrica · 11 citations
Cliometrica
A “maximum-eigenvalue” test for the cointegration ranks in I(2) vector autoregressions
published2006 · Economics Letters · 2 citations
Economics Letters
Inflation adjustment in the open economy: an I(2) analysis of UK prices
published2006 · Empirical Economics · 8 citations · first circulated 2003
with Christopher Bowdler
Empirical Economics
Analysing I(2) Systems by Transformed Vector Autoregressions*
published2004 · Oxford Bulletin of Economics and Statistics · 2 citations
with Hans Christian Kongsted
Oxford Bulletin of Economics and Statistics
Cointegration analysis in the presence of outliers
published2004 · Econometrics Journal · 12 citations
Econometrics Journal
An I(2) Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports
published2002 · Oxford Bulletin of Economics and Statistics · 4 citations · first circulated 2001
Oxford Bulletin of Economics and Statistics

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.