Aarhus Center for Econometrics

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Research

Publications

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Bennedsen, M., Hillebrand, E. & Nielsen, M. Ø. (Accepted/In press). The Global Carbon Budget as a cointegrated system. Econometrics Journal.
Bennedsen, M., Christensen, K. & Christensen, P. K. (2026). To be or not to be: Roughness or long memory in volatility? Journal of Econometrics, 254, Article 106193. https://doi.org/10.1016/j.jeconom.2026.106193
Berenguer Rico, M. V. & Nielsen, B. (2026). Least Trimmed Squares: Cointegration and Outliers. Oxford Bulletin of Economics and Statistics, 88(4), 690–711. https://doi.org/10.1111%2Fobes.70077
Carlini, F., Christensen, B. J., Datta Gupta, N. & Santucci de Magistris, P. (2026). Wind Energy, CO2 Abatement, and the Environmental Kuznets Curve in Denmark. In T. B. Fomby, M. Friedrich & E. Hillebrand (Eds.), Econometrics of Climate, Energy, and Green Transition (pp. 119-146). Emerald Group Publishing. https://doi.org/10.1108/S0731-90532026000047A005
Chernozhukov, V., Huang, C. & Wang, W. (2026). Uniform Inference on High-dimensional Spatial Panel Networks. Journal of Business and Economic Statistics, 44(1), 348-359. https://doi.org/10.1080/07350015.2025.2530122
Guðmundsson, G. S. (2026). Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions. Journal of Business and Economic Statistics, 44(1), 297-308. https://doi.org/10.1080/07350015.2025.2526430
Nielsen, M. Ø., Seo, W.-K. & Seong, D. (Accepted/In press). Inference on common trends in functional time series. Econometric Theory.
Taylor, L. N. & Kanaya, S. (Accepted/In press). Using a Special Regressor to Identify Type I and Type II Error Probabilities, with an Illustrative Application to Miscarriages of Justice. Journal of Business and Economic Statistics.
Wurtz, A. & Bennedsen, M. (2026). Cornerstones in Quantitative Empirical Methods: Volume 1: Foundations. (1 ed.) Chapman & Hall/CRC Press . https://doi.org/10.1201/9781003591191
Bennedsen, M., Hillebrand, E. & Koopman, S. J. (2025). A Statistical Reduced Complexity Climate Model for Probabilistic Analyses and Projections. Journal of Climate, 38(21), 6329–6350. https://doi.org/10.1175/JCLI-D-24-0734.1

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Publications by external fellows

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Astill, S., Taylor, A. M. R. & Zu, Y. (Accepted/In press). Covariate Augmented CUSUM Bubble Monitoring Procedures. Econometric Theory. https://repository.essex.ac.uk/42634/1/94_title_paper.pdf
Berenguer Rico, M. V. & Nielsen, B. (2026). Least Trimmed Squares: Cointegration and Outliers. Oxford Bulletin of Economics and Statistics, 88(4), 690–711. https://doi.org/10.1111%2Fobes.70077
Berenguer-Rico, V. & Nielsen, B. (2026). Least Trimmed Squares: Nuisance Parameter Free Asymptotics. Econometric Theory, 42(2), 336-374. https://doi.org/10.1017/S0266466624000343
Berenguer-Rico, V. & Nielsen, B. (2026). Normality testing after outlier removal. Econometrics and Statistics, 38, 74-96. https://doi.org/10.1016/j.ecosta.2023.06.001
Jansson, M., Cattaneo, M. D., Cox, G. & Nagasawa, K. (Accepted/In press). Continuity of the Distribution Function of the arg max of a Gaussian Process. Econometrica.
Kock, A. B. & Preinerstorfer, D. (2026). Enhanced Power Enhancements for Testing Many Moment Equalities: Beyond the 2- and ∞-norm. Journal of the American Statistical Association, 121(554), 1473-1485. https://doi.org/10.1080/01621459.2025.2591282
Kock, A. B. & Preinerstorfer, D. (2026). Regularizing fairness in optimal policy learning with distributional targets. Journal of Econometrics, 254, Article 106186. https://doi.org/10.1016/j.jeconom.2026.106186
Kock, A. B. & Preinerstorfer, D. (2026). Winsorized mean estimation with heavy tails and adversarial contamination. Electronic Journal of Statistics, 20(2), 3225-3254. https://doi.org/10.1214/26-EJS2552
Kristensen, D. & Lee, Y. J. (Accepted/In press). Local Polynomial Estimation of Time-varying Parameters in Non-linear Models. Econometric Theory.
Cattaneo, M. D., Farrell, M. H., Jansson, M. & Masini, R. P. (2025). Higher-order refinements of small bandwidth asymptotics for density-weighted average derivative estimators. Journal of Econometrics, 252(B), Article 105855. https://doi.org/10.1016/j.jeconom.2024.105855

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Revised 09.09.2026
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Solveig Nygaard Sørensen