Anders Rahbek

Anders Rahbek

Professor

Member of:

    ORCID: 0000-0002-2549-1913

    Publication year:
    All
    1 - 25 out of 89Page size: 25
    1. 1994
    2. Published

      The Power of Some Multivariate Cointegrations Tests

      Rahbek, Anders, 1994, H.C.Ø.-Tryk, p. 37.

      Research output: Working paper › Research

    3. 1995
    4. Published

      Test for cointegration rank in partial systems

      Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, p. 32.

      Research output: Working paper › Research

    5. 1996
    6. Published

      Trend-Stationarity in the I(2) Cointegration Model

      Jørgensen, C., Kongsted, H. C. & Rahbek, Anders, 1996, Department of Economics, University of Copenhagen, 35 p.

      Research output: Working paper › Research

    7. 1998
    8. Published

      Asymptotic Inference on Cointegration Rank in Partial Systems

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

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

    9. 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

    10. 1999
    11. Published

      Cointegration Rank Inference with Stationary Regressors in VAR Models

      Rahbek, Anders & Mosconi, R., 1999, In: Econometrics Journal. 2, p. 82-97

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

    12. Published

      Trend stationarity in the I(2) cointegration model

      Rahbek, Anders, Kongsted, H. C. & Jørgensen, C., 1999, In: Journal of Econometrics. 90, 2, p. 265-289

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

    13. Published

      Trend-Stationarity in the I(2) Cointegration Model

      Rahbek, Anders, Kongsted, H. C. & Jørgensen, H. C., 1999, In: Journal of Econometrics. 90, p. 265-289

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

    14. Published

      Weak exogeneity in I(2)VAR systems

      Rahbek, Anders & Paruolo, P., 1999, In: Journal of Econometrics. 93, p. 281-308

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

    15. 2000
    16. Published

      Similarity Issues in Cointegration Analysis

      Rahbek, Anders & Nielsen, B., 2000, In: Oxford Bulletin of Economics and Statistics. 62, p. 5-22

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

    17. 2001
    18. Published

      Asymptotic Likelihood Based Inference for Cointegrated Homogenous Gaussian Diffusions

      Kessler, M. & Rahbek, Anders, 2001, In: Scandinavian Journal of Statistics. 28, p. 455-470

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

    19. 2002
    20. 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

    21. Published

      Asymptotics of the QMLE for a class of ARCH(q) models

      Kristensen, D. & Rahbek, Anders, 2002, København, p. 1-30.

      Research output: Working paper › Research

    22. Published

      Autoregressive Conditional Root Model: Inference and Geometric Ergodicity

      Shephard, N. & Rahbek, Anders, 2002, Nuffield College, Oxford University, p. 0.

      Research output: Working paper › Research

    23. Published

      Non-stationary and no moments asymptotics for the ARCH model

      Jensen, S. T. & Rahbek, Anders, 2002, København, p. 1-6.

      Research output: Working paper › Research

    24. Published

      The Limit distribution of Cointegration Rank Tests of "Wald Type"

      Rahbek, Anders, 2002, In: Econometric Theory. 18, p. 1016-1017

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

    25. Published

      Vector Equilibrium Correction Models with Non-linear Discontinuous Adjustments

      Bec, F. & Rahbek, Anders, 2002, Københavns Universitet, p. 1-21.

      Research output: Working paper › Research

    26. 2003
    27. Published

      Asymptotic Normality for Non-Stationary, Explosive GARCH

      Jensen, S. T. & Rahbek, Anders, 2003, Københavns Universitet, p. 1-22.

      Research output: Working paper › Research

    28. Published

      Inference and Ergodicity in the Autoregressive Conditional Root Model

      Rahbek, Anders & Shephard, N., 2003, Københavns Universitet, p. 1-30.

      Research output: Working paper › Research

    29. Published

      Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

      Nielsen, Heino Bohn & Rahbek, Anders, 2003, Københavns Universitet, p. 1-22.

      Research output: Working paper › Research

    30. Published

      Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

      Nielsen, Heino Bohn & Rahbek, Anders, 2003, nr. 11 ed., Københavns Universitet, p. 1-25.

      Research output: Working paper › Research

    31. Published

      Stochastic properties of multivariate time series equations with emphasis on ARCH

      Rahbek, Anders, 2003, In: IFAC Proceedings Volumes (IFAC-PapersOnline). 36, 16, p. 227-232 6 p.

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

    32. 2004
    33. Published

      Asomptotic Inference for Nonstationary Garch

      Jensen, S. T. & Rahbek, Anders, 2004, In: Econometric Theory. 20, 6, p. 1203-1226

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

    34. Published

      Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

      Jensen, S. T. & Rahbek, Anders, 2004, In: Econometrica. 72, 2, p. 641-646

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

    35. Published

      Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions

      Kessler, M. & Rahbek, Anders, 2004, In: Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems. 7, 2, p. 137-151

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

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