← All authors Bent Nielsen University of Oxford (from arXiv:2502.09145, 2025) · ORCID · OpenAlex
52 papers in scope · 51 published · 2 on the econ.EM arXiv · 2,131 citations · h-index 19 (over the papers listed here)
Papers (2 of 52)
ASYMPTOTIC PROPERTIES OF THE GAUGE AND POWER OF STEP-INDICATOR SATURATION
published 2025 · Econometric Theory · 2 citations
with Matthias Qian
Two-sample Age-period-cohort Models
published 2025 · Sociological Methods & Research
LEAST TRIMMED SQUARES: NUISANCE PARAMETER FREE ASYMPTOTICS
published 2025 · Econometric Theory
with Vanessa Berenguer-Rico
working paper 2025 · arXiv
Normality testing after outlier removal
published 2023 · Econometrics and Statistics · 11 citations
with Vanessa Berenguer-Rico
A model where the least trimmed squares estimator is maximum likelihood
published 2023 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 12 citations · first circulated 2019
Causal Transmission in Reduced-Form Models
published 2022 · Econometrics · 2 citations
with Vassili Bazinas
Modelling Non-Linear Age-Period-Cohort Effects and Covariates, With an Application to English Obesity 2001–2014
published 2021 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 12 citations
with Zoë Fannon, Christiaan Monden
published 2019 · Scandinavian Actuarial Journal · 8 citations · first circulated 2018
A Likelihood Approach to Bornhuetter–Ferguson Analysis
published 2019 · Risks · 4 citations
with Valandis Elpidorou, Carolin Margraf, María Dolores Martínez-Miranda
Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms
published 2019 · Econometrics · 17 citations
CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS
published 2019 · Econometric Theory · 2 citations
with Vanessa Berenguer-Rico
Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
published 2019 · Econometrics · 8 citations · first circulated 2014
with David Bernstein, David J. Bernstein
BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES
published 2018 · Econometric Theory · 5 citations
Over-Dispersed Age-Period-Cohort Models
published 2017 · Journal of the American Statistical Association · 16 citations
with Jonas Harnau
Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
published 2016 · Scandinavian Journal of Statistics · 92 citations
Asymptotic Analysis of Iterated 1-step Huber-skip M-estimators with Varying Cut-offs
published 2016 · Economics Papers · 2 citations
Analysis of the Forward Search using some new results for martingales and empirical processes
published 2015 · Bernoulli · 34 citations
A Joint Chow Test for Structural Instability
published 2015 · Econometrics · 24 citations · first circulated 2012
with Andrew Whitby
apc: An R Package for Age-Period-Cohort Analysis
published 2015 · The R Journal · 32 citations · first circulated 2014
Inference and Forecasting in the Age–Period–Cohort Model with Unknown Exposure with an Application to Mesothelioma Mortality
published 2014 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 33 citations · first circulated 2013
with María Dolores Martínez Miranda, Jens Perch Nielsen
Outlier detection algorithms for least squares time series regression
published 2014 · CREATES Research Papers · 10 citations
The geometric chain-ladder
published 2013 · Scandinavian Actuarial Journal · 9 citations
Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator
published 2013 · Econometrics · 31 citations
Testing for rational bubbles in a coexplosive vector autoregression
published 2012 · Econometrics Journal · 45 citations
with Tom Engsted
Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends
published 2011 · Econometric Theory · 7 citations · first circulated 2009
with Jouni Sohkanen
Forecasting in an Extended Chain-Ladder-Type Model
published 2010 · Journal of Risk & Insurance · 34 citations
with Di Kuang, Jens Perch Nielsen
Discussion: The forward search: Theory and data analysis
published 2010 · Journal of the Korean Statistical Society · 15 citations
ANALYSIS OF COEXPLOSIVE PROCESSES
published 2009 · Econometric Theory · 21 citations
The empirical process of autoregressive residuals
published 2009 · Econometrics Journal · 30 citations · first circulated 2007
with Eric Engler
Forecasting with the age-period-cohort model and the extended chain-ladder model
published 2008 · Biometrika · 80 citations
Identification of the age-period-cohort model and the extended chain-ladder model
published 2008 · Biometrika · 82 citations · first circulated 2007
Power of Tests for Unit Roots in the Presence of a Linear Trend*
published 2008 · Oxford Bulletin of Economics and Statistics · 3 citations · first circulated 2003
On the Explosive Nature of Hyper-Inflation Data
published 2008 · Economics · 3 citations
Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression
published 2007 · Econometric Reviews · 2 citations · first circulated 2004
with J. James Reade
Correlograms for Non-Stationary Autoregressions
published 2006 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1 citations
STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS
published 2005 · Econometric Theory · 5 citations
On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank
published 2004 · Econometric Reviews · 17 citations
Likelihood analysis of a first‐order autoregressive model with exponential innovations
published 2003 · Journal of Time Series Analysis · 59 citations · first circulated 1999
The Influence of Var Dimensions on Estimator Biases: Comment
published 2003 · Econometrica · 5 citations
with Jurgen A. Doornik, Thomas J. Rothenberg
Conditional test for rank in bivariate canonical correlation analysis
published 2001 · Biometrika · 8 citations
The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes
published 2001 · Econometrica · 25 citations · first circulated 1999
Cointegration analysis in the presence of structural breaks in the deterministic trend
published 2000 · Econometrics Journal · 721 citations
Similarity Issues in Cointegration Analysis
published 2000 · Oxford Bulletin of Economics and Statistics · 76 citations
The likelihood-ratio test for rank in bivariate canonical correlation analysis
published 1999 · Biometrika · 7 citations
Inference in Cointegrating Models: UK M1 Revisited
published 1998 · Journal of Economic Surveys · 205 citations
with Jurgen A. Doornik, David F. Hendry
Asymptotic Inference on Cointegrating Rank in Partial Systems
published 1998 · Journal of Business and Economic Statistics · 231 citations
Miscellanea. Bartlett correction of the unit root test in autoregressive models
published 1997 · Biometrika · 54 citations · first circulated 1995
Expected Survival in the Cox Model
published 1997 · Scandinavian Journal of Statistics · 9 citations
On convergence of multivariate Laplace transforms
published 1997 · Statistics & Probability Letters · 6 citations
with Søren Jensen
Load-shape data for residential lighting: Survey results for incandescent and compact fluorescent lamps
published 1993 · Energy · 14 citations
Corrigenda
published 1978 · Journal of the Chemical Society Chemical Communications
with Roger W. Alder, Richard B. Sessions, John M. Mellor, Michael F. Rawlins, George Christou, Brian Ridge, H. N. Rydon, Martin G. Ettlinger, Jerzy W. Jaroszewski, S⊘ren Rosendal Jensen, Frederick Nartey, Alan R. Battersby, …
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