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Niels Haldrup

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Engsted, Tom & Haldrup, Niels, 1999. "Estimating the LQAC Model with I(2) Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 155-170, March-Apr.

    Mentioned in:

    1. Estimating the LQAC model with I(2) variables (Journal of Applied Econometrics 1999) in ReplicationWiki ()

Working papers

  1. Niels Haldrup & Carsten P. T. Rosenskjold, 2018. "A Parametric Factor Model of the Term Structure of Mortality," CREATES Research Papers 2018-06, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Li, Hong & Tan, Ken Seng & Tuljapurkar, Shripad & Zhu, Wenjun, 2021. "Gompertz law revisited: Forecasting mortality with a multi-factor exponential model," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 268-281.

  2. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Grossi, Luigi & Nan, Fany, 2019. "Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources," Technological Forecasting and Social Change, Elsevier, vol. 141(C), pages 305-318.
    2. Luigi Grossi & Fany Nan, 2017. "Forecasting electricity prices through robust nonlinear models," Working Papers 06/2017, University of Verona, Department of Economics.
    3. Luigi Grossi & Fany Nan, 2018. "The influence of renewables on electricity price forecasting: a robust approach," Working Papers 2018/10, Institut d'Economia de Barcelona (IEB).

  3. Yunus Emre Ergemen & Niels Haldrup & Carlos Vladimir Rodríguez-Caballero, 2015. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," CREATES Research Papers 2015-58, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Thomaidis, Nikolaos S. & Biskas, Pandelis N., 2021. "Fundamental pricing laws and long memory effects in the day-ahead power market," Energy Economics, Elsevier, vol. 100(C).
    2. Lahmiri, Salim & Bekiros, Stelios, 2021. "The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
    3. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
    4. Yunus Emre Ergemen & Carlos Vladimir Rodríguez-Caballero, 2016. "A Dynamic Multi-Level Factor Model with Long-Range Dependence," CREATES Research Papers 2016-23, Department of Economics and Business Economics, Aarhus University.
    5. Michail I. Seitaridis & Nikolaos S. Thomaidis & Pandelis N. Biskas, 2021. "Fundamental Responsiveness in European Electricity Prices," Energies, MDPI, vol. 14(22), pages 1-14, November.
    6. Rodríguez-Caballero, Carlos Vladimir, 2022. "Energy consumption and GDP: a panel data analysis with multi-level cross-sectional dependence," Econometrics and Statistics, Elsevier, vol. 23(C), pages 128-146.
    7. Ergemen, Yunus Emre & Rodríguez Caballero, Carlos Vladimir, 2017. "Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence," DES - Working Papers. Statistics and Econometrics. WS 24614, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Didier Nibbering & Coos van Buuren & Wei Wei, 2021. "Real Options Valuation of Wind Energy Based on the Empirical Production Uncertainty," Monash Econometrics and Business Statistics Working Papers 19/21, Monash University, Department of Econometrics and Business Statistics.
    9. Martin-Valmayor, Miguel A. & Gil-Alana, Luis A. & Infante, Juan, 2023. "Energy prices in Europe. Evidence of persistence across markets," Resources Policy, Elsevier, vol. 82(C).
    10. Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
    11. Chang, Kai & Zhang, Chao, 2018. "Asymmetric dependence structure between emissions allowances and wholesale diesel/gasoline prices in emerging China's emissions trading scheme pilots," Energy, Elsevier, vol. 164(C), pages 124-136.
    12. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.

  4. Niels Haldrup & J. Eduardo Vera-Valdés, 2015. "Long Memory, Fractional Integration, and Cross-Sectional Aggregation," CREATES Research Papers 2015-59, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    2. Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," Working Papers halshs-01944588, HAL.
    3. Mawuli Segnon & Manuel Stapper, 2019. "Long Memory Conditional Heteroscedasticity in Count Data," CQE Working Papers 8219, Center for Quantitative Economics (CQE), University of Muenster.
    4. Prados de la Escosura, Leandro & Rodríguez-Caballero, C. Vladimir, 2022. "War, pandemics, and modern economic growth in Europe," Explorations in Economic History, Elsevier, vol. 86(C).
    5. J. Eduardo Vera-Valdés, 2020. "Temperature Anomalies, Long Memory, and Aggregation," CREATES Research Papers 2020-16, Department of Economics and Business Economics, Aarhus University.
    6. J. Eduardo Vera‐Valdés, 2020. "On long memory origins and forecast horizons," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 811-826, August.
    7. J. Eduardo Vera-Valdés, 2021. "Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation," Econometrics, MDPI, vol. 9(4), pages 1-18, October.
    8. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    9. Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
    10. Tommaso Proietti & Federico Maddanu, 2021. "Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process," CEIS Research Paper 518, Tor Vergata University, CEIS, revised 19 Oct 2021.
    11. Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    12. J. Eduardo Vera-Vald'es, 2018. "Nonfractional Memory: Filtering, Antipersistence, and Forecasting," Papers 1801.06677, arXiv.org.

  5. Girum D. Abate & Niels Haldrup, 2015. "Space-time modeling of electricity spot prices," CREATES Research Papers 2015-22, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Wen, Le & Suomalainen, Kiti & Sharp, Basil & Yi, Ming & Sheng, Mingyue Selena, 2022. "Impact of wind-hydro dynamics on electricity price: A seasonal spatial econometric analysis," Energy, Elsevier, vol. 238(PC).

  6. Laurent Callot & Niels Haldrup & Malene Kallestrup Lamb, 2014. "Deterministic and stochastic trends in the Lee-Carter mortality model," CREATES Research Papers 2014-44, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hans Oluf Hansen, 2015. "Modeling and projecting mortality. A new model of heterogeneity and selection in survivorship," Discussion Papers 15-16, University of Copenhagen. Department of Economics.
    2. Niels Haldrup & Carsten P. T. Rosenskjold, 2019. "A Parametric Factor Model of the Term Structure of Mortality," Econometrics, MDPI, vol. 7(1), pages 1-22, March.
    3. Hunt, Andrew & Villegas, Andrés M., 2015. "Robustness and convergence in the Lee–Carter model with cohort effects," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 186-202.
    4. Gisou Díaz-Rojo & Ana Debón & Jaime Mosquera, 2020. "Multivariate Control Chart and Lee–Carter Models to Study Mortality Changes," Mathematics, MDPI, vol. 8(11), pages 1-17, November.
    5. Hong Li & Yang Lu, 2016. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," Post-Print halshs-02418954, HAL.

  7. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    2. Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018. "A multivariate test against spurious long memory," Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
    3. Nima Nonejad, 2019. "Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1687-1710, April.
    4. Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," Working Papers halshs-01944588, HAL.
    5. Chevillon, Guillaume & Mavroeidis, Sophocles, 2017. "Learning can generate long memory," Journal of Econometrics, Elsevier, vol. 198(1), pages 1-9.
    6. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2017. "Does the ARFIMA really shift?," CREATES Research Papers 2017-16, Department of Economics and Business Economics, Aarhus University.
    7. Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
    8. Dalla, Violetta, 2015. "Power transformations of absolute returns and long memory estimation," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 1-18.
    9. Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
    10. Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  8. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
    2. Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017. "Changes in persistence, spurious regressions and the Fisher hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-28, June.
    3. Kathia Pinz'on, 2016. "Analysis of Price and Income Elasticities of Energy Demand in Ecuador: A Dynamic OLS Approach," Papers 1611.05288, arXiv.org.
    4. Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek, 2013. "Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market," MPRA Paper 46528, University Library of Munich, Germany.

  9. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009. "Detection of additive outliers in seasonal time series," CREATES Research Papers 2009-40, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Rickard Sandberg, 2015. "M-estimator based unit root tests in the ESTAR framework," Statistical Papers, Springer, vol. 56(4), pages 1115-1135, November.

  10. Niels Haldrup & Frank S. Nielsen & Morten Ørregaard Nielsen, 2007. "A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching," CREATES Research Papers 2007-29, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Afanasyev, Dmitriy O. & Fedorova, Elena A. & Popov, Viktor U., 2015. "Fine structure of the price–demand relationship in the electricity market: Multi-scale correlation analysis," Energy Economics, Elsevier, vol. 51(C), pages 215-226.
    2. Angelica Gianfreda & Luigi Grossi, 2011. "Forecasting Italian Electricity Zonal Prices with Exogenous Variables," Working Papers 01/2011, University of Verona, Department of Economics.
    3. Д.О. Афанасьев1 & * & Е.А. Федорова2 & **, 2019. "Краткосрочное Прогнозирование Цены Электроэнергии На Российском Рынке С Использованием Класса Моделей Scarx," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 55(1), pages 68-84, январь.
    4. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
    5. António Rua & Paulo M.M. Rodrigues & João Pedro Pereira, 2016. "Market integration and the persistence of electricity prices," Working Papers w201609, Banco de Portugal, Economics and Research Department.
    6. Nima Nonejad, 2019. "Modeling Persistence and Parameter Instability in Historical Crude Oil Price Data Using a Gibbs Sampling Approach," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1687-1710, April.
    7. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien de Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
    8. Zachmann, Georg, 2013. "A stochastic fuel switching model for electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 5-13.
    9. Lovcha, Yuliya & Pérez Laborda, Àlex, 2016. "Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market," Working Papers 2072/261538, Universitat Rovira i Virgili, Department of Economics.
    10. Girum Dagnachew Abate & Niels Haldrup, 2017. "Space-time modeling of electricity spot prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    11. Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2015. "Time-varying effect of oil market shocks on the stock market," CAMA Working Papers 2015-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    12. Afanasyev, D. & Fedorova, E., 2018. "External and Internal Determinants on the Electricity Market: A Multi-Scale Adaptive Causal Analysis," Journal of the New Economic Association, New Economic Association, vol. 39(3), pages 33-54.
    13. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
    14. Xu, Weijun & Sun, Qi & Xiao, Weilin, 2012. "A new energy model to capture the behavior of energy price processes," Economic Modelling, Elsevier, vol. 29(5), pages 1585-1591.
    15. Machin Stephen & Vujić Sunčica & Marie Olivier, 2012. "Youth Crime and Education Expansion," German Economic Review, De Gruyter, vol. 13(4), pages 366-384, December.
    16. Jorge Barrientos Marín & Mónica Toro Martínez, 2017. "Análisis de los fundamentales del precio de la energía eléctrica: evidencia empírica para Colombia," Revista de Economía del Caribe 17148, Universidad del Norte.
    17. Massimiliano Caporin & Fulvio Fontini & Paolo Santucci De Magistris, 2017. "Price convergence within and between the Italian electricity day-ahead and dispatching services markets," "Marco Fanno" Working Papers 0215, Dipartimento di Scienze Economiche "Marco Fanno".
    18. Taewoon Kong & Dongguen Choi & Geonseok Lee & Kichun Lee, 2021. "Air Pollution Prediction Using an Ensemble of Dynamic Transfer Models for Multivariate Time Series," Sustainability, MDPI, vol. 13(3), pages 1-17, January.
    19. Lehna, Malte & Scheller, Fabian & Herwartz, Helmut, 2022. "Forecasting day-ahead electricity prices: A comparison of time series and neural network models taking external regressors into account," Energy Economics, Elsevier, vol. 106(C).
    20. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
    21. Antoine Ferré & Guillaume de Certaines & Jérôme Cazelles & Tancrède Cohet & Arash Farnoosh & Frédéric Lantz, 2021. "Short-term electricity price forecastingmodels comparative analysis : Machine Learning vs. Econometrics," Working Papers hal-03262208, HAL.
    22. Dias, José G. & Ramos, Sofia B., 2014. "Heterogeneous price dynamics in U.S. regional electricity markets," Energy Economics, Elsevier, vol. 46(C), pages 453-463.
    23. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 5-20.
    24. Florian Ziel & Rafal Weron, 2018. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Papers 1805.06649, arXiv.org.
    25. Afanasyev, Dmitriy & Fedorova, Elena, 2015. "The long-term trends on Russian electricity market: comparison of empirical mode and wavelet decompositions," MPRA Paper 62391, University Library of Munich, Germany.
    26. Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
    27. Pircalabu, A. & Benth, F.E., 2017. "A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets," Energy Economics, Elsevier, vol. 68(C), pages 283-302.
    28. Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.
    29. Javier Sánchez García & Salvador Cruz Rambaud, 2022. "Machine Learning Regularization Methods in High-Dimensional Monetary and Financial VARs," Mathematics, MDPI, vol. 10(6), pages 1-15, March.
    30. Dmitriy O. Afanasyev & Elena A. Fedorova & Evgeniy V. Gilenko, 2021. "The fundamental drivers of electricity price: a multi-scale adaptive regression analysis," Empirical Economics, Springer, vol. 60(4), pages 1913-1938, April.
    31. Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper 39277, University Library of Munich, Germany.
    32. Eichler, M. & Türk, D.D.T., 2012. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    33. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
    34. Barrientos Marín, Jorge Hugo & Toro Martínez, Mónica, 2017. "Sobre los fundamentales del precio de la energía eléctrica : evidencia empírica para Colombia," Borradores Departamento de Economía 17497, Universidad de Antioquia, CIE.
    35. Martin de Lagarde, Cyril & Lantz, Frédéric, 2018. "How renewable production depresses electricity prices: Evidence from the German market," Energy Policy, Elsevier, vol. 117(C), pages 263-277.
    36. Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
    37. Florian Ziel & Rafal Weron, 2016. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models," HSC Research Reports HSC/16/08, Hugo Steinhaus Center, Wroclaw University of Technology.
    38. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
    39. Afanasyev, Dmitriy O. & Fedorova, Elena A., 2016. "The long-term trends on the electricity markets: Comparison of empirical mode and wavelet decompositions," Energy Economics, Elsevier, vol. 56(C), pages 432-442.
    40. Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.

  11. Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Amélie Charles & Olivier Darné, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Post-Print hal-00956937, HAL.
    2. Olivier Darné & Amélie Charles, 2011. "Large shocks in U.S. macroeconomic time series: 1860-1988," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 5(1), pages 79-100, January.
    3. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009. "Detection of additive outliers in seasonal time series," CREATES Research Papers 2009-40, Department of Economics and Business Economics, Aarhus University.

  12. Gunnar Bårdsen & Niels Haldrup, 2006. "A Gaussian IV estimator of cointegrating relations," Economics Working Papers 2006-03, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Riccardo LUCCHETTI & Giulio PALOMBA, 2006. "Forecasting US bond yields at weekly frequency," Working Papers 261, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    2. Torfinn Harding & Frederick Ploeg, 2013. "Official forecasts and management of oil windfalls," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 20(5), pages 827-866, October.

  13. Niels Haldrup & Svend Hylleberg & Gabriel Pons & Jaume Rosselló & Andreu Sansó, 2005. "Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data," Economics Working Papers 2005-03, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Cubadda, Gianluca, 2007. "A unifying framework for analysing common cyclical features in cointegrated time series," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 896-906, October.
    2. Hristos Doucouliagos & Martin Paldam, 2009. "The Aid Effectiveness Literature: The Sad Results Of 40 Years Of Research," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 433-461, July.
    3. Ana Bartolomé & Michael McAleer & Vicente Ramos & Javier Rey-Maquieira, 2009. "Modelling Air Passenger Arrivals in the Balearic and Canary Islands, Spain," Tourism Economics, , vol. 15(3), pages 481-500, September.
    4. Marco Centoni & Gianluca Cubadda, 2011. "Modelling comovements of economic time series: a selective survey," Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
    5. Tomas del Barrio Castro & Denise R Osborn, 2005. "Cointegration for Periodically Integrated Processes," Economics Discussion Paper Series 0522, Economics, The University of Manchester.
    6. del Barrio Castro, Tomás, 2022. "Testing for the cointegration rank between Periodically Integrated processes," MPRA Paper 112730, University Library of Munich, Germany, revised 2022.
    7. Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
    8. Rosselló, Jaume & Sansó, Andreu, 2017. "Yearly, monthly and weekly seasonality of tourism demand: A decomposition analysis," Tourism Management, Elsevier, vol. 60(C), pages 379-389.
    9. Dilip M. Nachane & Amlendu Dubey, 2021. "The Spectral Envelope: An Application to the Decoupling Problem in Economics," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 287-308, December.

  14. Niels Haldrup & Michael Jansson, 2005. "Improving Size and Power in Unit Root Testing," Economics Working Papers 2005-02, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Michael Jansson & Marcelo J. Moreira, 2006. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Econometrica, Econometric Society, vol. 74(3), pages 681-714, May.
    2. Swasti R. Khuntia & Jose L. Rueda & Mart A.M.M. Van der Meijden, 2018. "Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model," Energies, MDPI, vol. 11(12), pages 1-19, November.
    3. M. R. Anantha Ramu & K. Gayithri, 2017. "Fiscal deficit and inflation linkages in India: tracking the transmission channels," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 19(1), pages 1-24, April.
    4. Perron, Pierre & Qu, Zhongjun, 2007. "A simple modification to improve the finite sample properties of Ng and Perron's unit root tests," Economics Letters, Elsevier, vol. 94(1), pages 12-19, January.

  15. Haldrup, Niels & Møllgaard, Peter & Nielsen, Claus Kastberg, 2005. "Sequential versus simultaneous market," Working Papers 02-2005, Copenhagen Business School, Department of Economics.

    Cited by:

    1. Willem H. Boshoff, 2007. "Stationarity Tests In Geographic Markets: An Application To South African Milk Markets," South African Journal of Economics, Economic Society of South Africa, vol. 75(1), pages 52-65, March.

  16. Niels Haldrup & Peter Mollgaard & Claus Kastberg Nielsen, 2005. "Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon," Working Papers 05-2, Centre for Competition Policy, University of East Anglia.

    Cited by:

    1. Willem H. Boshoff, 2007. "Stationarity Tests In Geographic Markets: An Application To South African Milk Markets," South African Journal of Economics, Economic Society of South Africa, vol. 75(1), pages 52-65, March.
    2. Zipitria, Leandro, 2010. "New Directions in Price Test for Market Definition," MPRA Paper 58046, University Library of Munich, Germany.
    3. Vladimír Hajko & Jaroslav Bil, 2013. "The Relevant Markets for Meat Production and Processing in the Czech Republic: Analysis of the Price Movements," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 7(3), pages 178-197, November.

  17. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hasan, Mudassar & Arif, Muhammad & Naeem, Muhammad Abubakr & Ngo, Quang-Thanh & Taghizadeh–Hesary, Farhad, 2021. "Time-frequency connectedness between Asian electricity sectors," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 208-224.
    2. Lunina, Veronika, 2016. "Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis," Working Papers 2016:30, Lund University, Department of Economics.
    3. Lisi, Francesco & Pelagatti, Matteo M., 2018. "Component estimation for electricity market data: Deterministic or stochastic?," Energy Economics, Elsevier, vol. 74(C), pages 13-37.
    4. Balagula, Yuri, 2020. "Forecasting daily spot prices in the Russian electricity market with the ARFIMA model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 89-101.
    5. Angelica Gianfreda & Luigi Grossi, 2011. "Forecasting Italian Electricity Zonal Prices with Exogenous Variables," Working Papers 01/2011, University of Verona, Department of Economics.
    6. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche 06-09, HEC Montréal, Institut d'économie appliquée.
    7. Chi-Keung Woo, Ira Horowitz, Brian Horii, Ren Orans, and Jay Zarnikau, 2012. "Blowing in the Wind: Vanishing Payoffs of a Tolling Agreement for Natural-gas-fired Generation of Electricity in Texas," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
    8. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
    9. Billé, Anna Gloria & Gianfreda, Angelica & Del Grosso, Filippo & Ravazzolo, Francesco, 2023. "Forecasting electricity prices with expert, linear, and nonlinear models," International Journal of Forecasting, Elsevier, vol. 39(2), pages 570-586.
    10. António Rua & Paulo M.M. Rodrigues & João Pedro Pereira, 2016. "Market integration and the persistence of electricity prices," Working Papers w201609, Banco de Portugal, Economics and Research Department.
    11. Zarnikau, J. & Tsai, C.H. & Woo, C.K., 2020. "Determinants of the wholesale prices of energy and ancillary services in the U.S. Midcontinent electricity market," Energy, Elsevier, vol. 195(C).
    12. Leschinski, Christian & Sibbertsen, Philipp, 2014. "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP) dp-535, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    13. Yan, Guan & Trück, Stefan, 2020. "A dynamic network analysis of spot electricity prices in the Australian national electricity market," Energy Economics, Elsevier, vol. 92(C).
    14. Matteo Pelagatti & Bruno Bosco & Lucia Parisio & Fabio Baldi, 2007. "A Robust Multivariate Long Run Analysis of European Electricity Prices," Working Papers 2007.103, Fondazione Eni Enrico Mattei.
    15. Dark, Jonathan, 2015. "Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 269-285.
    16. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
    17. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien de Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
    18. Lin, Shih-Kuei & Lin, Chien-Hsiu & Chuang, Ming-Che & Chou, Chia-Yu, 2014. "A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices," Economic Modelling, Elsevier, vol. 38(C), pages 341-350.
    19. Pierret, D., 2013. "The systemic risk of energy markets," LIDAM Discussion Papers ISBA 2013061, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    20. Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
    21. Streimikiene, Dalia & Siksnelyte, Indre, 2016. "Sustainability assessment of electricity market models in selected developed world countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 57(C), pages 72-82.
    22. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
    23. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    24. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
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    Cited by:

    1. Hasan, Mudassar & Arif, Muhammad & Naeem, Muhammad Abubakr & Ngo, Quang-Thanh & Taghizadeh–Hesary, Farhad, 2021. "Time-frequency connectedness between Asian electricity sectors," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 208-224.
    2. Lunina, Veronika, 2016. "Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis," Working Papers 2016:30, Lund University, Department of Economics.
    3. Lisi, Francesco & Pelagatti, Matteo M., 2018. "Component estimation for electricity market data: Deterministic or stochastic?," Energy Economics, Elsevier, vol. 74(C), pages 13-37.
    4. Balagula, Yuri, 2020. "Forecasting daily spot prices in the Russian electricity market with the ARFIMA model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 89-101.
    5. Angelica Gianfreda & Luigi Grossi, 2011. "Forecasting Italian Electricity Zonal Prices with Exogenous Variables," Working Papers 01/2011, University of Verona, Department of Economics.
    6. Bottazzi, G. & Sapio, S. & Secchi, A., 2005. "Some statistical investigations on the nature and dynamics of electricity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 54-61.
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  19. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, Department of Economics and Business Economics, Aarhus University.

  20. Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 713, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    2. Nielsen, Morten Oe., "undated". "Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence," Economics Working Papers 2002-16, Department of Economics and Business Economics, Aarhus University.
    3. Haldrup, Niels, "undated". "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, Department of Economics and Business Economics, Aarhus University.
    4. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
    5. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics.
    6. Holler, Manfred & Skott, Peter, "undated". "The importance of setting the agenda," Economics Working Papers 2003-8, Department of Economics and Business Economics, Aarhus University.
    7. Neri, Marcelo Côrtes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 689, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

  21. Jansson, Michael & Haldrup, Niels Prof., 2000. "Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach," University of California at San Diego, Economics Working Paper Series qt5b13w0rp, Department of Economics, UC San Diego.

    Cited by:

    1. Angela Huang, 2004. "Examining finite-sample problems in the application of cointegration tests for long-run bilateral exchange rates," Reserve Bank of New Zealand Discussion Paper Series DP 2004/08, Reserve Bank of New Zealand.

  22. Niels Haldrup & Peter Lildholdt, "undated". "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Kerry Patterson & Michael A. Thornton, 2013. "A review of econometric concepts and methods for empirical macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 2, pages 4-42, Edward Elgar Publishing.
    2. Effrosyni Diamantoudi, "undated". "Equilibrium Binding Agreements under Diverse Bahavioral Assumptions," Economics Working Papers 2001-2, Department of Economics and Business Economics, Aarhus University.
    3. Nikolaj Malchow-Moeller & Bo Jellesmark Thorsen, "undated". "A Dynamic Agricultural Household Model with Uncertain Income and Irreversible and Indivisible Investments under Credit Constraints," Economics Working Papers 2000-7, Department of Economics and Business Economics, Aarhus University.
    4. Nikolaj Malchow-Moeller & Bo Jellesmark Thorsen, "undated". "Investment under Uncertainty - the Case of Repeated Investment Options," Economics Working Papers 2000-15, Department of Economics and Business Economics, Aarhus University.
    5. Bo Sandemann Rasmussen, "undated". "Government Debt and Capital Accumulation in the Blanchard-Cass-Yaari OLG Model," Economics Working Papers 2000-14, Department of Economics and Business Economics, Aarhus University.
    6. Boriss Siliverstovs, "undated". "The Bi-parameter Smooth Transition AutoRegressive model," Economics Working Papers 2000-16, Department of Economics and Business Economics, Aarhus University.
    7. Anton Skrobotov, 2013. "Double Unit Roots Testing, GLS-detrending and Uncertainty over the Initial Conditions," Working Papers 0083, Gaidar Institute for Economic Policy, revised 2013.

  23. Haldrup, Niels & Nielsen, Morten Oe., "undated". "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Per Frederiksen & Morten Orregaard Nielsen, 2008. "Bias-Reduced Estimation of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 496-512, Fall.
    2. Ho, Hwai-Chung, 2015. "Sample quantile analysis for long-memory stochastic volatility models," Journal of Econometrics, Elsevier, vol. 189(2), pages 360-370.
    3. Grace Lee Ching Yap, 2020. "Optimal Filter Approximations for Latent Long Memory Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 547-568, August.
    4. Mccloskey, Adam & Perron, Pierre, 2013. "Memory Parameter Estimation In The Presence Of Level Shifts And Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1196-1237, December.
    5. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
    6. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
    7. Cassola, Nuno & Morana, Claudio, 2010. "Comovements in volatility in the euro money market," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 525-539, April.
    8. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
    9. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
    10. Bent Jesper Christensen & Rasmus T. Varneskov, 2015. "Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination," CREATES Research Papers 2015-25, Department of Economics and Business Economics, Aarhus University.
    11. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.
    12. Paulo M.M. Rodrigues & Marina Balboa, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Working Papers w202102, Banco de Portugal, Economics and Research Department.
    13. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    14. Hansen, Peter R. & Lunde, Asger, 2014. "Estimating The Persistence And The Autocorrelation Function Of A Time Series That Is Measured With Error," Econometric Theory, Cambridge University Press, vol. 30(1), pages 60-93, February.
    15. Christian M. HAFNER & Arie PREMINGER, 2016. "The Effect of Additive Outliers on Fractional Unit Root Tests," LIDAM Reprints CORE 2762, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. Dieter Nautz & Jan Scheithauer, 2009. "Monetary Policy Implementation and Overnight Rate Persistence," SFB 649 Discussion Papers SFB649DP2009-053, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    17. James Davidson & Nigar Hashimzade, 2008. "Type I and Type II Fractional Brownian Motions: a Reconsideration," Discussion Papers 0816, University of Exeter, Department of Economics.
    18. Luis A. Gil-Alana & Guglielmo M. Caporale, 2008. "Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks," Faculty Working Papers 11/08, School of Economics and Business Administration, University of Navarra.
    19. Onsurang Norrbin & Aaron D. Smallwood, 2011. "Mean Reversion in the Real Interest Rate and the Effects of Calculating Expected Inflation," Southern Economic Journal, John Wiley & Sons, vol. 78(1), pages 107-130, July.
    20. Bos, Charles S. & Koopman, Siem Jan & Ooms, Marius, 2014. "Long memory with stochastic variance model: A recursive analysis for US inflation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 144-157.
    21. Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
    22. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2022. "Commodity and financial markets’ fear before and during COVID-19 pandemic: Persistence and causality analyses," Resources Policy, Elsevier, vol. 76(C).
    23. Hassler, Uwe & Nautz, Dieter, 2008. "On the persistence of the Eonia spread," Economics Letters, Elsevier, vol. 101(3), pages 184-187, December.
    24. Eduardo Rossi & Paolo Santucci de Magistris, 2012. "Estimation of long memory in integrated variance," DEM Working Papers Series 017, University of Pavia, Department of Economics and Management.
    25. Stefano Grassi & Paolo Santucci de Magistris, 2011. "When Long Memory Meets the Kalman Filter: A Comparative Study," CREATES Research Papers 2011-14, Department of Economics and Business Economics, Aarhus University.
    26. Haldrup Niels & Nielsen Morten Ø., 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
    27. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
    28. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    29. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
    30. Dalla, Violetta, 2015. "Power transformations of absolute returns and long memory estimation," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 1-18.
    31. Matei Demetrescu & Mehdi Hosseinkouchack, 2022. "Autoregressive spectral estimates under ignored changes in the mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 329-340, March.
    32. Henghsiu Tsai & Heiko Rachinger & Edward M.H. Lin, 2015. "Inference of Seasonal Long-memory Time Series with Measurement Error," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 137-154, March.
    33. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
    34. Fajardo, Fabio Alexander, 2011. "Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.
    35. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.
    36. Svend Hylleberg, 2004. "On the Exploitation of Market Power in the Nordic Electricity Markets. The Case of Elsam," Economics Working Papers 2004-5, Department of Economics and Business Economics, Aarhus University.

  24. Niels Haldrup & Peter Lildholdt, "undated". "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Effrosyni Diamantoudi, "undated". "Equilibrium Binding Agreements under Diverse Bahavioral Assumptions," Economics Working Papers 2001-2, Department of Economics and Business Economics, Aarhus University.
    2. Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," MPRA Paper 102315, University Library of Munich, Germany.
    3. Hui Liu & Gabriel Rodriguez, 2003. "Human Activities and Global Warming: A Cointegration Analysis," Working Papers 0307E, University of Ottawa, Department of Economics.
    4. K. D. Patterson & S. M. Heravi, 2003. "The impact of fat-tailed distributions on some leading unit roots tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(6), pages 635-667.
    5. Javier Gómez Biscarri & Javier Hualde, 2014. "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers 1439, Department of Economics and Business, Universitat Pompeu Fabra.
    6. Nikolaj Malchow-Moeller & Bo Jellesmark Thorsen, "undated". "A Dynamic Agricultural Household Model with Uncertain Income and Irreversible and Indivisible Investments under Credit Constraints," Economics Working Papers 2000-7, Department of Economics and Business Economics, Aarhus University.
    7. Bo Sandemann Rasmussen, "undated". "Government Debt and Capital Accumulation in the Blanchard-Cass-Yaari OLG Model," Economics Working Papers 2000-14, Department of Economics and Business Economics, Aarhus University.
    8. Tomás del Barrio Castro & Paulo M.M. Rodrigues & A.M. Robert Taylor, 2013. "On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles," CEFAGE-UE Working Papers 2013_11, University of Evora, CEFAGE-UE (Portugal).
    9. Fernando N. Oliveira, 2014. "The Market of Foreign Exchange Hedge in Brazil: Reaction of Financial Institutions to Interventions of the Central Bank," Economics Bulletin, AccessEcon, vol. 34(1), pages 174-187.
    10. Boriss Siliverstovs, "undated". "The Bi-parameter Smooth Transition AutoRegressive model," Economics Working Papers 2000-16, Department of Economics and Business Economics, Aarhus University.

  25. Haldrup, Niels, "undated". "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Scalco, Paulo R. & Braga, Marcelo J., 2015. "Identification of Market Power in Bilateral Oligopoly: The Brazilian Wholesale Market of UHT Milk," 2015 Conference, August 9-14, 2015, Milan, Italy 212278, International Association of Agricultural Economists.
    2. Ribeiro, Eduardo Pontual & Castor, Kamaiaji, 2019. "Inferring bank-to-bank competition from dynamic time series analysis of price correlations," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 62-73.
    3. Willem H. Boshoff, 2007. "Stationarity Tests In Geographic Markets: An Application To South African Milk Markets," South African Journal of Economics, Economic Society of South Africa, vol. 75(1), pages 52-65, March.
    4. Sanogo, Issa, 2008. "SPATIAL integration of the rice market: emprirical evidence from mid-west and far-west Nepal and the Nepalese-Indian border," MPRA Paper 14488, University Library of Munich, Germany.
    5. Niels Haldrup & Peter Møllgaard & Claus Kastberg Nielsen, 2008. "Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market For Salmon," Journal of Competition Law and Economics, Oxford University Press, vol. 4(3), pages 893-913.
    6. Scalco, P. & Bastos, A., 2018. "Structure and Concentration of The Brazilian Sugarcane Market," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277169, International Association of Agricultural Economists.
    7. Eduardo P. S. Fiuza & Fabiana F.M. Tito, 2007. "Time Series Econometrics in a Post-Acquisition Antitrust Analysis: The Brazilian Iron Ore Market," Discussion Papers 1306, Instituto de Pesquisa Econômica Aplicada - IPEA.
    8. Fiuza, Eduardo P.S. & Tito, Fabiana F.M., 2010. "Post-merger time series analysis: Iron ore mining," Resources Policy, Elsevier, vol. 35(3), pages 141-155, September.
    9. Willem Boshoff, 2006. "Quantitative competition analysis: Stationarity tests in geographic market definition," Working Papers 17/2006, Stellenbosch University, Department of Economics.
    10. Eduardo P. S. Fiuza & Fabiana F. M. Tito, 2015. "Time Series Econometrics in a Post-acquisition Antitrust Analysis: the Brazilian Iron ore Market," Discussion Papers 0182, Instituto de Pesquisa Econômica Aplicada - IPEA.
    11. Scalco, Paulo Roberto & Braga, Marcelo Jose, 2014. "Measuring the Degree of Oligopsony Power in the Brazilian Raw Milk Market," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 17(2), pages 1-20, May.
    12. Cuiabano, Simone & Nicolini de Moraes, João Carlos & Pinha, Lucas, 2017. "Application of time series techniques in relevant market delimitation," TSE Working Papers 17-801, Toulouse School of Economics (TSE).
    13. Åberg, M. & Fälting, L. & Forssell, A., 2016. "Is Swedish district heating operating on an integrated market? – Differences in pricing, price convergence, and marketing strategy between public and private district heating companies," Energy Policy, Elsevier, vol. 90(C), pages 222-232.
    14. Sanogo, Issa, 2006. "Spatial Integration of the Rice Market: Empirical Evidence from Mid-west and Far-west Nepal, and the Nepalese-Indian Border," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 3(1-2), pages 1-18, December.
    15. Zipitria, Leandro, 2010. "New Directions in Price Test for Market Definition," MPRA Paper 58046, University Library of Munich, Germany.
    16. Haldrup, Niels & Møllgaard, Peter & Nielsen, Claus Kastberg, 2005. "Sequential versus simultaneous market," Working Papers 02-2005, Copenhagen Business School, Department of Economics.

  26. Niels Haldrup & Antonio Montanés & Andreu Sanso, "undated". "Measurement Errors and Outliers in Seasonal Unit Root Testing," Economics Working Papers 2000-8, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2005. "Testing for Additive Outliers in Seasonally Integrated Time Series," DEA Working Papers 15, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    2. Onsurang Norrbin & Aaron D. Smallwood, 2011. "Mean Reversion in the Real Interest Rate and the Effects of Calculating Expected Inflation," Southern Economic Journal, John Wiley & Sons, vol. 78(1), pages 107-130, July.
    3. Pami Dua & Lokendra Kumawat, 2010. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working Papers id:3005, eSocialSciences.
    4. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 191-209, March.
    6. Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
    7. Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, Department of Economics and Business Economics, Aarhus University.
    8. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March.
    9. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009. "Detection of additive outliers in seasonal time series," CREATES Research Papers 2009-40, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Niels Haldrup & Carsten P. T. Rosenskjold, 2019. "A Parametric Factor Model of the Term Structure of Mortality," Econometrics, MDPI, vol. 7(1), pages 1-22, March.
    See citations under working paper version above.
  2. Haldrup, Niels & Vera Valdés, J. Eduardo, 2017. "Long memory, fractional integration, and cross-sectional aggregation," Journal of Econometrics, Elsevier, vol. 199(1), pages 1-11.
    See citations under working paper version above.
  3. Girum Dagnachew Abate & Niels Haldrup, 2017. "Space-time modeling of electricity spot prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    See citations under working paper version above.
  4. Laurent Callot & Niels Haldrup & Malene Kallestrup-Lamb, 2016. "Deterministic and stochastic trends in the Lee–Carter mortality model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(7), pages 486-493, May.
    See citations under working paper version above.
  5. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
    See citations under working paper version above.
  6. Haldrup Niels & Montañes Antonio & Sansó Andreu, 2011. "Detection of Additive Outliers in Seasonal Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 3(2), pages 1-20, April.
    See citations under working paper version above.
  7. Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2010. "A vector autoregressive model for electricity prices subject to long memory and regime switching," Energy Economics, Elsevier, vol. 32(5), pages 1044-1058, September.
    See citations under working paper version above.
  8. Niels Haldrup, 2010. "Separation in Cointegrated Systems," Journal of Financial Econometrics, Oxford University Press, vol. 8(2), pages 177-180, spring.

    Cited by:

    1. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
    2. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
    3. Patterson, K. D., 2003. "Exploiting information in vintages of time-series data," International Journal of Forecasting, Elsevier, vol. 19(2), pages 177-197.
    4. Root, Thomas H. & Lien, Donald, 2003. "Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 117-133.

  9. Haldrup, Niels & Sansó, Andreu, 2008. "A note on the Vogelsang test for additive outliers," Statistics & Probability Letters, Elsevier, vol. 78(3), pages 296-300, February.
    See citations under working paper version above.
  10. Niels Haldrup & Peter Møllgaard & Claus Kastberg Nielsen, 2008. "Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market For Salmon," Journal of Competition Law and Economics, Oxford University Press, vol. 4(3), pages 893-913.
    See citations under working paper version above.
  11. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March.
    See citations under working paper version above.
  12. Haldrup, Niels & Hylleberg, Svend & Pons, Gabriel & Sanso, Andreu, 2007. "Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 21-32, January.
    See citations under working paper version above.
  13. Haldrup Niels & Nielsen Morten Ø., 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-24, September.
    See citations under working paper version above.
  14. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
    See citations under working paper version above.
  15. Niels Haldrup & Peter Lildholdt, 2005. "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 159-179, May.
    See citations under working paper version above.
  16. Haldrup, Niels & Montanes, Antonio & Sanso, Andreu, 2005. "Measurement errors and outliers in seasonal unit root testing," Journal of Econometrics, Elsevier, vol. 127(1), pages 103-128, July.
    See citations under working paper version above.
  17. Tom Engsted & Niels Haldrup & Boriss Siliverstovs, 2004. "Long-run forecasting in multicointegrated systems," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 315-335.
    See citations under working paper version above.
  18. Jansson, Michael & Haldrup, Niels, 2002. "Regression Theory For Nearly Cointegrated Time Series," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1309-1335, December.

    Cited by:

    1. Pesavento, Elena, 2004. "Analytical evaluation of the power of tests for the absence of cointegration," Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
    2. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Center for Research in Economics and Statistics.
    3. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
    4. Lin, Yingqian & Tu, Yundong, 2020. "Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root," Journal of Econometrics, Elsevier, vol. 219(1), pages 52-65.
    5. Jansson, Michael, 2005. "Point optimal tests of the null hypothesis of cointegration," Journal of Econometrics, Elsevier, vol. 124(1), pages 187-201, January.
    6. Morten Oerregaard Nielsen, "undated". "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, Department of Economics and Business Economics, Aarhus University.
    7. Jansson, Michael, 2004. "Stationarity Testing With Covariates," Econometric Theory, Cambridge University Press, vol. 20(1), pages 56-94, February.
    8. Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
    9. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.

  19. Niels Haldrup & Peter Lildholdt, 2002. "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 155-171, March.
    See citations under working paper version above.
  20. Engsted, Tom & Haldrup, Niels, 1999. "Estimating the LQAC Model with I(2) Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 155-170, March-Apr.

    Cited by:

    1. Fanelli, Luca, 2006. "Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 445-456, March.
    2. Paul Mizen & Anindya Banerjee, 2006. "A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1249-1264.
    3. Thórarinn G. Pétursson, 2001. "The representative household's demand for money in a cointegrated VAR model," Economics wp12, Department of Economics, Central bank of Iceland.
    4. Engsted, Tom, 2000. "Measuring Noise in the Permanent Income Hypothesis," Finance Working Papers 00-8, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    5. Víctor Tiberio Olivo, 2003. "Taylor Rules and Inflation Targeting do not Work with Systematic Foreign Exchange Market Intervention," Money Affairs, CEMLA, vol. 0(1), pages 51-67, January-J.
    6. René Lalonde & Zhenhua Zhu & Frédérick Demers, 2003. "Forecasting and Analyzing World Commodity Prices," Money Affairs, CEMLA, vol. 0(1), pages 1-30, January-J.
    7. Carlos José García T. & Jorge Enrique Restrepo, 2003. "Price Inflation and Exchange Rate Pass-Trough in Chile," Money Affairs, CEMLA, vol. 0(1), pages 69-88, January-J.
    8. Prudence Serju, 2003. "Monetary Conditions and Core Inflation: an Application of Neural Networks," Money Affairs, CEMLA, vol. 0(1), pages 31-50, January-J.
    9. Matteo Manera, 2005. "Modeling Factor Demands with SEM and VAR: An Empirical Comparison," Working Papers 2005.47, Fondazione Eni Enrico Mattei.
    10. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.
    11. David Aristei & Luca Pieroni, 2007. "Habits, Complementarities and Heterogenenity in Alcohol and Tobacco Demand: A Multivariate Dynamic Model," Working Papers 38/2007, University of Verona, Department of Economics.

  21. Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.

    Cited by:

    1. Arbués, Ignacio & Ledo, Ramiro & Matilla-García, Mariano, 2016. "Automatic identification of general vector error correction models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-41.
    2. Massimo Franchi & Paolo Paruolo, 2011. "Normal forms of regular matrix polynomials via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series 2011/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    3. Dolado, Juan José & Mármol, Francesc, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies.
    5. Fragiskos Archontakis, 1998. "An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 7(2), pages 111-127, August.
    6. Mario Faliva & Maria Grazia Zoia, 2021. "Cointegrated Solutions of Unit-Root VARs: An Extended Representation Theorem," Papers 2102.10626, arXiv.org.
    7. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft.

  22. Niels Haldrup, 1998. "An Econometric Analysis of I(2) Variables," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 595-650, December.

    Cited by:

    1. Stillwagon, Josh R., 2015. "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 85-101.
    2. Herzer, Dierk, 2020. "Semi-endogenous versus Schumpeterian growth models: a critical review of the literature and new evidence," MPRA Paper 98022, University Library of Munich, Germany.
    3. Herranz-Loncan, Alfonso, 2007. "Infrastructure investment and Spanish economic growth, 1850-1935," Explorations in Economic History, Elsevier, vol. 44(3), pages 452-468, July.
    4. Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    5. Haldrup, Niels Prof. & Lildholdt, Peter, 2000. "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," University of California at San Diego, Economics Working Paper Series qt2k0780sh, Department of Economics, UC San Diego.
    6. Paul Mizen & Anindya Banerjee, 2006. "A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1249-1264.
    7. Kongsted, Hans Christian, 2005. "Testing the nominal-to-real transformation," Journal of Econometrics, Elsevier, vol. 124(2), pages 205-225, February.
    8. Niels Haldrup & Peter Lildholdt, "undated". "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, Department of Economics and Business Economics, Aarhus University.
    9. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers 2010-06, Banco de México.
    10. Engsted, Tom, 2003. "Misspecification versus bubbles in hyperinflation data: comment," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 441-451, August.
    11. Amir Kia, 2005. "Sustainability of the Fiscal Process in Developing Countries- Egypt, Iran and Turkey: A Multicointegration Approach – revised version: Fiscal Sustainability in Emerging Countries: Evidence from Iran a," Carleton Economic Papers 05-08, Carleton University, Department of Economics, revised Nov 2008.
    12. Boriss Siliverstovs, "undated". "Multicointegration in US consumption data," Economics Working Papers 2001-6, Department of Economics and Business Economics, Aarhus University.
    13. Antonio E. Noriega & School of Economics, University of Guanajuato & Daniel Ventosa-Santaulà ria & School of Economics, University of Guanajuato, 2006. "Spurious regression and econometric trends," Computing in Economics and Finance 2006 151, Society for Computational Economics.
    14. Allison Zhou & Carl Bonham & Byron Gangnes, 2007. "Modeling the supply and demand for tourism: a fully identified VECM approach," Working Papers 200717, University of Hawaii at Manoa, Department of Economics.
    15. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2012. "Unit Roots and Structural Change," Urban Studies, Urban Studies Journal Limited, vol. 49(4), pages 757-776, March.
    16. Banerjee, A. & Russell, B., 2000. "The Relationship between the Markup and Inflation in the G7 plus One Economies," Economics Working Papers eco2000/7, European University Institute.
    17. Yoo, S.-H., 2006. "The causal relationship between electricity consumption and economic growth in the ASEAN countries," Energy Policy, Elsevier, vol. 34(18), pages 3573-3582, December.
    18. Ziwei Mei & Zhentao Shi & Peter C. B. Phillips, 2022. "The boosted HP filter is more general than you might think," Cowles Foundation Discussion Papers 2348, Cowles Foundation for Research in Economics, Yale University.
    19. Alessandro Cigno, & Luca Casolaro & Furio C. Rosati, 2001. "The Role of Social Security in Household Decisions: VAR Estimates of Saving and Fertility Behaviour in Germany," CHILD Working Papers wp07_01, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY.
    20. Luis A. Gil‐Alana & Robert Mudida & OlaOluwa S. Yaya & Kazeem A. Osuolale & Ahamuefula E. Ogbonna, 2021. "Mapping US presidential terms with S&P500 index: Time series analysis approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1938-1954, April.
    21. Papagni, Erasmo & Lepore, Amedeo & Felice, Emanuele & Baraldi, Anna Laura & Alfano, Maria Rosaria, 2021. "Public investment and growth: Lessons learned from 60-years experience in Southern Italy," Journal of Policy Modeling, Elsevier, vol. 43(2), pages 376-393.
    22. Paruolo Paolo, 2004. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217tris, Department of Economics, University of Insubria.
    23. Nielsen, Morten Orregaard, 2005. "Noncontemporaneous cointegration and the importance of timing," Economics Letters, Elsevier, vol. 86(1), pages 113-119, January.
    24. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
    25. Martina Alexová, 2012. "What determines inflation?," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(4), pages 345-369.
    26. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
    27. Takamitsu Kurita, 2009. "A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes," Economics Bulletin, AccessEcon, vol. 29(2), pages 575-587.
    28. Michał Majsterek & Aleksander Welfe, 2012. "Price-wage nexus and the role of a tax system," Economic Change and Restructuring, Springer, vol. 45(1), pages 121-133, February.
    29. Hassler, Uwe, 2007. "Multicointegration under measurement errors," Economics Letters, Elsevier, vol. 96(1), pages 38-44, July.
    30. Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22, April.
    31. Anindya Banerjee & Lynne Cockerell & Bill Russell, 2001. "An I(2) analysis of inflation and the markup," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 221-240.
    32. Konya, Laszlo, 2004. "Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(2), pages 67-94.
    33. Kia, Amir, 2008. "Fiscal sustainability in emerging countries: Evidence from Iran and Turkey," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 957-972.
    34. Cassim, Lucius, 2020. "A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State," MPRA Paper 101453, University Library of Munich, Germany.
    35. Holtemöller, Oliver, 2002. "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers 2002,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    36. Bonham, Carl & Gangnes, Byron & Zhou, Ting, 2009. "Modeling tourism: A fully identified VECM approach," International Journal of Forecasting, Elsevier, vol. 25(3), pages 531-549, July.
    37. Boschi, Melisso & Girardi, Alessandro, 2005. "Does one monetary policy fit all? the determinants of inflation in EMU countries," MPRA Paper 28554, University Library of Munich, Germany.
    38. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics.
    39. Escario, Regina & Gadea, María Dolores & Sabaté, Marcela, 2012. "Multicointegration, seigniorage and fiscal sustainability. Spain 1857–2000," Journal of Policy Modeling, Elsevier, vol. 34(2), pages 270-283.

  23. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997. "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, vol. 80(1), pages 167-193, September.

    Cited by:

    1. Franses, Ph.H.B.F. & Paap, R., 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Research Papers EI 9927-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Philip Hans Franses & Richard Paap, 2011. "Random‐coefficient periodic autoregressions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(1), pages 101-115, February.
    3. Philip Hans Franses, 2005. "The Econometric Analysis of Seasonal Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 319-321, March.
    4. Zou, Nan & Politis, Dimitris N., 2021. "Bootstrap seasonal unit root test under periodic variation," Econometrics and Statistics, Elsevier, vol. 19(C), pages 1-21.
    5. Politis, Dimitris, 2016. "HEGY test under seasonal heterogeneity," University of California at San Diego, Economics Working Paper Series qt2q4054kf, Department of Economics, UC San Diego.
    6. Alexander Vosseler & Enzo Weber, 2017. "Bayesian analysis of periodic unit roots in the presence of a break," Applied Economics, Taylor & Francis Journals, vol. 49(38), pages 3841-3862, August.
    7. Pami Dua & Lokendra Kumawat, 2010. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working Papers id:3005, eSocialSciences.
    8. Löf, Mårten & Franses, Philip Hans, 2000. "On Forecasting Cointegrated Seasonal Time Series," SSE/EFI Working Paper Series in Economics and Finance 350, Stockholm School of Economics.
    9. Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.
    10. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor & Francis Journals, vol. 21(2), pages 243-270.
    11. Sujata Kar, 2010. "A Periodic Autoregressive Model of Indian WPI Inflation," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 4(3), pages 279-292, August.
    12. Leong, Kenneth & McAleer, Michael, 1999. "Testing the life-cycle permanent income hypothesis using intra-year data for Sweden," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 551-560.
    13. del Barrio Castro Tomás & Osborn Denise R, 2011. "Nonparametric Tests for Periodic Integration," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-35, February.
    14. Bensalma, Ahmed, 2018. "Two Distinct Seasonally Fractionally Differenced Periodic Processes," MPRA Paper 84969, University Library of Munich, Germany.

  24. Granger, Clive W J & Haldrup, Niels, 1997. "Separation in Cointegrated Systems and Persistent-Transitory Decompositions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 449-463, November.

    Cited by:

    1. Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Open Economies Review, Springer, vol. 17(4), pages 525-540, December.
    2. Haldrup, Niels, "undated". "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, Department of Economics and Business Economics, Aarhus University.
    3. Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates," Textos para discussão 401, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    4. F. Bacchini & M. E. Bontempi & R. Golinelli & C. Jona Lasinio, 2014. "ICT and Non-ICT investments: short and long run macro dynamics," Working Papers wp956, Dipartimento Scienze Economiche, Universita' di Bologna.
    5. Fabio Bacchini & Maria Elena Bontempi & Roberto Golinelli & Cecilia Jona-Lasinio, 2018. "Short- and long-run heterogeneous investment dynamics," Empirical Economics, Springer, vol. 54(2), pages 343-378, March.
    6. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
    7. Kurita, Takamitsu, 2011. "Long-run exclusion and the determination of cointegrating rank: Monte Carlo evidence," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(9), pages 1733-1740.
    8. Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Économie et Prévision, Programme National Persée, vol. 155(4), pages 117-137.
    9. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    10. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
    11. Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society.
    12. Granger, Clive W.J. & Jeon, Yongil, 2007. "Evaluation of global models," Economic Modelling, Elsevier, vol. 24(6), pages 980-989, November.
    13. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2011. "Are The Baltic Countries Ready To Adopt The Euro? A Generalized Purchasing Power Parity Approach," Manchester School, University of Manchester, vol. 79(3), pages 429-454, June.
    14. Reinhold Heinlein & Hans-Martin Krolzig, 2013. "Monetary Policy and Exchange Rates: A Balanced Two-Country Cointegrated VAR Model Approach," Studies in Economics 1321, School of Economics, University of Kent.
    15. Castle, Jennifer L. & Kurita, Takamitsu, 2021. "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    16. Greasley, David & Oxley, Les, 2000. "British Industrialization, 1815-1860: A Disaggregate Time-Series Perspective," Explorations in Economic History, Elsevier, vol. 37(1), pages 98-119, January.
    17. Patterson, K. D., 2003. "Exploiting information in vintages of time-series data," International Journal of Forecasting, Elsevier, vol. 19(2), pages 177-197.
    18. Root, Thomas H. & Lien, Donald, 2003. "Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 117-133.
    19. Kurita, Takamitsu, 2019. "Separate cointegration in a VAR system subject to structural breaks," Economics Letters, Elsevier, vol. 179(C), pages 19-23.
    20. Heinlein, Reinhold & Krolzig, Hans-Martin, 2012. "On the construction of two-country cointegrated VAR models with an application to the UK and US," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62310, Verein für Socialpolitik / German Economic Association.

  25. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 153-173, April.

    Cited by:

    1. Kumar, Saten & Webber, Don J. & Fargher, Scott, 2010. "Money demand stability: A case study of Nigeria," MPRA Paper 26074, University Library of Munich, Germany.
    2. Paul Mizen & Anindya Banerjee, 2006. "A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1249-1264.
    3. Pål Boug & Ådne Cappelen & Anders Swensen, 2006. "Expectations and regime robustness in price formation: evidence from vector autoregressive models and recursive methods," Empirical Economics, Springer, vol. 31(4), pages 821-845, November.
    4. Meurers Martin, 2004. "Estimating Supply and Demand Functions in International Trade: A Multivariate Cointegration Analysis for Germany / Die Schätzung von Angebots- und Nachfragefunktionen im Außenhandel: Eine multivariate," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(5), pages 530-556, October.
    5. David Aristei & Luca Pieroni, 2007. "Habits, Complementarities and Heterogenenity in Alcohol and Tobacco Demand: A Multivariate Dynamic Model," Working Papers 38/2007, University of Verona, Department of Economics.

  26. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November.

    Cited by:

    1. Triches, Divanildo & Sleimann Bertussi, Luis Antônio, 2017. "Multicointegração e sustentabilidade da política fiscal no Brasil com regime de quebras estruturais (1997-2015)," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 71(3), September.
    2. Kaufmann, Sylvia & Kugler, Peter, 2005. "Does Money Matter for Inflation in the Euro Area?," Working papers 2005/09, Faculty of Business and Economics - University of Basel.
    3. Ayla Ogus & Niloufer Sohrabji, 2008. "On the optimality and sustainability of Turkey’s current account," Empirical Economics, Springer, vol. 35(3), pages 543-568, November.
    4. Regina Escario & Mar�a Dolores Gadea & Marcela Sabat�, 2009. "Government Solvency or just Pseudo-Sustainability? a Long-Run Multicointegration Approach for Spain," Documentos de Trabajo dt2009-07, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    5. Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    6. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013. "The relationship between debt level and fiscal sustainability in OECD countries," Working Papers 2013/10, Economics Department, Universitat Jaume I, Castellón (Spain).
    7. Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
    8. Marcus Scheiblecker, 2012. "Modelling Short-run Money Demand for the USA," WIFO Working Papers 442, WIFO.
    9. Kheifets, Igor L. & Phillips, Peter C.B., 2023. "Fully modified least squares cointegrating parameter estimation in multicointegrated systems," Journal of Econometrics, Elsevier, vol. 232(2), pages 300-319.
    10. Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006. "Testing for multicointegration in panel data with common factors," Working Papers in Economics 160, Universitat de Barcelona. Espai de Recerca en Economia.
    11. Alberto Bagnai, 2006. "Structural breaks and the twin deficits hypothesis," International Economics and Economic Policy, Springer, vol. 3(2), pages 137-155, November.
    12. Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
    13. Neto, David, 2020. "Tracking fiscal discipline. Looking for a PIIGS on the wing," International Economics, Elsevier, vol. 163(C), pages 147-154.
    14. Ding, Shusheng & Zhang, Yongmin, 2020. "Cross market predictions for commodity prices," Economic Modelling, Elsevier, vol. 91(C), pages 455-462.
    15. Chen, Shyh-Wei & Wu, An-Chi, 2018. "Is there a bubble component in government debt? New international evidence," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 467-486.
    16. Javier Gómez Biscarri & Javier Hualde, 2014. "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers 1439, Department of Economics and Business, Universitat Pompeu Fabra.
    17. Cysne, Rubens Penha & Campos, Eduardo Lima, 2019. "Sustainability of the Brazilian public pebt an analysis using multicointegration," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 805, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    18. Demiralp, Berna & Gantt, Bonnie B. & Selover, David D., 2011. "Modeling unemployment as an inventory: A multicointegration approach," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 724-737.
    19. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2021. "Análisis de la sostenibilidad del sector exterior en la OCDE con técnicas de multicointegración," Working Papers 2112, Department of Applied Economics II, Universidad de Valencia.
    20. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013. "Global imbalances and the Intertemporal External Budget Constraint: A multicointegration approach," Working Papers 1303, Department of Applied Economics II, Universidad de Valencia.
    21. Hassler, Uwe, 2007. "Multicointegration under measurement errors," Economics Letters, Elsevier, vol. 96(1), pages 38-44, July.
    22. Nimai Das, 2015. "Subnational level fiscal health in India: stability and sustainability implications," Economic Change and Restructuring, Springer, vol. 48(1), pages 71-91, February.
    23. Flavien Fokou Noumbissie, 2014. "The Impact of Monetary Policy on Financial Market in South Africa: A VAR Analysis," Journal of Economics and Behavioral Studies, AMH International, vol. 6(8), pages 636-646.
    24. Kia, Amir, 2008. "Fiscal sustainability in emerging countries: Evidence from Iran and Turkey," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 957-972.
    25. Hui, Hon Chung, 2013. "Fiscal sustainability in Malaysia: a re-examination," MPRA Paper 80018, University Library of Munich, Germany.
    26. Cassim, Lucius, 2020. "A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State," MPRA Paper 101453, University Library of Munich, Germany.
    27. Nimai Das, 2013. "Subnational-level Fiscal Health: Stability and Sustainability Implications for Kerala, Punjab, and West Bengal," Working Papers id:5589, eSocialSciences.
    28. González, Martín & Gonzalo, Jesús, 2000. "Econometric implications of non-exact present value models," DE - Documentos de Trabajo. Economía. DE 16009, Universidad Carlos III de Madrid. Departamento de Economía.
    29. Hassler Uwe, 2001. "Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(1), pages 32-44, February.
    30. Olgica Glavaški & Emilija Beker Pucar, 2021. "Heterogeneity of fiscal adjustments in EU economies in the pre- and post-crisis periods: common correlated effects approach," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 191-226, March.
    31. Escario, Regina & Gadea, María Dolores & Sabaté, Marcela, 2012. "Multicointegration, seigniorage and fiscal sustainability. Spain 1857–2000," Journal of Policy Modeling, Elsevier, vol. 34(2), pages 270-283.

  27. Haldrup, Niels, 1996. "Mirror image distributions and the Dickey-Fuller regression with a maintained trend," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 301-312.

    Cited by:

    1. Søren Johansen & Morten Ørregaard Nielsen, 2016. "The cointegrated vector autoregressive model with general deterministic terms," Discussion Papers 16-07, University of Copenhagen. Department of Economics.
    2. Haldrup, Niels & Hylleberg, Svend, 1995. "A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence," Economics Letters, Elsevier, vol. 48(3-4), pages 221-228, June.

  28. Haldrup, Niels & Hylleberg, Svend, 1995. "A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence," Economics Letters, Elsevier, vol. 48(3-4), pages 221-228, June.

    Cited by:

    1. Zhou, Qiankun & Yu, Jun, 2015. "Asymptotic theory for linear diffusions under alternative sampling schemes," Economics Letters, Elsevier, vol. 128(C), pages 1-5.
    2. Paulo M.M. Rodrigues & Antonio Rubia, 2004. "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    3. Guillaume Chevillon, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," Working Papers hal-00914830, HAL.
    4. Haldrup, Niels, 1996. "Mirror image distributions and the Dickey-Fuller regression with a maintained trend," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 301-312.
    5. Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
    6. Hellstrom, Jorgen, 2001. "Unit root testing in integer-valued AR(1) models," Economics Letters, Elsevier, vol. 70(1), pages 9-14, January.
    7. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
    8. Qiankun Zhou & Jun Yu, 2012. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers 11-2012, Singapore Management University, School of Economics.
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    2. Paul Mizen & Anindya Banerjee, 2006. "A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1249-1264.
    3. Johansen, Soren & Swensen, Anders Rygh, 1999. "Testing exact rational expectations in cointegrated vector autoregressive models," Journal of Econometrics, Elsevier, vol. 93(1), pages 73-91, November.
    4. Fanelli, Luca, 2006. "Present value relations, Granger non-causality and VAR stability," MPRA Paper 1642, University Library of Munich, Germany.
    5. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 117-139, January.
    6. Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, vol. 106(436), pages 578-592, May.
    7. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 153-173, April.
    8. Pål Boug, 1999. "The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing," Discussion Papers 256, Statistics Norway, Research Department.
    9. Jeong, Hanbat & Lee, Lung-fei, 2020. "Spatial dynamic models with intertemporal optimization: Specification and estimation," Journal of Econometrics, Elsevier, vol. 218(1), pages 82-104.
    10. Matteo Manera, 2005. "Modeling Factor Demands with SEM and VAR: An Empirical Comparison," Working Papers 2005.47, Fondazione Eni Enrico Mattei.
    11. David Aristei & Luca Pieroni, 2007. "Habits, Complementarities and Heterogenenity in Alcohol and Tobacco Demand: A Multivariate Dynamic Model," Working Papers 38/2007, University of Verona, Department of Economics.
    12. Pål Boug & Ådne Cappelen & Anders R. Swensen, 2000. "Expectations in Export Price Formation Tests using Cointegrated VAR Models," Discussion Papers 283, Statistics Norway, Research Department.
    13. Ingvild Svendsen, 1998. "Rational Expectations in Price Setting. Tests Based on Norwegian Export Prices," Discussion Papers 226, Statistics Norway, Research Department.
    14. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
    15. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.

  31. Haldrup, Niels, 1994. "Semiparametric Tests for Double Unit Roots," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 109-122, January.

    Cited by:

    1. Dominique Bianco & Evens Salies, 2010. "Productivité et R&D au Luxembourg," SciencePo Working papers Main hal-03460140, HAL.
    2. Haldrup, Niels Prof. & Lildholdt, Peter, 2000. "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," University of California at San Diego, Economics Working Paper Series qt2k0780sh, Department of Economics, UC San Diego.
    3. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    4. Niels Haldrup & Peter Lildholdt, "undated". "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, Department of Economics and Business Economics, Aarhus University.
    5. Francesco Bravo, 2010. "Nonparametric likelihood inference for general autoregressive models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(1), pages 79-106, March.
    6. Dolado, Juan José & Mármol, Francesc, 1997. "On the properties of the Dickey-Pantula test against fractional alternatives," DES - Working Papers. Statistics and Econometrics. WS 4549, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707.
    8. Mustapha Baghli, 2007. "NAWRU and potential output in France," Applied Economics Letters, Taylor & Francis Journals, vol. 14(2), pages 95-98.
    9. Shin, Dong Wan & So, Beong Soo, 2002. "Recursive mean adjustment and tests for nonstationarities," Economics Letters, Elsevier, vol. 75(2), pages 203-208, April.
    10. Holtemöller, Oliver, 2002. "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers 2002,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    11. Anton Skrobotov, 2013. "Double Unit Roots Testing, GLS-detrending and Uncertainty over the Initial Conditions," Working Papers 0083, Gaidar Institute for Economic Policy, revised 2013.
    12. Dong Shin & Man-Suk Oh, 2003. "Tests for the order of integration against higher order integration," Statistical Papers, Springer, vol. 44(3), pages 383-396, July.

  32. Haldrup, Niels, 1994. "The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables," Journal of Econometrics, Elsevier, vol. 63(1), pages 153-181, July.

    Cited by:

    1. Kaufmann, Sylvia & Kugler, Peter, 2005. "Does Money Matter for Inflation in the Euro Area?," Working papers 2005/09, Faculty of Business and Economics - University of Basel.
    2. Regina Escario & Mar�a Dolores Gadea & Marcela Sabat�, 2009. "Government Solvency or just Pseudo-Sustainability? a Long-Run Multicointegration Approach for Spain," Documentos de Trabajo dt2009-07, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    3. Haldrup, Niels Prof. & Lildholdt, Peter, 2000. "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," University of California at San Diego, Economics Working Paper Series qt2k0780sh, Department of Economics, UC San Diego.
    4. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
    5. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013. "The relationship between debt level and fiscal sustainability in OECD countries," Working Papers 2013/10, Economics Department, Universitat Jaume I, Castellón (Spain).
    6. Campos, Eduardo Lima & Cysne, Rubens Penha, 2019. "Sustainability of Brazilian public debt: analysis of a possible structural break in the recent period," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 806, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    7. Kheifets, Igor L. & Phillips, Peter C.B., 2023. "Fully modified least squares cointegrating parameter estimation in multicointegrated systems," Journal of Econometrics, Elsevier, vol. 232(2), pages 300-319.
    8. Niels Haldrup & Peter Lildholdt, "undated". "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, Department of Economics and Business Economics, Aarhus University.
    9. Ellington, Michael & Milas, Costas, 2019. "Global liquidity, money growth and UK inflation," Journal of Financial Stability, Elsevier, vol. 42(C), pages 67-74.
    10. Engsted, Tom, 1996. "The monetary model of the exchange rate under hyperinflation: New encouraging evidence," Economics Letters, Elsevier, vol. 51(1), pages 37-44, April.
    11. Vanessa Berenguer Rico & Josep Lluis Carrion Silvestre, 2006. "Testing for multicointegration in panel data with common factors," Working Papers in Economics 160, Universitat de Barcelona. Espai de Recerca en Economia.
    12. Marmol, Francesc, 1997. "Spurius regression theory with nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 10733, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Leachman, Lori L. & Francis, Bill B., 2000. "Multicointegration Analysis of the Sustainability of Foreign Debt," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 207-227, April.
    14. Lee, Young-Sook & Kim, Tae-Hwan & Newbold, Paul, 2005. "Spurious nonlinear regressions in econometrics," Economics Letters, Elsevier, vol. 87(3), pages 301-306, June.
    15. Víctor Tiberio Olivo, 2003. "Taylor Rules and Inflation Targeting do not Work with Systematic Foreign Exchange Market Intervention," Money Affairs, CEMLA, vol. 0(1), pages 51-67, January-J.
    16. Neto, David, 2020. "Tracking fiscal discipline. Looking for a PIIGS on the wing," International Economics, Elsevier, vol. 163(C), pages 147-154.
    17. Chen, Shyh-Wei & Wu, An-Chi, 2018. "Is there a bubble component in government debt? New international evidence," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 467-486.
    18. Javier Gómez Biscarri & Javier Hualde, 2014. "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers 1439, Department of Economics and Business, Universitat Pompeu Fabra.
    19. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November.
    20. Hao Jin & Si Zhang & Jinsuo Zhang, 2017. "Spurious regression due to neglected of non-stationary volatility," Computational Statistics, Springer, vol. 32(3), pages 1065-1081, September.
    21. Stewart, Chris, 2006. "Spurious correlation of I(0) regressors in models with an I(1) dependent variable," Economics Letters, Elsevier, vol. 91(2), pages 184-189, May.
    22. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 153-173, April.
    23. Esther Stroe-Kunold & Joachim Werner, 2009. "A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(6), pages 913-940, November.
    24. Demiralp, Berna & Gantt, Bonnie B. & Selover, David D., 2011. "Modeling unemployment as an inventory: A multicointegration approach," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 724-737.
    25. Wang, Cindy Shin-Huei & Hafner, Christian, 2018. "A simple solution of the spurious regression problem," LIDAM Reprints ISBA 2018044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    26. Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996. "Trend-Stationarity in the I(2) Cointegration Model," Discussion Papers 96-12, University of Copenhagen. Department of Economics.
    27. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2021. "Análisis de la sostenibilidad del sector exterior en la OCDE con técnicas de multicointegración," Working Papers 2112, Department of Applied Economics II, Universidad de Valencia.
    28. René Lalonde & Zhenhua Zhu & Frédérick Demers, 2003. "Forecasting and Analyzing World Commodity Prices," Money Affairs, CEMLA, vol. 0(1), pages 1-30, January-J.
    29. Engsted, Tom & Gonzalo, Jesús & Haldrup, Niels, 1996. "Multicointegration and present value relations," DES - Working Papers. Statistics and Econometrics. WS 4540, Universidad Carlos III de Madrid. Departamento de Estadística.
    30. Erna Rachmawati & Ekki Syamsulhakim, 2004. "Factors Affecting Mudaraba Deposits in Indonesia," Working Papers in Economics and Development Studies (WoPEDS) 200404, Department of Economics, Padjadjaran University, revised Aug 2004.
    31. Granger, Clive W.J. & Hyung, Namwon & Jeon, Yongil, 1998. "Spurious Regressions with Stationary Series," University of California at San Diego, Economics Working Paper Series qt7r3353t8, Department of Economics, UC San Diego.
    32. Mariam Camarero & Josep Lluís Carrion-i-Silvestre & Cecilio Tamarit, 2013. "Global imbalances and the Intertemporal External Budget Constraint: A multicointegration approach," Working Papers 1303, Department of Applied Economics II, Universidad de Valencia.
    33. Dolado, Juan José & Mármol, Francesc, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de Estadística.
    34. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997. "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, vol. 80(1), pages 167-193, September.
    35. Carlos José García T. & Jorge Enrique Restrepo, 2003. "Price Inflation and Exchange Rate Pass-Trough in Chile," Money Affairs, CEMLA, vol. 0(1), pages 69-88, January-J.
    36. Prudence Serju, 2003. "Monetary Conditions and Core Inflation: an Application of Neural Networks," Money Affairs, CEMLA, vol. 0(1), pages 31-50, January-J.
    37. Nimai Das, 2015. "Subnational level fiscal health in India: stability and sustainability implications," Economic Change and Restructuring, Springer, vol. 48(1), pages 71-91, February.
    38. Michał Majsterek, 2012. "Cointegration Analysis in the Case of I(2) – General Overview," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(4), pages 215-252, December.
    39. Shahidur Rahman, 2005. "An Alternative Estimation to Spurious Regression Model," Economic Growth Centre Working Paper Series 0507, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    40. Kia, Amir, 2008. "Fiscal sustainability in emerging countries: Evidence from Iran and Turkey," Journal of Policy Modeling, Elsevier, vol. 30(6), pages 957-972.
    41. Jin, Hao & Zhang, Jinsuo & Zhang, Si & Yu, Cong, 2013. "The spurious regression of AR(p) infinite-variance sequence in the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 25-40.
    42. Chris Stewart, 2011. "A note on spurious significance in regressions involving I(0) and I(1) variables," Empirical Economics, Springer, vol. 41(3), pages 565-571, December.
    43. Carlos José Garcia & Jorge Enrique Restrepo, 2001. "Price and wage inflation in Chile," BIS Papers chapters, in: Bank for International Settlements (ed.), Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries, volume 8, pages 109-130, Bank for International Settlements.
    44. Hassler, Uwe, 1999. "Nonsense regressions due to time-varying means," DES - Working Papers. Statistics and Econometrics. WS 6361, Universidad Carlos III de Madrid. Departamento de Estadística.
    45. Cassim, Lucius, 2020. "A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State," MPRA Paper 101453, University Library of Munich, Germany.
    46. Nimai Das, 2013. "Subnational-level Fiscal Health: Stability and Sustainability Implications for Kerala, Punjab, and West Bengal," Working Papers id:5589, eSocialSciences.
    47. Holtemöller, Oliver, 2002. "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers 2002,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    48. Caravaggio, Nicola, 2020. "A global empirical re-assessment of the Environmental Kuznets curve for deforestation," Forest Policy and Economics, Elsevier, vol. 119(C).
    49. Mármol, Francesc, 1999. "How spurious features arise in case of fractional cointegration," DES - Working Papers. Statistics and Econometrics. WS 6349, Universidad Carlos III de Madrid. Departamento de Estadística.
    50. Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics.
    51. Hassler, Uwe, 1996. "Spurious regressions when stationary regressors are included," Economics Letters, Elsevier, vol. 50(1), pages 25-31, January.
    52. Igor Kheifets & Peter C.B. Phillips, 2019. "Fully Modified Least Squares for Multicointegrated Systems," Cowles Foundation Discussion Papers 2210, Cowles Foundation for Research in Economics, Yale University.
    53. Booth, G. Geoffrey & Ciner, Cetin, 2001. "The relationship between nominal interest rates and inflation: international evidence," Journal of Multinational Financial Management, Elsevier, vol. 11(3), pages 269-280, July.
    54. Frédérick Demers, 2005. "Modelling and Forecasting Housing Investment: The Case of Canada," Staff Working Papers 05-41, Bank of Canada.
    55. Escario, Regina & Gadea, María Dolores & Sabaté, Marcela, 2012. "Multicointegration, seigniorage and fiscal sustainability. Spain 1857–2000," Journal of Policy Modeling, Elsevier, vol. 34(2), pages 270-283.

Chapters

  1. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

Books

  1. Haldrup, Niels & Meitz, Mika & Saikkonen, Pentti (ed.), 2014. "Essays in Nonlinear Time Series Econometrics," OUP Catalogue, Oxford University Press, number 9780199679959.

    Cited by:

    1. Manuel Lukas & Eric Hillebrand, 2014. "Bagging Weak Predictors," CREATES Research Papers 2014-01, Department of Economics and Business Economics, Aarhus University.
    2. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    3. Ellahie, Atif & Ricco, Giovanni, 2017. "Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs," Economic Research Papers 269308, University of Warwick - Department of Economics.
    4. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    5. James A. Duffy & David F. Hendry, 2017. "The impact of integrated measurement errors on modeling long-run macroeconomic time series," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 568-587, October.
    6. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    7. Jurgen A. Doornik & David F. Hendry & Steve Cook, 2015. "Statistical model selection with “Big Data”," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1045216-104, December.
    8. Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
    9. Nelimarkka, Jaakko, 2017. "The effects of government spending under anticipation: the noncausal VAR approach," MPRA Paper 81303, University Library of Munich, Germany.

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