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ACE – Aarhus Center for Econometrics

Research

Publications

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

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

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

Bennedsen, M., Hillebrand, E., Koopman, S. J., Larsen, K. B. & Lupien, R. (2025). Estimating breakpoints in the Cenozoic Era: an econometric approach. Climate of the Past, 21(11). https://doi.org/10.5194/cp-21-1981-2025

Brownlees, C. & Guðmundsson, G. S. (2025). Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. Econometric Theory, 41(2), 391-420. https://doi.org/10.1017/S0266466623000348

Christensen, B. J., Datta Gupta, N. & Gørtz, M. (2025). Long-Term Care in Denmark. In J. Gruber & K. McGarry (Eds.), Long-Term Care Around the World (pp. 69-106). University of Chicago Press.

Christensen, K., Timmermann, A. & Veliyev, B. (2025). Warp speed price moves: Jumps after earnings announcements. Journal of Financial Economics, 167, Article 104010. https://doi.org/10.1016/j.jfineco.2025.104010

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Publications by external fellows

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

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. Advance online publication. 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

Kristensen, D. & Lee, Y. J. (Accepted/In press). Local Polynomial Estimation of Time-varying Parameters in Non-linear Models. Econometric Theory.

Berenguer-Rico, V. & Nielsen, B. (2025). Least Trimmed Squares: Nuisance Parameter Free Asymptotics. Econometric Theory. Advance online publication. https://doi.org/10.1017/S0266466624000343

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

Cattaneo, M. D., Chandak, R., Jansson, M. & Ma, X. (2025). lpcde: Estimation and Inference for Local Polynomial Conditional Density Estimators . The Journal of Open Source Software, 10(107), Article 7241. https://doi.org/10.21105/joss.07241.pdf

Honoré, B. E., Muris, C. & Weidner, M. (2025). Dynamic ordered panel logit models. Quantitative Economics, 16(3), 899-945. https://doi.org/10.3982/QE2052

Honoré, B. E. & Weidner, M. (2025). Moment conditions for dynamic panel logit models with fixed effects. The Review of Economic Studies, 92(5), 3112-3137. https://doi.org/10.1093/restud/rdae097

Displaying results 1 to 10 out of 11

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Working papers

Cavaliere, G., Nielsen, M. Ø., Gonçalves, S. & Zanelli, E. (2026). Improved inference for nonparametric regression and regression-discontinuity designs. https://arxiv.org/pdf/2512.00566

Chernozhukov, V., Fernández-Val, I., Huang, C. & Wang, W. (2026). Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models.

Karim, S. R., Nielsen, M. Ø., MacKinnon, J. G. & Webb, M. D. (2026). Improved Inference for CSDID Using the Cluster Jackknife. https://arxiv.org/abs/2602.12043

Duarte, M., Magnolfi, L., Quint, D., Sølvsten, M. & Sullivan, C. (2025). Conduct and Scale Economies: Evaluating Tariffs in the US Automobile Market.

Mikusheva, A., Sølvsten, M. & Jing, B. (2025). Estimation in linear models with clustered data. https://arxiv.org/abs/2508.12860

Working papers by external fellows

Andreasen, M. M. & Kristensen, D. (2025). Estimating State Space Models: Simple Corrections for Finite Sample Bias. https://doi.org/10.2139/ssrn.5382755

Berenguer-Rico, V. & Nielsen, B. G. (2025). Least Trimmed Squares: Cointegration and outliers. University of Oxford. https://www.nuffield.ox.ac.uk/economics/Papers/2025/2025-W03LTS_cointegration_2025june2.pdf

Cattaneo, M. D., Jansson, M. & Nagasawa, K. (2025). Robust Inference for Convex Pairwise Difference Estimators. https://arxiv.org/abs/2510.05991

Dano, K., Honoré, B. E. & Weidner, M. (2025). Binary choice logit models with general fixed effects for panel and network data. https://doi.org/10.48550/arXiv.2508.11556

Honoré, B. E. & Hu, L. (2025). Composition-adjusted wage growth: A robust measure from microdata. https://www.econstor.eu/bitstream/10419/324853/1/1933126841.pdf

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Revised 23.03.2026

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Solveig Nygaard Sørensen