Heino Bohn Nielsen

Research output

Research output per year 2001 2002 2003 2004 2007 2009 2024 2024

• 191 Citations
• 22 Journal article
• 16 Working paper
• 1 Ph.D. thesis
• 1 Book chapter
• 1 More
  • 1 Comment/debate

Research output per year

Research output per year

Search results

• 2024

  Forecast Performance of Noncausal Autoregressions and the Importance of Unit Root Pretesting

  Nielsen, H. B. & Bec, F., 2024, In: Journal of Forecasting. 43, 8, p. 3074-3088

  Research output: Contribution to journal › Journal article › Research › peer-review

  Open Access

• Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space

  Rahbek, A. & Nielsen, H. B., 2024, In: The Econometrics Journal.

  Research output: Contribution to journal › Journal article › Research › peer-review
  1 Citation (Scopus)

• Power of Unit Root Tests Against Nonlinear and Noncausal Alternatives with an Application to the Brent Crude Oil Price

  Nielsen, H. B., Bec, F., Guay, A. & Saïdi, S., 2024, (Accepted/In press) In: Studies in Nonlinear Dynamics and Econometrics.

  Research output: Contribution to journal › Journal article › Research › peer-review

• Testing in GARCH-X models: boundary, correlations and bootstrap theory

  Nielsen, H. B., Pedersen, R. S., Rahbek, A. & Thorsen, S. N., 2024, (E-pub ahead of print) In: Journal of Time Series Analysis.

  Research output: Contribution to journal › Journal article › Research › peer-review
• 2022

  Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models

  Cavaliere, G., Nielsen, H. B., Pedersen, R. S. & Rahbek, A., Mar 2022, In: Journal of Econometrics. 227, 1, p. 241-263

  Research output: Contribution to journal › Journal article › Research › peer-review

  File
  10 Citations (Scopus)

  128 Downloads (Pure)
• 2021

  An Introduction to Bootstrap Theory in Time Series Econometrics

  Cavaliere, G., Nielsen, H. B. & Rahbek, A., 2021, Oxford Research Encyclopedia of Economics and Finance. Hamilton, J. H., Dixit, A., Edwards, S. & Judd, K. (eds.). Oxford University Press

  Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

• Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1

  Bec, F., Nielsen, H. B. & Saïdi, S., Dec 2021, In: Oxford Bulletin of Economics and Statistics. 82, 6, p. 1413-1428 16 p.

  Research output: Contribution to journal › Journal article › Research › peer-review

  File
  8 Citations (Scopus)

  19 Downloads (Pure)
• 2020

  An Introduction to Bootstrap Theory in Time Series Econometrics

  Cavaliere, G., Nielsen, H. B. & Rahbek, A., 28 May 2020, 35 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 20-02).

  Research output: Working paper › Research

• Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling

  Cavaliere, G., Nielsen, H. B. & Rahbek, A., 2020, In: Journal of Business and Economic Statistics. 38, 1, p. 55-67

  Research output: Contribution to journal › Journal article › Research › peer-review

  Open Access

  File
  16 Citations (Scopus)

  102 Downloads (Pure)
• 2019

  Estimation bias and bias correction in reduced rank autoregressions

  Nielsen, H. B., 16 Mar 2019, In: Econometric Reviews. 38, 3, p. 332-349 18 p.

  Research output: Contribution to journal › Journal article › Research › peer-review
  3 Citations (Scopus)
• 2018

  Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models

  Cavaliere, G., Nielsen, H. B., Pedersen, R. S. & Rahbek, A., 5 Dec 2018, 36 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 18-10).

  Research output: Working paper › Research
• 2017

  On the consistency of bootstrap testing for a parameter on the boundary of the parameter space

  Cavaliere, G., Nielsen, H. B. & Rahbek, A., Jul 2017, In: Journal of Time Series Analysis. 38, 4, p. 513–534

  Research output: Contribution to journal › Journal article › Research › peer-review

  Open Access

  File
  16 Citations (Scopus)

  211 Downloads (Pure)
• 2015

  Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models

  Cavaliere, G., Nielsen, H. B. & Rahbek, A., 2015, In: Econometrica. 83, 2, p. 813-831

  Research output: Contribution to journal › Journal article › Research › peer-review
  24 Citations (Scopus)
• 2014

  The Co-Integrated Vector Autoregression With Errors-In-Variables

  Nielsen, H. B., 2014, In: Econometric Reviews. 35, 2, p. 169-200

  Research output: Contribution to journal › Journal article › Research › peer-review
  4 Citations (Scopus)

• Unit Root Vector Autoregression with Volatility induced Stationarity

  Nielsen, H. B. & Rahbek, A., Dec 2014, In: Journal of Empirical Finance. 29, p. 144-167

  Research output: Contribution to journal › Journal article › Research › peer-review
  21 Citations (Scopus)
• 2012

  Unit root vector autoregression with volatility induced stationarity

  Rahbek, A. & Nielsen, H. B., 2012, Department of Economics, University of Copenhagen, 36 p.

  Research output: Working paper › Research
• 2011

  An I(2) cointegration model with piecewise linear trends

  Kurita, T., Nielsen, H. B. & Rahbek, A., Jul 2011, In: Econometrics Journal. 14, 2, p. 131-155 25 p.

  Research output: Contribution to journal › Journal article › Research › peer-review
  9 Citations (Scopus)
• 2009

  An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application

  Kurita, T., Nielsen, H. B. & Rahbek, A. C., 2009, Department of Economics, University of Copenhagen, 24 p.

  Research output: Working paper › Research

  Open Access

  File
  3225 Downloads (Pure)

• Comment on "The long-run determinants of UK wages, 1860-2004"

  Nielsen, H. B., 2009, In: Journal of Macroeconomics. 31, 1, p. 29-34 6 p.

  Research output: Contribution to journal › Comment/debate › Research
  1 Citation (Scopus)

• Monetary Policy in the Greenspan Era: A Time Series Analysis of Rules vs. Discretion

  Christensen, A. M. & Nielsen, H. B., 2009, In: Oxford Bulletin of Economics and Statistics. 71, 1, p. 69-89 22 p.

  Research output: Contribution to journal › Journal article › Research › peer-review
  10 Citations (Scopus)
• 2008

  Influential observations in cointegrated VAR models: Danish money demand 1973-2003

  Nielsen, H. B., 2008, In: Econometrics Journal. 11, 1, p. 39-57 19 p.

  Research output: Contribution to journal › Journal article › Research › peer-review
  4 Citations (Scopus)

• Properties of Estimated Characteristic Roots

  Nielsen, B. & Nielsen, H. B., 2008, Department of Economics, University of Copenhagen, 13 p.

  Research output: Working paper › Research

  Open Access

  File
  1262 Downloads (Pure)
• 2007

  A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

  Nielsen, H. B., 2007, In: Economics Letters. 94, 3, p. 445-451

  Research output: Contribution to journal › Journal article › Research › peer-review
  1 Citation (Scopus)

• The likelihood ratio test for cointegration ranks in the I(2) model

  Nielsen, H. B. & Rahbek, A. C., 2007, In: Econometric Theory. 23, 4, p. 615-637

  Research output: Contribution to journal › Journal article › Research › peer-review
  24 Citations (Scopus)

• UK money demand 1873-2001: a long-run time series analysis and event study

  Nielsen, H. B., 2007, In: Cliometrica. 1, 1, p. 45-61

  Research output: Contribution to journal › Journal article › Research › peer-review
  7 Citations (Scopus)
• 2006

  Inflation adjustment in the open economy: an I(2) analysis of UK prices

  Nielsen, H. B. & Bowdler, C., 2006, In: Empirical Economics. 31, 3, p. 569-586

  Research output: Contribution to journal › Journal article › Research › peer-review
  5 Citations (Scopus)
• 2005

  US Monetary Police 1988-2004: An Empirical Analysis

  Christensen, A. M. & Nielsen, H. B., 2005, Cph.: Department of Economics, University of Copenhagen, 20 p.

  Research output: Working paper › Research

  Open Access

  File
  299 Downloads (Pure)
• 2004

  Analysing I(2) systems by transformed vector autoregressions

  Kongsted, H. C. & Nielsen, H. B., 2004, In: Oxford Bulletin of Economics and Statistics. 66, 3, p. 379-397

  Research output: Contribution to journal › Journal article › Research › peer-review
  13 Citations (Scopus)

• Cointegration analysis in the presence of outliers

  Nielsen, H. B., 2004, In: Econometrics Journal. 7, 1, p. 249-271

  Research output: Contribution to journal › Journal article › Research › peer-review

• I(1) and I(2) Cointegration Analysis: Theory and Applications

  Nielsen, H. B., 2004, Cph.: Department of Economics, University of Copenhagen. 133 p. (Rød Serie; No. 98).

  Research output: Book/Report › Ph.D. thesis › Research

• UK Money Demand 1873-2001:  a Cointegrated VAR Analysis with Additive Data Corrections

  Nielsen, H. B., 2004, Cph.: Department of Economics, University of Copenhagen, 20 p.

  Research output: Working paper › Research

  File
  231 Downloads (Pure)
• 2003

  Cointegration Analysis in the Presence of Outliers

  Nielsen, H. B., 2003, Cph.: Department of Economics, University of Copenhagen, 22 p.

  Research output: Working paper › Research

  File
  1194 Downloads (Pure)

• Has US Monetary Policy Followed the Taylor Rule? A Cointegration Analysis 1988-2002

  Christensen, A. M. & Nielsen, H. B., 2003, Kbh.: Danmarks Nationalbank, 18 p.

  Research output: Working paper › Research

• Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices

  Nielsen, H. B. & Bowdler, C., 2003, Oxford, UK: Nuffield College, University of Oxford, 22 p.

  Research output: Working paper › Research

• Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

  Nielsen, H. B. & Rahbek, A., 2003, nr. 11 ed., Københavns Universitet, p. 1-25.

  Research output: Working paper › Research

• Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

  Nielsen, H. B. & Rahbek, A., 2003, Københavns Universitet, p. 1-22.

  Research output: Working paper › Research

• Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

  Nielsen, H. B. & Rahbek, A., 2003, Cph.: Department of Economics, University of Copenhagen, 25 p.

  Research output: Working paper › Research

  File
  261 Downloads (Pure)
• 2002

  Analyzing I(2) Systems by Transformed Vector Autoregressions

  Kongsted, H. C. & Nielsen, H. B., 2002, Cph.: Department of Economics, University of Copenhagen, 20 p.

  Research output: Working paper › Research

  File
  511 Downloads (Pure)

• An I(2)Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports

  Nielsen, H. B., 2002, In: Oxford Bulletin of Economics and Statistics. 64, 5, p. 449-472

  Research output: Contribution to journal › Journal article › Research › peer-review
  14 Citations (Scopus)

• Robust Estimation of the Expected Inflation

  Nielsen, H. B. & Knudsen, D., 2002, Danmarks Nationalbank, 18 p.

  Research output: Working paper › Research
• 2001

  An I(2) Cointegration Analysis of Price and Quantity Formation in Danish Manufactured Exports

  Nielsen, H. B., 2001, Department of Economics, University of Copenhagen, 20 p.

  Research output: Working paper › Research

  File
  812 Downloads (Pure)