Similar Search Results

Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms

Nielsen, Bent - In: Econometric theory 21 (2005) 3, pp. 534-561

Persistent link: https://www.econbiz.de/10002794764

Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms

Nielsen, Bent (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001834963

Power of tests for unit roots in the presence of a linear trend

Nielsen, Bent (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001835002

On the distribution of likelihood ratio test statistics for cointegration rank

Nielsen, Bent - In: Econometric reviews 23 (2004) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10001944637

Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression

Nielsen, Bent; Reade, J. James - Economics Group, Nuffield College, University of Oxford - 2004

This paper provides a means of accurately simulating explosive autoregressive processes, and uses this method to analyse the distribution of the likelihood ratio test statistic for an explosive second order autoregressive process. Nielsen (2001) has shown that for the asymptotic distribution of...

Persistent link: https://www.econbiz.de/10005812251

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second Order Autoregression

Nielsen, Bent; Reade, J. James - Department of Economics, Oxford University - 2004

Persistent link: https://www.econbiz.de/10010820288

Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression

Nielsen, Bent; Reade, J. James - In: Econometric Reviews 26 (2007) 5, pp. 487-501

This paper provides a means of accurately simulating explosive autoregressive processes and uses this method to analyze the distribution of the likelihood ratio test statistic for an explosive second-order autoregressive process of a unit root. While the standard Dickey-Fuller distribution is...

Persistent link: https://www.econbiz.de/10005511902

Properties of estimated characteristic roots

Nielsen, Bent (contributor); Bohn Nielsen, Heino (contributor) - 2008

Persistent link: https://www.econbiz.de/10003714678

The role of income in money demand during hyper-inflation: the case of Yugoslavia

Mladenović, Zorica; Nielsen, Bent - 2009

Persistent link: https://www.econbiz.de/10003838897

Identification of the age-period-cohort model and the extended chain ladder model

Kuang, D.; Nielsen, Bent; Nielsen, Jens Perch - 2007

Persistent link: https://www.econbiz.de/10003807414