Heino Bohn Nielsen
Professor with special responsibilities, Professor MSO
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-04
Member of:
- 2024
- Published
Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
Rahbek, Anders & Nielsen, Heino Bohn, 2024, In: The Econometrics Journal.Research output: Contribution to journal › Journal article › Research › peer-review
- Accepted/In press
Power of Unit Root Tests Against Nonlinear and Noncausal Alternatives with an Application to the Brent Crude Oil Price
Nielsen, Heino Bohn, Bec, F., Guay, A. & Saïdi, S., 2024, (Accepted/In press) In: Studies in Nonlinear Dynamics and Econometrics.Research output: Contribution to journal › Journal article › Research › peer-review
- 2022
- Published
Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Cavaliere, G., Nielsen, Heino Bohn, Pedersen, Rasmus Søndergaard & Rahbek, Anders, Mar 2022, In: Journal of Econometrics. 227, 1, p. 241-263Research output: Contribution to journal › Journal article › Research › peer-review
- 2021
- Published
Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing1
Bec, F., Nielsen, Heino Bohn & Saïdi, S., Dec 2021, In: Oxford Bulletin of Economics and Statistics. 82, 6, p. 1413-1428 16 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2020
- Published
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2020, In: Journal of Business and Economic Statistics. 38, 1, p. 55-67Research output: Contribution to journal › Journal article › Research › peer-review
- 2019
- Published
Estimation bias and bias correction in reduced rank autoregressions
Nielsen, Heino Bohn, 16 Mar 2019, In: Econometric Reviews. 38, 3, p. 332-349 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2017
- Published
On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, Jul 2017, In: Journal of Time Series Analysis. 38, 4, p. 513–534Research output: Contribution to journal › Journal article › Research › peer-review
- 2015
- Published
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2015, In: Econometrica. 83, 2, p. 813-831Research output: Contribution to journal › Journal article › Research › peer-review
- 2014
- Published
Unit Root Vector Autoregression with Volatility induced Stationarity
Nielsen, Heino Bohn & Rahbek, Anders, Dec 2014, In: Journal of Empirical Finance. 29, p. 144-167Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Co-Integrated Vector Autoregression With Errors-In-Variables
Nielsen, Heino Bohn, 2014, In: Econometric Reviews. 35, 2, p. 169-200Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3210
Most downloads
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3064
downloads
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Research output: Working paper › Research
Published -
1186
downloads
Properties of Estimated Characteristic Roots
Research output: Working paper › Research
Published -
1149
downloads
Cointegration Analysis in the Presence of Outliers
Research output: Working paper › Research
Published