Niels Haldrup

Aarhus University, School of Economics and Management

Professor

Universitetsparken

Aarhus, DK 8000 C

Denmark

CREATES

Professor PhD

School of Economics and Management

Aarhus University

Aarhus, DK 8000 C

Denmark

http://www.creates.au.dk/en

SCHOLARLY PAPERS

27

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2,710

SSRN CITATIONS
Rank 8,705

SSRN RANKINGS

Top 8,705

in Total Papers Citations

19

CROSSREF CITATIONS

90

Scholarly Papers (27)

1.

Empirical Analysis of Price Data in the Delineation of the Relevant Geographical Market in Competition Analysis

University of Aarhus, Economics Working Paper No. 2003-09
Number of pages: 60 Posted: 12 Aug 2003
Niels Haldrup
Aarhus University, School of Economics and Management
Downloads 333 (89,914)
Citation 4

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Market delineation, SSNIP methodology, price test, competition analysis, price data

2.

Improving Size and Power in the Unit Root Testing

Aarhus University Economics Paper No. 2005-02
Number of pages: 34 Posted: 18 Jun 2008
Niels Haldrup and Michael Jansson
Aarhus University, School of Economics and Management and University of California, Berkeley - Department of Economics
Downloads 325 (92,294)
Citation 9

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Unit roots, optimal tests, power envelope

3.

Separation in Cointegrated Systems, Long Memory Components and Common Stochastic Trends

Number of pages: 16 Posted: 14 Mar 1996
Clive W. J. Granger and Niels Haldrup
University of California, San Diego (UCSD) - Department of Economics and Aarhus University, School of Economics and Management
Downloads 242 (126,332)

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4.

Multicointegration in Stock-Flow Models

Working Paper 1997-18
Number of pages: 24 Posted: 21 Jan 1998
Tom Engsted and Niels Haldrup
University of Aarhus - CREATES and Aarhus University, School of Economics and Management
Downloads 236 (129,530)
Citation 9

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5.

Testing for Multicointegration

Working Paper No. 1997-1
Number of pages: 14 Posted: 25 Feb 1997
Tom Engsted, Jesús Gonzalo and Niels Haldrup
University of Aarhus - CREATES, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Aarhus University, School of Economics and Management
Downloads 233 (131,189)
Citation 4

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6.

A Regime Switching Long Memory Model for Electricity Prices

University of Aarhus Economics Working Paper No. 2004-02
Number of pages: 33 Posted: 18 Jun 2008
Niels Haldrup and Morten Ørregaard Nielsen
Aarhus University, School of Economics and Management and Queen's University - Department of Economics
Downloads 222 (137,552)
Citation 11

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Cointegration, electricity prices, forecasting, fractional integration and cointegration, long memory, Markow switching

7.

Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

Number of pages: 22 Posted: 23 Jun 2008
Aarhus University, School of Economics and Management, Aarhus University - Department of Economics and Queen's University - Department of Economics
Downloads 190 (159,196)
Citation 10

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Cointegration, electricity prices, fractional integration, long memory, Markov switching

Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon

CCP Working Paper No. 05-02, Aarhus University Economics Paper No. 2005-05
Number of pages: 23 Posted: 26 Jun 2006
Aarhus University, School of Economics and Management, Copenhagen Business School-Economics and Copenhagen Economics
Downloads 150 (195,879)
Citation 2

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Relevant market, econometric delineation, salmon

Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon

Journal of Competition Law and Economics, Vol. 4, No. 3, pp. 893-913, 2008
Posted: 08 Oct 2008
Aarhus University, School of Economics and Management, affiliation not provided to SSRN and Copenhagen Economics

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9.

Estimating the Lqac Model with I(2) Variables

Working Paper 1996-1
Number of pages: 21 Posted: 19 Mar 1996
Niels Haldrup and Tom Engsted
Aarhus University, School of Economics and Management and University of Aarhus - CREATES
Downloads 141 (205,552)

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10.

Estimation of Fractional Integration in the Presence of Data Noise

University of Aarhus, Economics Working Paper No. 2003-10
Number of pages: 22 Posted: 12 Aug 2003
Niels Haldrup and Morten Ørregaard Nielsen
Aarhus University, School of Economics and Management and Queen's University - Department of Economics
Downloads 102 (261,586)
Citation 4

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Fractional integration, long memory, outliers, measurement errors, structural change

On the Robustness of Unit Root Tests in the Presence of Double Unit Roots

UCSD Department of Econ. Discussion Paper No. 2000-13
Number of pages: 21 Posted: 27 Dec 2000
Niels Haldrup and Peter M. Lildholdt
Aarhus University, School of Economics and Management and Bank of England - Monetary Analysis
Downloads 74 (322,748)
Citation 7

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Unit Root Tests, Dickey-Fuller Test, Phillips-Perron Test, I(1) versus I(2)

On the Robustness of Unit Root Tests in the Presence of Double Unit Roots

Journal of Time Series Analysis, Vol. 23, pp. 155-171, 2002
Number of pages: 17 Posted: 18 Nov 2002
Niels Haldrup and Peter M. Lildholdt
Aarhus University, School of Economics and Management and Bank of England - Monetary Analysis
Downloads 14 (579,518)
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12.

Measurement Errors and Outliers in Seasonal Unit Root Testing

UCSD Economics Discussion Paper 2000-15
Number of pages: 44 Posted: 17 Jan 2001
Niels Haldrup, Antonio Montañes and Andreu Sansó
Aarhus University, School of Economics and Management, University of Zaragoza - Faculty of Business and Economics and University of the Balearic Islands
Downloads 84 (296,311)
Citation 10

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Seasonal Unit Roots, HEGY Tests, Additive Outliers, Measurement Errors, Brownian Motion

13.

Long-Run Forecasting in Multicointegrated Systems

U of Aarhus, Economics Working Paper No. 2002-15
Number of pages: 29 Posted: 04 Dec 2002
Tom Engsted, Niels Haldrup and Boriss Siliverstovs
University of Aarhus - CREATES, Aarhus University, School of Economics and Management and Aarhus University - Department of Economics
Downloads 77 (312,060)

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Common Features, Multicointegration, Forecasting, VAR models

14.

Detection of Additive Outliers in Seasonal Time Series

CREATES Research Paper No. 2009-40
Number of pages: 20 Posted: 16 Sep 2009
Niels Haldrup, Andreu Sansó and Antonio Montañés
Aarhus University, School of Economics and Management, University of the Balearic Islands and affiliation not provided to SSRN
Downloads 74 (319,334)

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Additive outliers, outlier detection, integrated processes, periodic heteroscedasticity, seasonality

15.

Local Power Functions of Tests for Double Unit Roots

UCSD Economics Discussion Paper No. 2000-12
Number of pages: 33 Posted: 01 Dec 2000
Niels Haldrup and Peter M. Lildholdt
Aarhus University, School of Economics and Management and Bank of England - Monetary Analysis
Downloads 54 (375,340)
Citation 5

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Asymptotic Local Power Function, Brownian Motion, Ornstein-Uhlenbeck Process

16.

Testing for Additive Outliers in Seasonally Integrated Time Series

University of Aarhus Department of Economics Working Paper No. 2004-14
Number of pages: 22 Posted: 08 Feb 2005
Niels Haldrup, Antonio Montañes and Andreu Sansó
Aarhus University, School of Economics and Management, University of Zaragoza - Faculty of Business and Economics and University of the Balearic Islands
Downloads 47 (398,632)
Citation 2

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additive outliers, outlier detection, integrated processes, periodic heteroscedasticity, seasonality

17.

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Aarhus University Economics Paper No. 2005-18
Number of pages: 26 Posted: 18 Jun 2008
Niels Haldrup and Morten Ørregaard Nielsen
Aarhus University, School of Economics and Management and Queen's University - Department of Economics
Downloads 45 (405,739)
Citation 5

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Cointegration, electricity prices, forecasting, fractional integration and cointegration, long memory, Markov switching

18.

A Note on the Vogelsang Test for Additive Outliers

University of Aarhus Economics Working Paper No. 2006-1
Number of pages: 10 Posted: 17 Jun 2008
Niels Haldrup and Andreu Sansó
Aarhus University, School of Economics and Management and University of the Balearic Islands
Downloads 20 (522,107)
Citation 2

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Additive outliers, outlier detection, integrated processes

19.

Spikes and Memory in (Nord Pool) Electricity Price Spot Prices

CEIS Working Paper No. 422
Number of pages: 18 Posted: 18 Dec 2017
Tommaso Proietti, Niels Haldrup and Oskar Knapik
University of Rome II - Department of Economics and Finance, Aarhus University, School of Economics and Management and University of Aarhus
Downloads 17 (539,783)
Citation 1

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Robustness; Kalman Filter; Long Memory

20.
Downloads 16 (545,640)
Citation 11

An Econometric Analysis of I(2) Variables

Journal of Economic Surveys, Vol. 12, pp. 595-650, December 1998
Number of pages: 56 Posted: 08 May 2006
Niels Haldrup
Aarhus University, School of Economics and Management
Downloads 15 (572,775)
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An Econometric Analysis of I(2) Variables

Journal of Economic Surveys, Vol. 12, Issue 5, pp. 595-650, 1998
Number of pages: 56 Posted: 13 Sep 2012
Niels Haldrup
Aarhus University, School of Economics and Management
Downloads 1 (684,722)
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21.

Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Aarhus University Economics Paper No. 2005-03
Number of pages: 32 Posted: 18 Jun 2008
Aarhus University, School of Economics and Management, Aarhus University - Department of Economics, Aarhus University - Department of Economics, Departament d'Economia Aplicada and University of the Balearic Islands
Downloads 14 (557,556)
Citation 3

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Periodic autoregression, seasonality, high frequency data, cointegration, multicointegration, common features

22.

Labour Market Implications of EU Product Market Integration

Economic Policy, Vol. 15, Issue 30, April 2000
Posted: 10 Jan 2001
Aarhus University, School of Economics and Management, University of Aarhus - Department of Economics and Aarhus University - Department of Economics

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23.

Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach

University of Aarhus, Department of Economics Working Paper No. 1999-3
Posted: 15 Mar 1999
Niels Haldrup and Michael Jansson
Aarhus University, School of Economics and Management and University of California, Berkeley - Department of Economics

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24.

Multicointegration and Present Value Relations

Memo 1995-13
Posted: 23 Aug 1998
Tom Engsted, Jesús Gonzalo and Niels Haldrup
University of Aarhus - CREATES, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Aarhus University, School of Economics and Management

Abstract:

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25.

Multiple Unit Roots in Periodic Autoregression

Working Paper 1996-2
Posted: 07 Jul 1998
Amsterdam School of Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Aarhus University, School of Economics and Management

Abstract:

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26.

Separation in Cointegrated Systems and Persistent-Transitory Decompositions

Oxford Bulletin of Economics and Statistics, 59 (4), pp. 449-463
Posted: 23 Jan 1998
Clive W. J. Granger and Niels Haldrup
University of California, San Diego (UCSD) - Department of Economics and Aarhus University, School of Economics and Management

Abstract:

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27.

A Review of the Econometric Analysis of I(2) Variables

Working Paper No. 1997-12
Posted: 11 Nov 1997
Niels Haldrup
Aarhus University, School of Economics and Management

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