Morten Ø. Nielsen
Publications
Mackinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2023). Cluster-Robust Inference: A Guide to Empirical Practice. Journal of Econometrics, 232(2), 272-299. https://doi.org/10.1016/j.jeconom.2022.04.001
Cavaliere, G., Nielsen, M. Ø. & Robert Taylor, A. M. (2022). Adaptive Inference in Heteroscedastic Fractional Time Series Models. Journal of Business and Economic Statistics, 40(1), 50-65. https://doi.org/10.1080/07350015.2020.1773275
Iacone, F., Nielsen, M. Ø. & Taylor, R. (2022). Semiparametric tests for the order of integration in the possible presence of level breaks. Journal of Business and Economic Statistics, 40(2), 880-896. https://doi.org/10.1080/07350015.2021.1876712
Hualde, J. & Nielsen, M. Ø. (2022). Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. Electronic Journal of Statistics, 16(1), 2884-2946. https://doi.org/10.1214/22-EJS2009
Nielsen, M. O. & Noel, A. L. (2021). To infinity and beyond: Efficient computation of ARCH(infinity) models. Journal of Time Series Analysis, 42(3), 338-354. https://doi.org/10.1111/jtsa.12570
MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2021). Wild Bootstrap and Asymptotic Inference With Multiway Clustering. Journal of Business and Economic Statistics, 39(2), 505-519. https://doi.org/10.1080/07350015.2019.1677473
Hualde, J. & Nielsen, M. Ø. (2020). Truncated sum of squares estimation of fractional time series models with deterministic trends. Econometric Theory, 36(4), 751-772. https://doi.org/10.1017/S0266466619000161
Djogbenou, A. A., MacKinnon, J. G. & Nielsen, M. Ø. (2019). Asymptotic theory and wild bootstrap inference with clustered errors. Journal of Econometrics, 212(2), 393-412. https://doi.org/10.1016/j.jeconom.2019.04.035
Roodman, G. D., MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2019). Fast and wild: Bootstrap inference in Stata using boottest. Stata Journal, 19, 4-60. https://doi.org/10.1177/1536867X19830877
Johansen, S. & Nielsen, M. Ø. (2019). Nonstationary Cointegration in the Fractionally Cointegrated VAR Model. Journal of Time Series Analysis, 40(4), 519-543. https://doi.org/10.1111/jtsa.12438
Dolatabadi, S., Narayan, P. K., Nielsen, M. Ø. & Xu, K. (2018). Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. Journal of Futures Markets, 38(2), 219-242. https://doi.org/10.1002/fut.21866
Nielsen, M. Ø. & Shibaev, S. S. (2018). Forecasting daily political opinion polls using the fractionally cointegrated vector auto-regressive model. Journal of the Royal Statistical Society. Series A: Statistics in Society, 181(1), 3-33. https://doi.org/10.1111/rssa.12251
Johansen, S. & Nielsen, M. Ø. (2018). Testing the CVAR in the Fractional CVAR Model. Journal of Time Series Analysis, 39(6), 836-849. https://doi.org/10.1111/jtsa.12300
Johansen, S. & Nielsen, M. Ø. (2018). The cointegrated vector autoregressive model with general deterministic terms. Journal of Econometrics, 202(2), 214-229. https://doi.org/10.1016/j.jeconom.2017.10.003
Cavaliere, G., Nielsen, M. Ø. & Taylor, A. M. R. (2017). Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Journal of Econometrics, 198(1), 165-188. https://doi.org/10.1016/j.jeconom.2017.01.008
Dolatabadi, S., Nielsen, M. Ø. & Xu, K. (2016). A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. Journal of Empirical Finance, 38(B), 623–639. https://doi.org/10.1016/j.jempfin.2015.11.005
Johansen, S. & Nielsen, M. Ø. (2016). The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models. Econometric Theory, 32(5), 1095-1139. https://doi.org/10.1017/S0266466615000110
Nielsen, M. Ø. (2015). Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models. Journal of Time Series Analysis, 36(2), 154–188. https://doi.org/10.1111/jtsa.12100
Boswijk, H. P., Jansson, M. & Nielsen, M. Ø. (2015). Improved likelihood ratio tests for cointegration rank in the VAR model. Journal of Econometrics, 184(1), 97-110. https://doi.org/10.1016/j.jeconom.2014.08.007
Christensen, B. J., Nielsen, M. Ø. & Zhu, J. (2015). The impact of financial crises on the risk-return tradeoff and the leverage effect. Economic Modelling, 49, 407-418. https://doi.org/10.1016/j.econmod.2015.03.006
Jensen, A. N. & Nielsen, M. Ø. (2014). A fast fractional difference algorithm. Journal of Time Series Analysis, 35(5), 428-436. https://doi.org/10.1111/jtsa.12074
Jones, M. E. C., Nielsen, M. O. & Popiel, M. K. (2014). A fractionally cointegrated VAR analysis of economic voting and political support. Canadian Journal of Economics, 47(4), 1078–1130. https://doi.org/10.1111/caje.12115
Mackinnon, J. G. & Nielsen, M. Ø. (2014). Numerical distribution functions of fractional unit root and cointegration tests. Journal of Applied Econometrics, 29(1), 161-171. https://doi.org/10.1002/jae.2295
Johansen, S. & Nielsen, M. Ø. (2012). A necessary moment condition for the fractional functional central limit theorem. Econometric Theory, 28(3), 671-679. https://doi.org/10.1017/S0266466611000697
Johansen, S. & Nielsen, M. Ø. (2012). Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model. Econometrica, 80(6), 2667-2732. https://doi.org/10.3982/ECTA9299
Frederiksen, P., Nielsen, F. S. & Nielsen, M. Ø. (2012). Local polynomial Whittle estimation of perturbed fractional processes. Journal of Econometrics, 167(2), 426–447. https://doi.org/10.1016/j.jeconom.2011.09.026
Jansson, M. & Nielsen, M. Ø. (2012). Nearly efficient likelihood ratio tests of the unit root hypothesis. Econometrica, 80(5), 2321-2332. https://doi.org/10.3982/ECTA10306
Busch, T., Christensen, B. J. & Nielsen, M. Ø. (2011). The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. Journal of Econometrics, 160(1), 48-57. https://doi.org/10.1016/j.jeconom.2010.03.014
Haldrup, N., Nielsen, F. & Nielsen, M. Ø. (2010). A Vector Autoregressive Model for Electricity Prices subject to Long Memory and Regime Switching. Energy Economics, 32(5), 1044-1058. https://doi.org/10.1016/j.eneco.2010.02.012
Johansen, S. & Ørregård Nielsen, M. (2010). Likelihood inference for a nonstationary fractional autoregressive model. Journal of Econometrics, 158(1), 51-66. https://doi.org/10.1016/j.jeconom.2010.03.006
Christensen, B. J., Nielsen, M. Ø. & Zhu, J. (2010). Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model. Journal of Empirical Finance, 17(3), 460-470. https://doi.org/10.1016/j.jempfin.2009.09.008
Nielsen, M. Ø. (2009). A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic. Econometric Theory, 25, 1515-1544. https://doi.org/10.1017/S0266466609990247
Christensen, B. J. & Nielsen, M. Ø. (2007). The Effect of Long Memory in Volatility on Stock Market Fluctuations. Review of Economics and Statistics, 89(4), 684-700.
Christensen, B. J. & Nielsen, M. Ø. (2006). Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting. Journal of Econometrics, 133, 343-371.
Haldrup, N. & Nielsen, M. Ø. (2006). Directional Congestion and regime switching in a long memory model for electricity prices. Studies in Nonlinear Dynamics and Econometrics (Online), 10, 1-24.
Haldrup, N. & Nielsen, M. Ø. (2006). A regime switching long memory model for electricity prices. Journal of Econometrics, 135, 349-376.
Nielsen, M. Ø. & Frederiksen, P. H. (2005). Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration. Econometric Reviews, 24(4), 405-443. http://www.baser.dk/login?url=http://web.ebscohost.com/ehost/pdf?vid=3&hid=107&sid=a5c51b97-2786-475e-bae2-fe0c73c1e6c9%40sessionmgr103
Brendstrup, B., Hylleberg, S., Nielsen, M. Ø., Skipper, L. & Stentoft, L. (2004). Seasonality in Economic Models. Macroeconomic Dynamics, 8(3), 362-394.
