Anders Rahbek

Anders Rahbek

Professor

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    ORCID: 0000-0002-2549-1913

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    1. Published

      Asymptotic inference on cointegrating rank in partial systems

      Harbo, I. S., Johansen, Søren, Nielsen, B. & Rahbek, Anders, 1998, In: Journal of Business and Economic Statistics. 16, p. 388-399

      Research output: Contribution to journal › Journal article › Research › peer-review

    2. Published

      Approximate Conditional Unit Root Inference

      Hansen, Henrik & Rahbek, Anders, 2002, In: Journal of Time Series Analysis. 23, 1, p. 1-28

      Research output: Contribution to journal › Journal article › Research › peer-review

    3. Published

      Bootstrap sequential determination of the number of common Stochastic trends under conditional heteroskedasticity

      Giuseppe, C., Rahbek, Anders & Taylor, A. M. R., 2010, In: Estudios de Economia Aplicada. 28, 3, p. 1-34 35 p.

      Research output: Contribution to journal › Journal article › Research › peer-review

    4. Accepted/In press

      The validity of bootstrap testing for threshold autoregression

      Giannerini, S., Goracci, G. & Rahbek, Anders, 2024, (Accepted/In press) In: Journal of Econometrics.

      Research output: Contribution to journal › Journal article › Research › peer-review

    5. Published

      The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

      Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 2017, 38 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-10). (Institute for New Economic Thinking Working Paper Series; No. 59).

      Research output: Working paper

    6. Published

      The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

      Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 15 Mar 2019, 55 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-02).

      Research output: Working paper

    7. Published

      Poisson Autoregression

      Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2008, Department of Economics, University of Copenhagen, 37 p.

      Research output: Working paper

    8. Published

      Poisson Autoregression

      Fokianos, K., Rahbek, Anders & Tjøstheim, D., 2009, In: Journal of the American Statistical Association. 104, 488, p. 1430-1439 10 p.

      Research output: Contribution to journal › Journal article › Research › peer-review

    9. Published

      Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

      Cavaliere , G., Rahbek, Anders & Taylor , A. M. R., 2012, Department of Economics, University of Copenhagen, 26 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 11, Vol. 12).

      Research output: Working paper

    10. Published

      Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

      Cavaliere , G., Rahbek, Anders & Taylor, A. M. R., 2014, In: Econometric Reviews. 33, 5–6, p. 606–650

      Research output: Contribution to journal › Journal article › Research › peer-review

    11. Published

      Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

      Cavaliere, G., Rahbek, Anders & Taylor, A. M. R., 2012, In: Econometrica. 80, 4, p. 1721-1740

      Research output: Contribution to journal › Journal article › Research › peer-review

    12. 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. 241-263

      Research output: Contribution to journal › Journal article › Research › peer-review

    13. 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. 813-831

      Research output: Contribution to journal › Journal article › Research › peer-review

    14. Published

      An Introduction to Bootstrap Theory in Time Series Econometrics

      Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 2021, Oxford Research Encyclopedia of Economics and Finance. Hamilton, J. H., Dixit, A., Edwards, S. & Judd, K. (eds.). Oxford University Press

      Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

    15. Published

      Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation

      Cavaliere, G., Mikosch, Thomas Valentin, Rahbek, Anders & Rasmussen, Frederik Vilandt, 2024, In: Journal of Econometrics. 238, 2, 14 p., 105613.

      Research output: Contribution to journal › Journal article › Research › peer-review

    16. Published

      Bootstrap Sequential Determination of the Co-integration Rank in VAR Models

      Cavaliere, G., Rahbek, Anders & Taylor, A. M. R., 2010, Department of Economics, University of Copenhagen, 19 p.

      Research output: Working paper

    17. Published

      An Introduction to Bootstrap Theory in Time Series Econometrics

      Cavaliere, G., Nielsen, Heino Bohn & Rahbek, Anders, 28 May 2020, 35 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 20-02).

      Research output: Working paper

    18. Published

      A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models

      Cavaliere, G. & Rahbek, Anders, 2019, 49 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-03).

      Research output: Working paper

    19. Published

      A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR MODELS

      Cavaliere, G., Angelis, L. D., Rahbek, Anders & Robert Taylor, A. M., 1 Feb 2015, In: Oxford Bulletin of Economics and Statistics. 77, 1, p. 106-128 23 p.

      Research output: Contribution to journal › Journal article › Research › peer-review

    20. 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. 55-67

      Research output: Contribution to journal › Journal article › Research › peer-review

    21. Published

      A Primer on Bootstrap Testing of Hypotheses in Time Series Models: With an Application to Double Autoregressive Models

      Cavaliere, G. & Rahbek, Anders, 2021, In: Econometric Theory. 37, 1, p. 1-48

      Research output: Contribution to journal › Journal article › Research › peer-review

    22. Published

      Bootstrap Inference for Hawkes and General Point Processes

      Cavaliere, G., Lu, Y., Rahbek, Anders & Østergaard, J., 2023, In: Journal of Econometrics. 235, 1, p. 133-165

      Research output: Contribution to journal › Journal article › Research › peer-review

    23. Published

      Cointegration rank testing under conditional heteroskedasticity

      Cavaliere, G., Rahbek, Anders & Taylor, R. M., 2010, In: Econometric Theory. 26, 6, p. 1719-1760 40 p.

      Research output: Contribution to journal › Journal article › Research › peer-review

    24. 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. 513–534

      Research output: Contribution to journal › Journal article › Research › peer-review

    25. 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, 5 Dec 2018, 36 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 18-10).

      Research output: Working paper

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