Morten Ørregaard Nielsen

Available identifiers

zbMath Open nielsen.morten-orregaardMaRDI QIDQ274925

List of research outcomes

Publication	Date of Publication	Type
Testing for the appropriate level of clustering in linear regression models	2023-06-29	Paper
INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES	2023-06-13	Paper
Cluster-robust inference: a guide to empirical practice	2023-02-01	Paper
Weak convergence to derivatives of fractional Brownian motion	2022-08-04	Paper
Truncated sum-of-squares estimation of fractional time series models with generalized power law trend	2022-05-11	Paper
To infinity and beyond: Efficient computation of ARCH(∞) models	2021-06-30	Paper
TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS	2020-08-26	Paper
Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form	2020-02-11	Paper
Asymptotic theory and wild bootstrap inference with clustered errors	2019-10-23	Paper
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model	2019-07-30	Paper
Testing the CVAR in the Fractional CVAR Model	2018-11-16	Paper
The cointegrated vector autoregressive model with general deterministic terms	2018-07-17	Paper
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS	2017-04-28	Paper
Local polynomial Whittle estimation of perturbed fractional processes	2016-08-15	Paper
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets	2016-08-10	Paper
Likelihood inference for a nonstationary fractional autoregressive model	2016-08-04	Paper
Nonparametric cointegration analysis of fractional systems with unknown integration orders	2016-07-25	Paper
A regime switching long memory model for electricity prices	2016-06-10	Paper
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach	2016-05-27	Paper
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting	2016-04-25	Paper
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets	2015-06-08	Paper
Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models	2015-03-09	Paper
A FAST FRACTIONAL DIFFERENCE ALGORITHM	2015-03-04	Paper
Improved likelihood ratio tests for cointegration rank in the VAR model	2014-11-24	Paper
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model	2013-11-08	Paper
Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis	2013-11-08	Paper
Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots	2013-06-14	Paper
Noncontemporaneous cointegration and the importance of timing	2013-01-02	Paper
Spectral analysis of fractionally cointegrated systems	2013-01-01	Paper
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM	2012-06-11	Paper
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model	2012-01-01	Paper
Fully modified narrow‐band least squares estimation of weak fractional cointegration	2011-07-27	Paper
A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC	2009-12-15	Paper
Estimation of fractional integration in the presence of data noise	2009-05-29	Paper
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices	2008-04-04	Paper
Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence	2006-05-24	Paper
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration	2006-01-18	Paper
Local empirical spectral measure of multivariate processes with long range dependence.	2005-11-29	Paper
SEASONALITY IN ECONOMIC MODELS	2005-03-21	Paper
Efficient inference in multivariate fractionally integrated time series models	2005-01-06	Paper
EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS	2004-09-07	Paper

Research outcomes over time

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