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Rahbek, Anders's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
516 |
Total
Citations
43 |
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1.
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Robert Taylor, A. M.
affiliation not provided to SSRN
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89
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8
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Co-integration, non-stationary volatility, trace and maximum eigenvalue tests, wild bootstrap
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2.
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Kristensen, Dennis
University of Aarhus - CREATES Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
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74
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9
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ARCH, QMLE, consistency, asymptotic normality
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3.
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Poisson Autoregression
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Fokianos, Konstantinos
University of Cyprus - Department of Mathematics and Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Tjostheim, Dag
University of Bergen - Faculty of Mathematics and Natural Sciences
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Posted:
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24 Feb 09
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Last Revised:
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24 Mar 09
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70
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3
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Fokianos, Konstantinos
University of Cyprus - Department of Mathematics and Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Tjostheim, Dag
University of Bergen - Faculty of Mathematics and Natural Sciences
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0
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asymptotic theory, count data, generalized linear models, geometric ergodicity, integer GARCH, likelihood, noncanonical link function, observation driven models, Poisson regression, irreducibility
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Fokianos, Konstantinos
University of Cyprus - Department of Mathematics and Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Tjostheim, Dag
University of Bergen - Faculty of Mathematics and Natural Sciences
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70
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3
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4.
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Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Kristensen, Dennis
University of Aarhus - CREATES
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59
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1
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error correction, geometric ergodicity, maximum likelihood, nonlinear
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5.
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Bootstrap Sequential Determination of the Co-Integration Rank in VAR Models
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Versions (2)
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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Posted:
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11 Feb 10
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Last Revised:
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12 Feb 10
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49
(202,481)
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1
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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28
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1
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co-integration, trace test, sequential rank determination, i.i.d. bootstrap, wild bootstrap
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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21
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1
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Co-integration, trace test, sequential rank determination, i.i.d.bootstrap, wild bootstrap
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6.
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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37
(226,523)
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7
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Co-integration, trace and maximum eigenvalue rank tests, conditional heteroskedasticity, i.i.d. bootstrap, wild bootstrap
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7.
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Kristensen, Dennis
University of Aarhus - CREATES Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
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35
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8.
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Pedersen, Rasmus Søndergaard
University of Copenhagen - Department of Economics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
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32
(240,878)
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9.
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Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Nielsen, Heino Bohn
University of Copenhagen - Department of Economics
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23
(265,204)
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vector autoregression, unit-root, reduced rank, volatility induced stationarity, term structure, double autoregression
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10.
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Bec, Frederique
University of Cergy-Pontoise - THEMA Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
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15
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8
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11.
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Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Hansen, Henrik
Institute of Food and Resource Economics
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13
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1
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Conditional likelihood, unit roots, profile likelihood, likelihood ratio test, small-sample corrections, Bartlett corrections
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12.
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Takamitsu, Kurita
affiliation not provided to SSRN Nielsen, Heino Bohn
University of Copenhagen - Department of Economics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
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10
(310,724)
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cointegration, I(2), piecewise linear trends, likelihood analysis, US consumption
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13.
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Cavaliere, Giuseppe
University of Bologna - Department of Statistics Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Taylor, A. M. Robert
affiliation not provided to SSRN
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7
(320,004)
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1
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Bootstrap, Co-integration, Trace statistic, Rank determination, heteroskedasticity
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14.
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Kurita, Takamitsu
affiliation not provided to SSRN Bohn Nielsen, Heino
affiliation not provided to SSRN Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
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2
(336,218)
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Cointegration, I(2), Likelihood analysis, Piecewise linear trends, Rank test, US consumption.
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15.
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Bec, Frédérique
National Institute of Statistics and Economic Studies (INSEE) Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Shephard, Neil
University of Oxford - Oxford-Man Institute
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1
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4
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16.
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Bec, Frederique
University of Cergy-Pontoise - THEMA Ben Salem, Melika
Université Paris-Est Marne la Vallée (UPEMLV) Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
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Real exchange rate, threshold vector equilibrium correction model
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17.
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Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Jensen, Soren Tolver
University of Copenhagen
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ARCH, Asymptotics, Non-stationary, ergodicity
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18.
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Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Shephard, Neil
University of Oxford - Oxford-Man Institute
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Cointegration, Equilibrium correction model, GARCH, Hidden Markov model, Likelihood, Regime switching, STAR model, Stochastic break, Stochastic unit root, Switching regression, Real Exchange Rate, PPP, Unit root hypothesis
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