Department of Economics and Business Economics

 Department of Economics and Business Economics DNRF Chair in Econometrics Research output

Research output

Publications

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MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (Accepted/In press). Cluster-robust jackknife and bootstrap inference for logistic regression models. Econometric Reviews.
Guðmundsson, G. S. (2025). 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
Mikusheva, A. & Sølvsten, M. (2025). Linear regression with weak exogeneity. Quantitative Economics, 16(2), 367-403. https://doi.org/10.3982/QE2622
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
Cavaliere, G., Gonçalves, S., Nielsen, M. Ø. & Zanelli, E. (2024). Bootstrap Inference in the Presence of Bias. Journal of the American Statistical Association, 119(548), 2908-2918. https://doi.org/10.1080/01621459.2023.2284980
Brien, S., Jansson, M. & Nielsen, M. Ø. (2024). Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order. Econometric Theory, 40(5), 1159-1183. https://doi.org/10.1017/S0266466622000652
Duarte, M., Magnolfi, L., Sølvsten, M. & Sullivan, C. (2024). Testing firm conduct. Quantitative Economics, 15(3), 571-606. https://doi.org/10.3982/QE2319
Johansen, S. & Nielsen, M. Ø. (2024). Weak convergence to derivatives of fractional Brownian motion. Econometric Theory, 40(4), 859-874. https://doi.org/10.1017/S0266466622000639
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
MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2023). Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference. Journal of Applied Econometrics, 38(5), 671-694. https://doi.org/10.1002/jae.2969
Hualde, J. & Nielsen, M. Ø. (2023). Fractional integration and cointegration. In Oxford Research Encyclopedias : Economics and Finance Oxford University Press. https://doi.org/10.1093/acrefore/9780190625979.013.639
Nielsen, M. Ø., Seo, W. & Seong, D. (2023). Inference on the dimension of the nonstationary subspace in functional time series. Econometric Theory, 39(3), 443 - 480. https://doi.org/10.1017/S0266466622000111
Di Addario, S., Kline, P., Saggio, R. & Sølvsten, M. (2023). It ain't where you're from, it's where you're at: Hiring origins, firm heterogeneity, and wages. Journal of Econometrics, 233(2), 340-374. https://doi.org/10.1016/j.jeconom.2021.12.017
MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2023). Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust. Stata Journal, 23(4), 942-982. https://doi.org/10.1177/1536867X231212433
Haimerl, P. & Hartl, T. (2023). Modeling COVID-19 Infection Rates by Regime-Switching Unobserved Components Models. Econometrics, 11(2), Article 10. https://doi.org/10.3390/econometrics11020010
MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2023). Testing for the Appropriate Level of Clustering in Linear Regression Models. Journal of Econometrics, 235(2), 2027-2056. https://doi.org/10.1016/j.jeconom.2023.03.005
Anatolyev, S. & Sølvsten, M. (2023). Testing many restrictions under heteroskedasticity. Journal of Econometrics, 236(1), Article 105473. https://doi.org/10.1016/j.jeconom.2023.03.011
Cavaliere, G., Nielsen, M. Ø. & Taylor, A. M. R. (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
Brownlees, C., Gudmundsson, G. S. & Lugosi, G. (2022). Community Detection in Partial Correlation Network Models. Journal of Business and Economic Statistics, 40(1), 216-226. https://doi.org/10.1080/07350015.2020.1798241
Iacone, F., Nielsen, M. Ø. & Taylor, A. M. 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

Working papers

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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
Cavaliere, G., Nielsen, M. Ø., Gonçalves, S. & Zanelli, E. (2025). Improved inference for nonparametric regression. https://arxiv.org/pdf/2512.00566
Krabbe, F. (2024). Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. https://arxiv.org/abs/2412.19555
MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2024). Cluster-robust jackknife and bootstrap inference for binary response models. https://arxiv.org/abs/2406.00650
MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2024). Jackknife inference with two-way clustering. https://arxiv.org/abs/2406.08880
Brownlees, C., Guðmundsson, G. S. & Wang, Y. (2024). Performance of Empirical Risk Minimization For Principal Component Regression. https://arxiv.org/abs/2409.03606
Raiola, A. (2024). Testing Conditional Moment Restrictions: A Partitioning Approach.
Bennedsen, M., Hillebrand, E. & Nielsen, M. Ø. (2024). The Global Carbon Budget as a cointegrated system. https://arxiv.org/abs/2412.09226v1
Mackinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2023). Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference. Queen's University. Queen's Economics Department Working Paper No. 1485 https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1485.pdf
Nielsen, M. Ø., Seo, W.-K. & Seong, D. (2023). Inference on common trends in functional time series. https://arxiv.org/abs/2312.00590
Cavaliere, G., Gonçalves, S. & Nielsen, M. Ø. (2022). Bootstrap Inference in the Presence of Bias. ArXiv. http://arxiv.org/pdf/2208.02028
Mackinnon, J. G., Webb, M. D. & Nielsen, M. Ø. (2022). Cluster-Robust Inference: A Guide to Empirical Practice. Aarhus Universitet. CREATES Research Paper No. 2022-08
Guðmundsson, G. S. (2022). Detecting Giver and Receiver Spillover Groups in Large Vector Autoregressions. https://doi.org/10.2139/ssrn.3983635
Nielsen, M. Ø., Seo, W. & Seong, D. (2022). Inference on the dimension of the nonstationary subspace in functional time series. Aarhus Universitet. CREATES Research Paper No. 2022-4
Mackinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2022). Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust. Queen's University. Queen's Economics Department Working Paper No. 1483 https://doi.org/10.1177/1536867X23121243
Brien, S., Jansson, M. & Nielsen, M. Ø. (2022). Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order. Queen's University. Queen's Economics Department Working Paper No. 1429 https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1429.pdf
MacKinnon, J. G., Nielsen, M. Ø. & Webb, M. D. (2022). Testing for the Appropriate Level of Clustering in Linear Regression Models. Queen's University. Queen's Economics Department Working Paper No. 1428 https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1428.pdf
Hualde, J. & Nielsen, M. Ø. (2022). Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. Aarhus Universitet. CREATES Research Paper No. 2022-07
Johansen, S. & Nielsen, M. Ø. (2022). Weak convergence to derivatives of fractional Brownian motion. arxiv.org. http://arxiv.org/pdf/2208.02516

Publications from previous members

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Schenk, T. D. (2024). Mediation Analysis in Difference-in-Differences Designs.
Revised 16.01.2026
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Solveig Nygaard Sørensen