Anders Rahbek
Professor
Department of Economics
Øster Farimagsgade 5, 1014 København K, 26 Gammeltoftsgade 17, Building: 26-3-00
Member of:
- 2011
- Published
An I(2) cointegration model with piecewise linear trends
Kurita, T., Nielsen, Heino Bohn & Rahbek, Anders, Jul 2011, In: Econometrics Journal. 14, 2, p. 131-155 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Estimation and asymptotic inference in the first order AR-ARCH model
Lange, Theis, Rahbek, Anders & Jensen, S. T., Mar 2011, In: Econometric Reviews. 30, 2, p. 129-153 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2010
- 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 › Research
- 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
- 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
- Published
Likelihood-based inference for cointegration with nonlinear error-correction
Kristensen, D. & Rahbek, Anders, 2010, In: Journal of Econometrics. 158, 1, p. 78-94 17 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
Kristensen, D. & Rahbek, Anders, 2010, Department of Economics, University of Copenhagen, 26 p.Research output: Working paper › Research
- Published
Testing for co-integration in vector autoregressions with non-stationary volatility
Cavaliere, G., Rahbek, Anders & Taylor, R. M., 2010, In: Journal of Econometrics. 158, 1, p. 7-24 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2009
- Published
An Introduction to Regime Switching Time Series Models
Lange, Theis & Rahbek, Anders, 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J. P. & Mikosch, T. (eds.). Springer, p. 871-888 18 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Kurita, T., Nielsen, Heino Bohn & Rahbek, Anders, 2009, Department of Economics, University of Copenhagen, 24 p.Research output: Working paper › Research
ID: 8883
Most downloads
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3058
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An I(2) Cointegration Model with Piecewise Linear Trends: Likelihood Analysis and Application
Research output: Working paper › Research
Published -
2472
downloads
Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Research output: Working paper › Research
Published -
2449
downloads
Poisson Autoregression
Research output: Working paper › Research
Published