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Citations of
Niels Haldrup

For current contact information and a more complete listing of works, please see here

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Working papers

  1. Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:

    Cited by:

    1. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502_v1, HAL. [Downloadable!]
    2. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009. "Detection of additive outliers in seasonal time series," CREATES Research Papers 2009-40, School of Economics and Management, University of Aarhus. [Downloadable!]

  2. 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 2005-3, School of Economics and Management, University of Aarhus. [Downloadable!]
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    Cited by:

    1. Tomas del Barrio Castro & Denise R Osborn, 2005. "Cointegration for Periodically Integrated Processes," The School of Economics Discussion Paper Series 0522, Economics, The University of Manchester. [Downloadable!]
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    2. Hristos Doucouliagos & Martin Paldam, 2005. "The Aid Effectiveness Literature. The Sad Result of 40 Years of Research," Economics Working Papers 2005-15, School of Economics and Management, University of Aarhus. [Downloadable!]
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  3. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
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    Cited by:

    1. Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei. [Downloadable!]
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  4. Niels Haldrup & Michael Jansson, 2005. "Improving Size and Power in Unit Root Testing," Economics Working Papers 2005-2, School of Economics and Management, University of Aarhus. [Downloadable!]

    Cited by:

    1. Lupi, Claudio, 2009. "Covariate Augmented Dickey-Fuller Tests with R," Economics & Statistics Discussion Papers esdp09051, University of Molise, Dept. SEGeS. [Downloadable!]
    2. jair Ojeda Joya, 2009. "Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate," BORRADORES DE ECONOMIA 005521, BANCO DE LA REPÚBLICA. [Downloadable!]
    3. Giuseppe Cavaliere & David I. Harvey & Stephen J. Leybourne & A.M. Robert Taylor, 2008. "Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility," CREATES Research Papers 2008-62, School of Economics and Management, University of Aarhus. [Downloadable!]
    4. Amélie Charles & Olivier Darné & Jean-François Hoarau, 2009. "Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?," Working Papers hal-00422522_v1, HAL. [Downloadable!]
    5. Jair Ojeda Joya, . "Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate," Borradores de Economia 564, Banco de la Republica de Colombia. [Downloadable!]
    6. Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers 2008-36, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    7. Nielsen, Morten, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 08-05, Cornell University, Center for Analytic Economics. [Downloadable!]
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    8. Claudio Lupi, 2009. "Unit Root CADF Testing with R," Journal of Statistical Software, American Statistical Association, vol. 32(02), October. [Downloadable!]
    9. Pierre Perron & Zhongjun Qu, 2006. "A Simple Modification to Improve the Finite Sample Properties of Ng and Perron’s Unit Root Tests," Boston University - Department of Economics - Working Papers Series WP2006-010, Boston University - Department of Economics. [Downloadable!]
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  5. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
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    Cited by:

    1. Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard, 2007. "Market Power in Power Markets: Evidence from Forward Prices of Electricity," CREATES Research Papers 2007-30, School of Economics and Management, University of Aarhus. [Downloadable!]
    2. Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei. [Downloadable!]
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    3. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-427, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    4. Giulio Bottazzi & Sandro Sapio & Angelo Secchi, 2004. "Some Statistical Investigations on the Nature and Dynamics of Electricity Prices," LEM Papers Series 2004/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    5. Juha Honkatukia & Ville Mälkönen & Adriaan Perrels, 2006. "Impacts of the European Emission Trade System on Finnish Wholesale Electricity Prices," Discussion Papers 405, Government Institute for Economic Research Finland (VATT). [Downloadable!]
    6. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K., 2006. "Nonparametric density estimation for positive time series," CORE Discussion Papers 2006085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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    7. Svend Hylleberg, 2004. "On the Exploitation of Market Power in the Nordic Electricity Markets. The Case of Elsam," Economics Working Papers 2004-5, School of Economics and Management, University of Aarhus. [Downloadable!]
    8. Hipòlit Torró & Julio Lucia, 2008. "Short-term electricity futures prices: Evidence on the time-varying risk premium," Working Papers. Serie EC 2008-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    9. Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute. [Downloadable!]
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    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, School of Economics and Management, University of Aarhus. [Downloadable!]
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    11. Morten Ørregaard Nielsen & Per Frederiksen, 2008. "Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration," Working Papers 1171, Queen's University, Department of Economics. [Downloadable!]
    12. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:

  6. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2004. "Testing for Additive Outliers in Seasonally Integrated Time Series," Economics Working Papers 2004-14, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:

    Cited by:

    1. Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, School of Economics and Management, University of Aarhus. [Downloadable!]
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  7. 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. [Downloadable!]
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    Cited by:

    1. Neri, Marcelo Cortes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," Economics Working Papers (Ensaios Economicos da EPGE) 689, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    2. 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. [Downloadable!]
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    3. Haldrup, Niels, . "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, School of Economics and Management, University of Aarhus. [Downloadable!]
    4. George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Monash Econometrics and Business Statistics Working Papers 2/09, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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    5. Holler, Manfred & Skott, Peter, . "The importance of setting the agenda," Economics Working Papers 2003-8, School of Economics and Management, University of Aarhus. [Downloadable!]
    6. Nielsen, Morten Oe., . "Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence," Economics Working Papers 2002-16, School of Economics and Management, University of Aarhus. [Downloadable!]

  8. Niels Haldrup & Michael Jansson, 1999. "Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach," Tinbergen Institute Discussion Papers 99-005/4, Tinbergen Institute. [Downloadable!]
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    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. [Downloadable!]

  9. Tom Engsted & Niels Haldrup, 1995. "Estimating the LQAC Model with I(2) Variables," University of California at San Diego, Economics Working Paper Series 95-45, Department of Economics, UC San Diego.
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    1. Matteo Manera, 2005. "Modeling Factor Demands with SEM and VAR: An Empirical Comparison," Working Papers 2005.47, Fondazione Eni Enrico Mattei. [Downloadable!]
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    2. Carlos José García & Jorge Enrique Restrepo, 2001. "Price Inflation and Exchange Rate Pass-Through in Chile," Working Papers Central Bank of Chile 128, Central Bank of Chile. [Downloadable!]
    3. Anindya BANERJEE & Paul MIZEN, 2003. "A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated," Economics Working Papers ECO2003/11, European University Institute. [Downloadable!]
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  10. Peter Boswijk & Philip Hans Franses & Niels Haldrup, 1995. "Multiple Unit Roots in Periodic Autoregression," University of California at San Diego, Economics Working Paper Series 95-44, Department of Economics, UC San Diego.
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    1. Ph.H.B.F. Franses & R. Paap, 1999. "Forecasting with periodic autoregressive time series models," Econometric Institute Report 156, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    2. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics. [Downloadable!]
    3. Eiji Kurozumi, 2002. "Testing For Periodic Stationarity," Econometric Reviews, Taylor and Francis Journals, vol. 21(2), pages 243-270. [Downloadable!] (restricted)
    4. M. Loef & P.H.B.F. Franses, 2000. "On forecasting cointegrated seasonal time series," Econometric Institute Report 183, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  11. Franses, P.H. & Haldrup, N., 1992. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Economics Working Papers 1993-12, School of Economics and Management, University of Aarhus.
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    Cited by:

    1. Heino Bohn Nielsen, 2003. "Cointegration Analysis in the Presence of Outliers," Discussion Papers 03-05, University of Copenhagen. Department of Economics. [Downloadable!]
    2. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers ws041104, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    3. Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society. [Downloadable!]
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    4. Charles Nelson & Eric Zivot & Jeremy M. Piger, 2001. "Markov regime switching and unit root tests," Working Papers 2001-013, Federal Reserve Bank of St. Louis. [Downloadable!]
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    5. Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú. [Downloadable!]
    6. Dijk, Dick van & Franses, Philip Hans & Lucas, Andr•, 1996. "Testing for smooth transition nonlinearity in the presence of outliers," Econometric Institute Report 56, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    7. Olivier Darné & Amélie Charles, 2009. "Large shocks in U.S. macroeconomic time series: 1860–1988," Working Papers hal-00422502_v1, HAL. [Downloadable!]
    8. Hande Kucuk-Tuger & Burc Tuger, 2004. "Relative Price Variability : The Case of Turkey 1994-2002," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 4(2), pages 1-40. [Downloadable!]
    9. Haldrup, Niels & Nielsen, Morten Oe., . "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, School of Economics and Management, University of Aarhus. [Downloadable!]
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    10. Olivier Darne & Laetitia Ripoll-Bresson, 2004. "Exchange rate regime classification and real performances: new empirical evidence," Money Macro and Finance (MMF) Research Group Conference 2003 21, Money Macro and Finance Research Group. [Downloadable!]
    11. Maican, Florin G. & Sweeney, Richard J., 2006. "Real Exchange Rate Adjustment In European Transition Countries," Working Papers in Economics 202, Göteborg University, Department of Economics. [Downloadable!]
    12. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Working Papers 0074, University of Washington, Department of Economics. [Downloadable!]
    13. Artur C. B. da Silva Lopes, 2004. "Deterministic Seasonality in Dickey-Fuller Tests: Should We Care?," Econometrics 0402007, EconWPA, revised 18 Mar 2004. [Downloadable!]
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    14. Lisbeth la Cour & H. Møllgaard, 2002. "Market Domination: Tests Applied to the Danish Cement Industry," European Journal of Law and Economics, Springer, vol. 14(2), pages 99-127, September. [Downloadable!] (restricted)
    15. Cati, Regina Celia & Garcia, Marcio G P & Perron, Pierre, 1999. "Unit Roots in the Presence of Abrupt Governmental Interventions with an Application to Brazilian Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(1), pages 27-56, Jan.-Feb.. [Downloadable!]
    16. Jesús Otero & Jeremy Smith, 2005. "The KPSS Test with Outliers," Computational Economics, Springer, vol. 26(3), pages 59-67, November. [Downloadable!] (restricted)
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    17. Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, EconWPA. [Downloadable!]
    18. Fell, Harrison, 2008. "EU-ETS and Nordic Electricity: A CVAR Approach," Discussion Papers dp-08-31, Resources For the Future. [Downloadable!]
    19. Funding la Cour, Lisbeth & Møllegaard, H. Peter, 2000. "TESTS OF (ABUSE OF) DOMINATION: The Danish cement industry," Working Papers 10-2000, Copenhagen Business School, Department of Economics. [Downloadable!]
    20. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July. [Downloadable!] (restricted)
    21. Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers 2008-36, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    22. Niels Framroze Møller & Paul Sharp, 2008. "Malthus in Cointegration Space: A new look at living standards and population in pre-industrial England," Discussion Papers 08-16, University of Copenhagen. Department of Economics. [Downloadable!]
    23. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2003. "Range Unit Root Tests," Statistics and Econometrics Working Papers ws031126, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    24. Nielsen, Morten, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 08-05, Cornell University, Center for Analytic Economics. [Downloadable!]
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    25. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009. "Detection of additive outliers in seasonal time series," CREATES Research Papers 2009-40, School of Economics and Management, University of Aarhus. [Downloadable!]
    26. A.M.R. Taylor & D.J.C. van Dijk, 1999. "Testing for stochastic unit roots - Some Monte Carlo evidence," Econometric Institute Report 149, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    27. Olivier Darné & Jean-François Hoarau, 2006. "Testing the purchasing power parity in China," EconomiX Working Papers 2006-18, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
    28. Iliyan GEORGIEV, 2002. "Functional Weak Limit Theory for Rare Outlying Events," Economics Working Papers ECO2002/22, European University Institute. [Downloadable!]
    29. Niels Haldrup & Antonio Montanés & Andreu Sanso, . "Measurement Errors and Outliers in Seasonal Unit Root Testing," Economics Working Papers 2000-8, School of Economics and Management, University of Aarhus. [Downloadable!]
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    30. Jussi Tolvi, 2001. "Outliers in eleven Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 14(1), pages 14-32, Spring. [Downloadable!]
    31. R.P. Berben & D. van Dijk, 1999. "Unit roots and asymetric adjustment - a reassessment," Econometric Institute Report 101, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    32. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington. [Downloadable!]
    33. Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, School of Economics and Management, University of Aarhus. [Downloadable!]
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    34. Giulio Cifarelli & Giovanna Paladino, 2007. "The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation," Working Papers Series wp2007_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
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    35. 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. [Downloadable!]
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    36. Pierre Perron & Regina Cati & Marcio Gomes Pinto Garcia, 1995. "Unit roots in the presence of abrupt governmental interventions with an application to Brazilian to Brazilian data," Textos para discussão 349, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    37. Hande Kucuk & Burc Tuger, 2004. "Relative Price Variability : The Case Of Turkey 1994-2002," Working Papers 0402, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
    38. Luis Alberiko Gil-Alana, . "Unit and Fractional Roots in the Presence of Abrupt Changes with an Application to the Brazilian Inf," Faculty Working Papers 19/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    39. Gawon Yoon, 2003. "The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power," Applied Economics Letters, Taylor and Francis Journals, vol. 10(10), pages 627-631, August. [Downloadable!] (restricted)
    40. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers 0040, University of Washington, Department of Economics. [Downloadable!]
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    41. Nandwa, B., 2006. "Implication of the Taylor Rule on Real Exchange Rate Movement in Kenya," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2). [Downloadable!] (restricted)
    42. Frederick H. Wallace & Gary L. Shelley, 2004. "Long Run Neutrality and Superneutrality of Money: Aggregate and Sectoral Tests for Nicaragua," Macroeconomics 0402004, EconWPA. [Downloadable!]
    43. B. da Silva Lopes, Artur C., 2005. "Finite sample effects of pure seasonal mean shifts on Dickey-Fuller tests," MPRA Paper 125, University Library of Munich, Germany, revised May 2006. [Downloadable!]
    44. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000. [Downloadable!]
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    45. Cláudio Hamilton dos Santos & Márcio Bruno Ribeiro & Sérgio Wulff Gobetti, 2008. "A Evolução da Carga Tributária Bruta Brasileira no Período 1995-2007: Tamanho, Composição e Especificações Econométricas Agregadas," Discussion Papers 1350, Instituto de Pesquisa Econômica Aplicada - IPEA. [Downloadable!]
    46. Haldrup, Niels & Møllgaard, Peter & Nielsen, Claus Kastberg, 2005. "Sequential versus simultaneous market," Working Papers 02-2005, Copenhagen Business School, Department of Economics. [Downloadable!]
    47. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho. [Downloadable!]
    48. Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche 9534, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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    49. Olivier Darné, 2004. "The effects of additive outliers on stationarity tests: a monte carlo study," Economics Bulletin, Economics Bulletin, vol. 3(16), pages 1-8. [Downloadable!]
    50. CÁCERES HERNÁNDEZ, José Juan & CANO FERNÁNDEZ, Víctor J. & MARTÍN ÁLVAREZ, Francisco J., 2001. "Observaciones anómalas y contrastes de raíz unitaria en datos semanales," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 17, pages 85-105, Abril. [Downloadable!] (restricted)
    51. Marilza Pereira Valentine & Erik Alencar de Figueiredo & Sinézio Fernades Maia & Adriano Nascimento da Paixão, 2003. "Impactos da Política Monetária Sobre os Níveis de Emprego no Brasil Pós-Plano Real: uma Abordagem Quantitativa," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] f07, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]

  12. Haldrup, N., 1992. "Heteroscedasticity in Non-Stationary Time Series, Some Monte Carlo Evidence," Economics Working Papers 1992-8, School of Economics and Management, University of Aarhus.

    Cited by:

    1. Chew Lian Chua & Sandy Suardi, 2006. "Testing for a Unit Root in the Presence of a Jump Diffusion Process with GARCH Errors," Melbourne Institute Working Paper Series wp2006n28, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]

  13. Haldrup, N., 1990. "Tests For Unit Roots With A Maintained Trend When The True Data Generating Process In A Random Walk With Drift," Economics Working Papers 1990-22, School of Economics and Management, University of Aarhus.

    Cited by:

    1. Ansgar Belke & Daniel Gros, 2001. "Real Impacts of Intra-European Exchange Rate Variability: A Case for EMU?," Open Economies Review, Springer, vol. 12(3), pages 231-264, July. [Downloadable!] (restricted)

  14. Haldrup, N. & Hylleberg, S., 1989. "Unit Roots And Deterministic Trends, With Yet Another Comment On The Existence And Interpretation Of A Unit Root In U.S. Gnp," Economics Working Papers 1989-3, School of Economics and Management, University of Aarhus.

    Cited by:

    1. Bierens, H.J., 1990. "A note on the limiting distribution of sample autocorrelations in the presence of a unit root," Serie Research Memoranda 0034, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    2. Mikael Linden, 1992. "Stochastic and deterministic trends in Finnish macroeconomic time series," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 110-116, Autumn. [Downloadable!]

  15. Haldrup, Niels & Nielsen, Morten Oe., . "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:

    Cited by:

    1. Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, School of Economics and Management, University of Aarhus. [Downloadable!]
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    2. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus. [Downloadable!]
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    3. Nuno Cassola & Claudio Morana, 2007. "Comovements in Volatility in the Euro Money Market," ICER Working Papers 7-2007, ICER - International Centre for Economic Research. [Downloadable!]
    4. Nuno Cassola & Claudio Morana, 2006. "Comovements in volatility in the euro money market," Working Paper Series 703, European Central Bank. [Downloadable!]
    5. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Economics Working Papers 2005-18, School of Economics and Management, University of Aarhus. [Downloadable!]
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  16. Haldrup, N., . "A Review of the Econometric Analysis of I(2) Variables," Economics Working Papers 1997-12, School of Economics and Management, University of Aarhus. [Downloadable!]

    Cited by:

    1. Liu, Hui & Rodríguez, Gabriel, 2005. "Human activities and global warming: a cointegration analysis," MPRA Paper 9939, University Library of Munich, Germany. [Downloadable!]
    2. Philipp J.H. Schroeder, . "How Stakes in Restructuring put Restructuring at Stake," Economics Working Papers 1998-1, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Antonio Montanes & Andreu Sanso, 2001. "The Dickey-Fuller Test Family and Changes in the Seasonal Pattern," Annales d'Economie et de Statistique, ADRES, issue 61, pages 06, Janvier-M. [Downloadable!]
    4. Heino Nielsen & Christopher Bowdler, 2006. "Inflation adjustment in the open economy: an I(2) analysis of UK prices," Empirical Economics, Springer, vol. 31(3), pages 569-586, September. [Downloadable!] (restricted)
      Other versions:

  17. Niels Haldrup & Peter Lildholdt, . "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:

    Cited by:

    1. K. D. Patterson & S. M. Heravi, 2003. "The impact of fat-tailed distributions on some leading unit roots tests," Journal of Applied Statistics, Taylor and Francis Journals, vol. 30(6), pages 635-667, January. [Downloadable!] (restricted)
    2. Bo Sandemann Rasmussen, . "Government Debt and Capital Accumulation in the Blanchard-Cass-Yaari OLG Model," Economics Working Papers 2000-14, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Nikolaj Malchow-Moeller & Bo Jellesmark Thorsen, . "A Dynamic Agricultural Household Model with Uncertain Income and Irreversible and Indivisible Investments under Credit Constraints," Economics Working Papers 2000-7, School of Economics and Management, University of Aarhus. [Downloadable!]
    4. Liu, Hui & Rodríguez, Gabriel, 2005. "Human activities and global warming: a cointegration analysis," MPRA Paper 9939, University Library of Munich, Germany. [Downloadable!]
    5. Boriss Siliverstovs, . "The Bi-parameter Smooth Transition AutoRegressive model," Economics Working Papers 2000-16, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:

  18. Torben M. Andersen & Niels Haldrup & Jan Rose S›rensen, . "Product Market Integration and European Labour Markets," Economics Working Papers 1999-26, School of Economics and Management, University of Aarhus. [Downloadable!]

    Cited by:

    1. Ebbe Yndgaard, . "Labour, An Equivocal Concept for Economic Analyses," Economics Working Papers 2000-5, School of Economics and Management, University of Aarhus. [Downloadable!]
    2. Gilles Saint Paul & Samuel Bentolila, 2000. "Will EMU Increase Eurosclerosis?," Economics Working Papers 449, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
      Other versions:

  19. Haldrup, Niels, . "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, School of Economics and Management, University of Aarhus. [Downloadable!]

    Cited by:

    1. 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. [Downloadable!]
    2. Haldrup, Niels & Møllgaard, Peter & Nielsen, Claus Kastberg, 2005. "Sequential versus simultaneous market," Working Papers 02-2005, Copenhagen Business School, Department of Economics. [Downloadable!]
    3. Willem Boshoff, 2006. "Quantitative competition analysis: Stationarity tests in geographic market definition," Working Papers 17/2006, Stellenbosch University, Department of Economics. [Downloadable!]

  20. Niels Haldrup & Peter Lildholdt, . "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Effrosyni Diamantoudi, . "Equilibrium Binding Agreements under Diverse Bahavioral Assumptions," Economics Working Papers 2001-2, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    2. Bo Sandemann Rasmussen, . "Government Debt and Capital Accumulation in the Blanchard-Cass-Yaari OLG Model," Economics Working Papers 2000-14, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Nikolaj Malchow-Moeller & Bo Jellesmark Thorsen, . "A Dynamic Agricultural Household Model with Uncertain Income and Irreversible and Indivisible Investments under Credit Constraints," Economics Working Papers 2000-7, School of Economics and Management, University of Aarhus. [Downloadable!]
    4. Boriss Siliverstovs, . "The Bi-parameter Smooth Transition AutoRegressive model," Economics Working Papers 2000-16, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    5. Nikolaj Malchow-Moeller & Bo Jellesmark Thorsen, . "Investment under Uncertainty - the Case of Repeated Investment Options," Economics Working Papers 2000-15, School of Economics and Management, University of Aarhus. [Downloadable!]

  21. Niels Haldrup & Antonio Montanés & Andreu Sanso, . "Measurement Errors and Outliers in Seasonal Unit Root Testing," Economics Working Papers 2000-8, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Haldrup, Niels & Nielsen, Morten Oe., . "Estimation of Fractional Integration in the Presence of Data Noise," Economics Working Papers 2003-10, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    2. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics. [Downloadable!]
    3. Niels Haldrup & Antonio Montañés & Andreu Sansó, 2009. "Detection of additive outliers in seasonal time series," CREATES Research Papers 2009-40, School of Economics and Management, University of Aarhus. [Downloadable!]
    4. Gabriel Pons, 2006. "Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(2), pages 191-209, 03. [Downloadable!] (restricted)
    5. Niels Haldrup & Andreu Sansó, 2006. "A Note on the Vogelsang Test for Additive Outliers," Economics Working Papers 2006-01, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    6. 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. [Downloadable!]
      Other versions:
    7. Cizek, Pavel, 2006. "Efficient robust estimation of regression models," Discussion Paper 8, Tilburg University, Center for Economic Research.
    8. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  22. Henning Bunzel & Bent Jesper Christensen & Niels Haldrup & Svend Hylleberg & Viggo Hoest & Peter Jensen & Allan Wurtz, . "Udviklingslinier i Oekonometrien," Economics Working Papers 1998-15, School of Economics and Management, University of Aarhus. [Downloadable!]

    Cited by:

    1. Torben M.Andersen & Svend Hylleberg, . "Sources of Persistence in Employment Adjustment - Denmark 1974-1993," Economics Working Papers 1998-19, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:

  23. Tom Engsted & Niels Haldrup, . "Multicointegration in Stock-Flow Models," Economics Working Papers 1997-18, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:

    Cited by:

    1. 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. [Downloadable!]
      Other versions:
    2. 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. [Downloadable!]
      Other versions:
    3. Boriss Siliverstovs, 2006. "Multicointegration in US consumption data," Applied Economics, Taylor and Francis Journals, vol. 38(7), pages 819-833, April. [Downloadable!] (restricted)
      Other versions:
    4. David I. Stern, 2004. "A Multicointegration Model of Global Climate Change," Rensselaer Working Papers in Economics 0406, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
    5. David I. Stern, 2005. "A Three-Layer Atmosphere-Ocean Time Series Model of Global Climate Change," Rensselaer Working Papers in Economics 0510, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
    6. Colin Ellis & Simon Price, 2004. "UK business investment: long-run elasticities and short-run dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 27, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    7. Anindya BANERJEE & Paul MIZEN, 2003. "A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated," Economics Working Papers ECO2003/11, European University Institute. [Downloadable!]
      Other versions:
    8. Philipp J.H. Schroeder, . "How Stakes in Restructuring put Restructuring at Stake," Economics Working Papers 1998-1, School of Economics and Management, University of Aarhus. [Downloadable!]
    9. 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. [Downloadable!]
    10. Amir Kia, 2005. "Sustainability of the Fiscal Process in Developing Countries- Egypt, Iran and Turkey: A Multicointegration Approach," Carleton Economic Papers 05-08, Carleton University, Department of Economics. [Downloadable!]
    11. Frédérick Demers, 2005. "Modelling and Forecasting Housing Investment: The Case of Canada," Working Papers 05-41, Bank of Canada. [Downloadable!]
    12. Philipp J.H. Schroeder, . "The Fiscal Constraint to Restructuring of Firms in Transition Economies," Economics Working Papers 1998-2, School of Economics and Management, University of Aarhus. [Downloadable!]

  24. Tom Engsted & Jesus Gonzalo & Niels Haldrup, . "Testing for Multicointegration," Economics Working Papers 1997-1, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:

    Cited by:

    1. 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. [Downloadable!]
      Other versions:
    2. 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. [Downloadable!]
      Other versions:
    3. Alberto Bagnai, 2006. "Structural breaks and the twin deficits hypothesis," International Economics and Economic Policy, Springer, vol. 3(2), pages 137-155, November. [Downloadable!] (restricted)
    4. Alvaro Forteza, . "Overinsurance in the Welfare State," Economics Working Papers 1997-3, School of Economics and Management, University of Aarhus. [Downloadable!]
    5. Amir Kia, 2005. "Sustainability of the Fiscal Process in Developing Countries- Egypt, Iran and Turkey: A Multicointegration Approach," Carleton Economic Papers 05-08, Carleton University, Department of Economics. [Downloadable!]
    6. Peter Kugler & Sylvia Kaufmann, 2005. "Does Money Matter for Inflation in the Euro Area?," Working Papers 103, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
      Other versions:
    7. 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. [Downloadable!] (restricted)

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Niels Haldrup & Morten Ø. Nielsen, 2006. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3). [Downloadable!]
    Other versions:

    See citations under working paper version above.

  5. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  6. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  8. 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. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  9. Jansson, Michael & Haldrup, Niels, 2002. "Regression Theory For Nearly Cointegrated Time Series," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1309-1335, December. [Downloadable!]

    Cited by:

    1. Morten Oerregaard Nielsen, . "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    2. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    3. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Documents de Travail 234, Banque de France. [Downloadable!]

  10. Torben M. Andersen & Niels Haldrup & Jan Rose Sørensen, 2000. "Labour market implications of EU product market integration," Economic Policy, CEPR, CES, MSH, vol. 15(30), pages 105-134, 04. [Downloadable!] (restricted)

    Cited by:

    1. Giampaolo Arachi & Massimo D'Antoni, 2004. "Redistribution as Social Insurance and Capital Market Integration," Asia-Pacific Financial Markets, Springer, vol. 11(4), pages 531-547, August. [Downloadable!] (restricted)
      Other versions:
    2. Hielke Buddelmeyer & Gilles Mourre & Melanie Ward-Warmedinger, 2005. "Part-time work in EU countries - labour market mobility, entry and exit," Working Paper Series 460, European Central Bank. [Downloadable!]
      Other versions:
    3. Ana, MAULEON & Vincent, VANNETELBOSCH, 2005. "Market Integration and Strike Activity," Discussion Papers (ECON - Département des Sciences Economiques) 2005025, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    4. Willem Molle, 2002. "Globalization, Regionalism and Labour Markets: Should We Recast the Foundations of the EU Regime in Matters of Regional (Rural and Urban) Development?," Regional Studies, Taylor and Francis Journals, vol. 36(2), pages 161-172, April. [Downloadable!] (restricted)
    5. G. Peersman & I. Van Robays, 2009. "Oil and the Euro Area Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/582, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
      Other versions:
    6. Nikola Bokan & Andrew Hughes Hallett, 2006. " Labour and Product Market Reforms in the Economy with Distortionary Taxation," CDMA Working Paper Series 0604, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
      Other versions:
    7. Andersen, Torben M. & Skaksen, Jan Rose, 2003. "Product Market Integration, Comparative Advantages and Labour Market Performance," IZA Discussion Papers 698, Institute for the Study of Labor (IZA). [Downloadable!]
    8. Torben Andersen, 2001. "European Integration -- A Downward Bias in Employment Policies?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    9. Fertig, Michael, 2003. "The Impact of Economic Integration on Employment – An Assessment in the Context of EU Enlargement," IZA Discussion Papers 919, Institute for the Study of Labor (IZA). [Downloadable!]
    10. Torben M. Andersen, . "International Integration and the Welfare State," Economics Working Papers 2002-2, School of Economics and Management, University of Aarhus. [Downloadable!]
    11. Hughes Hallett, Andrew & Viegi, Nicola, 2001. "Labour Market Reform and Monetary Policy in EMU: Do Asymmetries Matter?," CEPR Discussion Papers 2979, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    12. Andersen, Torben M. & Skaksen , Jan Rose, 2006. "Product Market Integration, Comparative Advantages and Labour Market Performance," Working Papers 08-2004, Copenhagen Business School, Department of Economics. [Downloadable!]
    13. Torben Andersen & Jan Skaksen, 2007. "Labour Demand, Wage Mark-ups and Product Market Integration," Journal of Economics, Springer, vol. 92(2), pages 103-135, October. [Downloadable!] (restricted)
    14. Michael Fertig, 2003. "The Impact of Economic Integration on Employment – An Assessment in the Context of EU-Enlargement," RWI Discussion Papers 0007, Rheinisch-Westfälisches Institut für Wirtschaftsforschung. [Downloadable!]
    15. Athanasios TAGKALAKIS, 2002. "Labor Market Reform and Wage Bargaining in a Monetary Union," Economics Working Papers ECO2002/28, European University Institute. [Downloadable!]
    16. Jo Seldeslachts, 2002. "Interactions Between Product and Labour Market Reforms," UFAE and IAE Working Papers 519.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC). [Downloadable!]
    17. Torben Andersen, 2003. "Welfare Policies, Labour Taxation and International Integration," Asia-Pacific Financial Markets, Springer, vol. 10(1), pages 43-62, January. [Downloadable!] (restricted)
    18. Markus Knell, 2002. "The effects of EMU on euro area unemployment," Atlantic Economic Journal, International Atlantic Economic Society, vol. 30(3), pages 244-262, September. [Downloadable!] (restricted)
    19. Persyn, Damiaan, 2008. "Trade as a Wage Disciplining Device," IZA Discussion Papers 3786, Institute for the Study of Labor (IZA). [Downloadable!]
      Other versions:
    20. Ana MAULEON & Vincent J. VANNETELBOSCH, 2001. "Product Market Integration, Wage Bargaining and Strike Activity," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    21. Blandine ZIMMER, 2005. "Coordination des négociations salariales en UEM : un rôle majeur pour la BCE," Working Papers of BETA 2005-09, Bureau d'Economie Théorique et Appliquée, ULP, Strasbourg. [Downloadable!]

  11. 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 155-70, March-Apr. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  12. Engsted, Tom & Haldrup, Niels, 1999. " Multicointegration in Stock-Flow Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 237-54, May. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  13. 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. [Downloadable!] (restricted)

    Cited by:

    1. Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies. [Downloadable!]
    2. Massimo Franchi, . "The Integration Order of Vector Autoregressive Processes," Discussion Papers 06-05, University of Copenhagen. Department of Economics. [Downloadable!]
      Other versions:
    3. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]

  14. Haldrup, Neils, 1998. " An Econometric Analysis of I(2) Variables," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 595-650, December. [Downloadable!] (restricted)

    Cited by:

    1. 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. [Downloadable!]
    2. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
      Other versions:
    3. Niels Haldrup & Peter Lildholdt, . "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    4. Boriss Siliverstovs, 2006. "Multicointegration in US consumption data," Applied Economics, Taylor and Francis Journals, vol. 38(7), pages 819-833, April. [Downloadable!] (restricted)
      Other versions:
    5. Carlos José García & Jorge Enrique Restrepo, 2001. "Price Inflation and Exchange Rate Pass-Through in Chile," Working Papers Central Bank of Chile 128, Central Bank of Chile. [Downloadable!]
    6. Paruolo Paolo, 2004. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217tris, Department of Economics, University of Insubria. [Downloadable!]
      Other versions:
    7. Bill Russell, 2006. "Non-Stationary Inflation and the Markup: an Overview of the Research and some Implications for Policy," Discussion Papers 191, University of Dundee, Economic Studies. [Downloadable!]
    8. 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. [Downloadable!]
    9. Anindya BANERJEE & Paul MIZEN, 2003. "A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated," Economics Working Papers ECO2003/11, European University Institute. [Downloadable!]
      Other versions:
    10. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
    11. Antonio E. Noriega & Daniel Ventosa-Santaularia, . "Spurious Regression and Trending Variables," School of Economics Working Papers EM200701, Universidad de Guanajuato. [Downloadable!]
      Other versions:
    12. Anindya Banerjee & Bill Russell, 2000. "The Relationship Between the Markup and Inflation in the G7 Plus One Economies," Econometric Society World Congress 2000 Contributed Papers 0242, Econometric Society. [Downloadable!]
    13. O. Holtemöller, . "Money and Prices: An I(2) Analysis for the Euro Area," Sonderforschungsbereich 373 2002-12, Humboldt Universitaet Berlin.
    14. Boriss Siliverstovs & Tom Engsted & Niels Haldrup, 2003. "Long-Run Forecasting in Multicointegrated Systems," Discussion Papers of DIW Berlin 381, DIW Berlin, German Institute for Economic Research. [Downloadable!]
      Other versions:
    15. 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. [Downloadable!]
    16. Amir Kia, 2005. "Sustainability of the Fiscal Process in Developing Countries- Egypt, Iran and Turkey: A Multicointegration Approach," Carleton Economic Papers 05-08, Carleton University, Department of Economics. [Downloadable!]
    17. Fragiskos ARCHONTAKIS, 2001. "Testing the Order of Integration in a VAR Model for I(2) Variables," Economics Working Papers ECO2001/12, European University Institute. [Downloadable!]
    18. Lavan Mahadeva and Paul Robinson, 2004. "Unit Root Testing in a Central Bank," Handbooks, Centre for Central Banking Studies, Bank of England, number 22. [Downloadable!]
    19. 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. [Downloadable!]
    20. Niels Haldrup & Peter Lildholdt, . "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:

  15. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  16. 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 449-63, November.

    Cited by:

    1. Giorgio Valente & Lucio Sarno, 2005. "Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 345-376. [Downloadable!]
      Other versions:
    2. Haldrup, Niels, . "Empirical analysis of price data in the delineation of the relevant geographical market in competition analysis," Economics Working Papers 2003-9, School of Economics and Management, University of Aarhus. [Downloadable!]
    3. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2008. "Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    4. Claudio Morana, 2006. "The price stability oriented monetary policy of the ECB: an assessment," Applied Economics, Taylor and Francis Journals, vol. 38(17), pages 2007-2020, September. [Downloadable!] (restricted)
    5. Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Open Economies Review, Springer, vol. 17(4), pages 525-540, December. [Downloadable!] (restricted)
    6. Clemens Kool, 2006. "Financial Stability in European Banking: The Role of Common Factors," Working Papers 06-13, Utrecht School of Economics. [Downloadable!]
    7. Nuno Cassola & Claudio Morana, 2002. "Monetary policy and the stock market in the Euro area," Working Paper Series 119, European Central Bank. [Downloadable!]

  17. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  18. 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. [Downloadable!] (restricted)

    Cited by:

    1. Anindya BANERJEE & Paul MIZEN, 2003. "A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated," Economics Working Papers ECO2003/11, European University Institute. [Downloadable!]
      Other versions:
    2. 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. [Downloadable!] (restricted)

  19. 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. [Downloadable!] (restricted)

    Cited by:

    1. Paulo M. M. Rodrigues & Andrew Tremayne, 2004. "F versus t tests for unit roots: a comment," Economics Bulletin, Economics Bulletin, vol. 3(12), pages 1-7. [Downloadable!]
    2. Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School. [Downloadable!]

  20. Engsted, Tom & Haldrup, Niels, 1994. "The Linear Quadratic Adjustment Cost Model and the Demand for Labour," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages S145-59, Suppl. De. [Downloadable!] (restricted)

    Cited by:

    1. Ingvild Svendsen, 1998. "Rational Expectations in Price Setting. Tests Based on Norwegian Export Prices," Discussion Papers 226, Research Department of Statistics Norway. [Downloadable!]
    2. Matteo Manera, 2005. "Modeling Factor Demands with SEM and VAR: An Empirical Comparison," Working Papers 2005.47, Fondazione Eni Enrico Mattei. [Downloadable!]
      Other versions:
    3. Pål Boug, Ådne Cappelen and Anders R. Swensen, 2000. "Expectations in Export Price Formation Tests using Cointegrated VAR Models," Discussion Papers 283, Research Department of Statistics Norway. [Downloadable!]
    4. Fanelli, Luca, 2006. "Present value relations, Granger non-causality and VAR stability," MPRA Paper 1642, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    5. Anindya BANERJEE & Paul MIZEN, 2003. "A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated," Economics Working Papers ECO2003/11, European University Institute. [Downloadable!]
      Other versions:
    6. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2006. "International dynamic risk sharing," Quaderni di Dipartimento 1, Department of Statistics, University of Bologna. [Downloadable!]
      Other versions:
    7. Pål Boug, 1999. "The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing," Discussion Papers 256, Research Department of Statistics Norway. [Downloadable!]

  21. Haldrup, Niels, 1994. "Semiparametric Tests for Double Unit Roots," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 109-22, January.

    Cited by:

    1. Niels Haldrup & Peter Lildholdt, . "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    2. 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. [Downloadable!] (restricted)
    3. O. Holtemöller, . "Money and Prices: An I(2) Analysis for the Euro Area," Sonderforschungsbereich 373 2002-12, Humboldt Universitaet Berlin.
    4. Antonio Montanes & Andreu Sanso, 2001. "The Dickey-Fuller Test Family and Changes in the Seasonal Pattern," Annales d'Economie et de Statistique, ADRES, issue 61, pages 06, Janvier-M. [Downloadable!]
    5. Niels Haldrup & Peter Lildholdt, . "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:

  22. Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-78, October.
    Other versions:

    See citations under working paper version above.

  23. 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. [Downloadable!] (restricted)

    Cited by:

    1. Niels Haldrup & Peter Lildholdt, . "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers 2000-2, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    2. 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. [Downloadable!]
      Other versions:
    3. Clive Granger & Namwon Hyung & Yongil Jeon, 1998. "Spurious Regressions with Stationary Series," University of California at San Diego, Economics Working Paper Series 1998-25, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    4. Carlos José García & Jorge Enrique Restrepo, 2001. "Price Inflation and Exchange Rate Pass-Through in Chile," Working Papers Central Bank of Chile 128, Central Bank of Chile. [Downloadable!]
    5. Shahidur Rahman, 2005. "An Alternative Estimation to Spurious Regression Model," Economic Growth centre Working Paper Series 0507, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre. [Downloadable!]
    6. O. Holtemöller, . "Money and Prices: An I(2) Analysis for the Euro Area," Sonderforschungsbereich 373 2002-12, Humboldt Universitaet Berlin.
    7. Frédérick Demers, 2005. "Modelling and Forecasting Housing Investment: The Case of Canada," Working Papers 05-41, Bank of Canada. [Downloadable!]
    8. 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. [Downloadable!]
    9. Peter Kugler & Sylvia Kaufmann, 2005. "Does Money Matter for Inflation in the Euro Area?," Working Papers 103, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
      Other versions:
    10. Niels Haldrup & Peter Lildholdt, . "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:

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This page was last updated on 2009-12-16.

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