Publications - CREATES en-us PURE Extension (Web Department) 30 <![CDATA[Estimation of continuous-time linear DSGE models from discrete-time measurements]]> Christensen, B. J., Neri, L., Parra-Alvarez, J. C. Research Tue, 20 Dec 2022 00:08:52 +0100 659725e4-6899-47df-b458-754125c79a61 <![CDATA[Cluster-Robust Inference: A Guide to Empirical Practice]]> Mackinnon, J. G., Nielsen, M. Ø. other disciplines. However, it is only recently that theoretical foundations for the use
of these methods in many empirically relevant situations have been developed. In this
paper, we use these theoretical results to provide a guide to empirical practice. We do
not attempt to present a comprehensive survey of the (very large) literature. Instead,
we bridge theory and practice by providing a thorough guide on what to do and why,
based on recently available econometric theory and simulation evidence. To practice
what we preach, we include an empirical analysis of the effects of the minimum wage
on labor supply of teenagers using individual data.
Research Sat, 01 Jan 2022 00:08:52 +0100 c02c598e-a1a7-4f58-b2ca-cb6e28279916
<![CDATA[FCVAR: An R Package for the Fractionally Cointegrated Vector Autoregressive Model]]> Morin, L., Nielsen, M. Ø., Popiel, M. K. Research Fri, 01 Jan 2021 00:08:52 +0100 57167b17-f48d-4a23-b349-7a0ee6451533 <![CDATA[A Matlab program and user’s guide for the fractionally cointegrated VAR model]]> Nielsen, M. Ø., Popiel, M. K. Research Mon, 01 Jan 2018 00:08:52 +0100 10c3d799-1a0b-47d3-a393-5739d4049d07 <![CDATA[Testing for the Appropriate Level of Clustering in Linear Regression Models]]> MacKinnon, J. G., Nielsen, M. Ø., Webb, M. D. Research Sat, 01 Jan 2022 00:08:52 +0100 a1da5718-3a08-4fe6-b9fb-fde495107725 <![CDATA[Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order]]> Brien, S., Jansson, M., Nielsen, M. Ø. Research Sat, 01 Jan 2022 00:08:52 +0100 0defa61b-df74-4a42-945e-bebd548127ea <![CDATA[Reallocation of Mutual Fund Managers and Capital Raising Ability]]> Xu, Y. Research Wed, 07 Sep 2022 00:08:52 +0200 974ed3d9-baea-4875-aeb8-907b740c1ba3 <![CDATA[Parametric Estimation of Long Memory in Factor Models]]> Ergemen, Y. E. Research Fri, 24 Jun 2022 00:08:52 +0200 4b96a2a1-144c-48b9-85ba-a79afb2ce2a1 <![CDATA[A Neural Network Approach to the Environmental Kuznets Curve]]> Bennedsen, M., Hillebrand, E., Jensen, S. M. Research Tue, 24 May 2022 00:08:52 +0200 cd40cc56-8874-402f-a95d-11f55cfac259 <![CDATA[Truncated sum-of-squares estimation of fractional time series models with generalized power law trend]]> Hualde, J., Nielsen, M. Ø. Research Mon, 11 Apr 2022 00:08:52 +0200 4bb1c93e-61d1-455d-a01e-b151547f3fdb <![CDATA[Betting on mean reversion in the VIX? Evidence from ETP flows]]> Nielsen, O. L., Posselt, A. M. Research Mon, 24 Jan 2022 00:08:52 +0100 54c8153b-d2ea-4af4-bcbd-5cde4d2df685 <![CDATA[The Prior Adaptive Group Lasso and the Factor Zoo]]> Bertelsen, K. P. Research Mon, 24 Jan 2022 00:08:52 +0100 46ff6395-13bb-431a-8bc4-0be1440adb18 <![CDATA[Inference on the dimension of the nonstationary subspace in functional time series]]> Nielsen, M. Ø., Seo, W., Seong, D. Research Mon, 24 Jan 2022 00:08:52 +0100 1feac89b-c468-4c86-9a47-258637883c3d <![CDATA[Spillovers of Senior Mutual Fund Managers’ Capital Raising Ability]]> Xu, Y. Research Thu, 20 Jan 2022 00:08:52 +0100 ff660cd4-3a04-4a69-a201-6dfc33589b03 <![CDATA[Fractional integration and cointegration]]> Hualde, J., Nielsen, M. Ø. Research Mon, 10 Jan 2022 00:08:52 +0100 638ec457-d507-4779-a965-15e3af72ca82 <![CDATA[A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model]]> Kang, J., Jakobsen, J. S., Silvennoinen, A., Teräsvirta, T., Wade, G. Research Tue, 04 Jan 2022 00:08:52 +0100 c86f55af-5946-4462-a68d-a0e83b40b57c <![CDATA[Long and short memory in dynamic term structure models]]> Huseynov, S. Research Mon, 20 Dec 2021 00:08:52 +0100 bb3d4068-8edf-4208-8bd5-b89449d75cad <![CDATA[Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach]]> Hounyo, U., Lahiri, K. Research Tue, 28 Sep 2021 00:08:52 +0200 08405422-df42-4728-b709-9e09f86e1835 <![CDATA[Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model]]> Hall, A. D., Silvennoinen, A., Teräsvirta, T. Research Tue, 28 Sep 2021 00:08:52 +0200 d10304ed-e2bc-4684-b18a-139c3db2a296 <![CDATA[Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics]]> Bennedsen, M., Lunde, A., Shephard, N., Veraart, A. E. D. Research Tue, 27 Jul 2021 00:08:52 +0200 2af737d1-2edc-4262-81c8-887b63002a28 <![CDATA[The incremental information in the yield curve about future interest rate risk]]> Christensen, B. J., Kjær, M. M., Veliyev, B. Research Thu, 01 Jul 2021 00:08:52 +0200 84d14b53-698b-4747-b1b6-2622c10d8b2d <![CDATA[Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models]]> Johansen, S., Swensen, A. R. Research Thu, 01 Jul 2021 00:08:52 +0200 7cfd1765-99bc-4652-8340-520d41f1ceb1 <![CDATA[Economic vulnerability is state dependent]]> Catania, L., Luati, A., Vallarino, P. Research Tue, 15 Jun 2021 00:08:52 +0200 035aee0e-ee56-4dae-94d8-d5e6d9a964cb <![CDATA[Modelling and Estimating Large Macroeconomic Shocks During the Pandemic]]> Corrado, L., Grassi, S., Paolillo, A. Research Tue, 15 Jun 2021 00:08:52 +0200 bfe0e2be-f6cb-4158-9c8a-312cee741285 <![CDATA[Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models]]> Demetrescu, M., Kruse-Becher, R. Research Fri, 21 May 2021 00:08:52 +0200 6b7eb72b-f676-4ee5-b07c-c7c0b58913fa <![CDATA[Expecting the unexpected: economic growth under stress]]> Gonzalez-Rivera, G., Rodríguez-Caballero, C. V., Ortega, E. R. Research Mon, 15 Mar 2021 00:08:52 +0100 751526ee-a64e-4d63-b9ee-38cb5e35d263 <![CDATA[Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas]]> Grassi, S., Violante, F. Research Mon, 01 Mar 2021 00:08:52 +0100 40460b62-5a9f-45e9-a9d0-fc86d7294e75 <![CDATA[Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks]]> Iacone, F., Nielsen, M. Ø., Taylor, R. Research Wed, 17 Feb 2021 00:08:52 +0100 278737f6-e4da-4f9c-acb0-90f0e5e84ea6 <![CDATA[A machine learning approach to volatility forecasting]]> Christensen, K., Siggaard, M. V., Veliyev, B. Research Mon, 18 Jan 2021 00:08:52 +0100 889c873d-4d03-4aa0-bc6f-0f54864a8131 <![CDATA[Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data]]> Borup, D., Rapach, D. E., Montes Schütte, E. C. Research Mon, 11 Jan 2021 00:08:52 +0100 cb4376c0-9ce3-45f8-a0f7-9727a173d0a7 <![CDATA[The New Keynesian Model and Bond Yields]]> Andreasen, M. M. Research Sat, 09 Jan 2021 00:08:52 +0100 6424c0df-7d15-4d85-b537-f4b7c4a33edf <![CDATA[Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings]]> Hillebrand, E., Mikkelsen, J., Spreng, L., Urga, G. Research Wed, 01 Jan 2020 00:08:52 +0100 ef5e0a9e-ebdd-457f-8f03-198db5b04150 <![CDATA[A statistical model of the global carbon budget]]> Bennedsen, M., Hillebrand, E., Koopman, S. J. Research Tue, 01 Dec 2020 00:08:52 +0100 fc7e5d58-8dbf-41eb-941a-7157cc5b1959 <![CDATA[Linking retirement age to life expectancy does not lessen the demographic implications of unequal lifespans]]> Álvarez, J., Kallestrup-Lamb, M., Kjærgaard, S. Research Tue, 01 Dec 2020 00:08:52 +0100 1f5eb43c-a2ee-4ab3-b9a9-1301bd3725e1 <![CDATA[Temperature Anomalies, Long Memory, and Aggregation]]> Vera-Valdés, J. E. Research Tue, 01 Dec 2020 00:08:52 +0100 39182e68-6e5d-4dcc-89d0-b8491cf4c2c2 <![CDATA[Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?]]> Rodríguez-Caballero, C. V., Vera-Valdés, J. E. Research Tue, 01 Dec 2020 00:08:52 +0100 5958ff26-958b-4efd-9a2a-240a63b79a50 <![CDATA[Origins of Mutual Fund Skill]]> Christiansen, C., Xing, R., Xu, Y. Research Tue, 01 Dec 2020 00:08:52 +0100 4a06c0e4-49f5-4d98-b4a2-00b011d3a688 <![CDATA[To infinity and beyond]]> Nielsen, M. Ø., L. Noël, A. Research Sun, 01 Nov 2020 00:08:52 +0100 6cb0143a-6fac-45ba-87fa-ad7156df2f5f <![CDATA[Roughness in spot variance?]]> Bolko, A. E., Christensen, K., Pakkanen, M., Veliyev, B. Research Thu, 01 Oct 2020 00:08:52 +0200 5e327f89-995b-4fb1-be94-6ee1c9b857db <![CDATA[Optimal control of investment, premium and deductible for a non-life insurance company]]> Christensen, B. J., Parra-Alvarez, J. C., Serrano, R. Research Thu, 01 Oct 2020 00:08:52 +0200 6548b5b6-0878-46ce-b046-39056c14bdd7 <![CDATA[Optimal Asset Allocation for Commodity Sovereign Wealth Funds]]> Irarrazabal, A., Ma, L., Parra-Alvarez, J. C. Research Sat, 01 Aug 2020 00:08:52 +0200 4ba9478b-86ea-440c-a1ea-6182f73b1c89 <![CDATA[Predicting bond return predictability]]> Borup, D., Eriksen, J. N., Kjær, M. M., Thyrsgaard, M. Research Wed, 01 Jul 2020 00:08:52 +0200 d9ef2c39-00db-44e2-a7e0-f4f7cb93c3b9 <![CDATA[Adaptive Inference in Heteroskedastic Fractional Time Series Models]]> Cavaliere, G., Nielsen, M. Ø., Taylor, R. Research Sat, 01 Aug 2020 00:08:52 +0200 8257d7c1-1521-4fb0-b9c3-0bc01a3ce682