Publications in Econometrics and Business Analytics

The list below contains all publications from the past five years written or edited by members of the Econometrics and Business Analytics section at the Department of Economics and Business Economics.

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Hillebrand, E., Mikkelsen, J. G., Spreng, L. & Urga, G. (2023). Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time-varying factor loadings. Journal of Applied Econometrics, 38(6), 857-877. https://doi.org/10.1002/jae.2984

Sharma, P. N., Liengaard, B., Sarstedt, M., Hair, J. F. & Ringle, C. (2023). Extraordinary Claims Require Extraordinary Evidence: A Comment on "Recent Developments in PLS". Communications of the Association for Information Systems, 52, 739-742. https://doi.org/10.17705/1CAIS.05234

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

Bennedsen, M., Hillebrand, E. & Lykke, J. Z. (2023). Global temperature projections from a statistical energy balance model using multiple sources of historical data. Journal of Climate, 36(19), 6817-6838. https://doi.org/10.1175/JCLI-D-22-0460.1

Christensen, K., Nielsen, M. S. & Podolskij, M. (2023). High-dimensional estimation of quadratic variation based on penalized realized variance. Statistical Inference for Stochastic Processes, 26(2), 331-359. https://doi.org/10.1007/s11203-022-09282-8

Bennedsen, M., Lunde, A., Shephard, N. & Veraart, A. E. D. (2023). Inference and forecasting for continuous-time integer-valued trawl processes. Journal of Econometrics, 236(2), Article 105476. https://doi.org/10.1016/j.jeconom.2023.105476

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

Displaying results 91 to 100 out of 203

Full lists of individual section members' publications can be found via the section's faculty list.

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An overview of publications from all three sections of the Department of Economics and Business Economics can be found on 'Publication overview'.

Publication overview

Revised 23.03.2026

Birgitte Højklint Nielsen