Bent Nielsen

University of Oxford - Department of Economics

Dr.

Manor Road Building

Manor Road

Oxford, OX1 3BJ

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS

393

CITATIONS
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61

Scholarly Papers (12)

An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-03
Number of pages: 36 Posted: 06 May 2008
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 72 (325,720)
Citation 10

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empirical processes, Huber's skip, indicator saturation, M-estimator

An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

CREATES Research Paper 2008-9
Number of pages: 37 Posted: 25 Jun 2008
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 28 (487,510)
Citation 8

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Empirical processes, Huber's skip, indicator saturation, M-estimator, outlier robustness, vector autoregressive process

2.

Outlier Detection Algorithms for Least Squares Time Series Regression

Number of pages: 40 Posted: 16 Oct 2014
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 88 (285,979)

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Huber-skip M-estimators, 1-step Huber-skip M-estimators, iteration, Forward Search, Impulse Indicator Saturation, Robustified Least Squares, weighted and marked empirical processes, iterated martingale inequality, gauge

3.
Downloads 63 (345,952)
Citation 3

On the Explosive Nature of Hyper-Inflation Data

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 2, 2008-21
Number of pages: 30 Posted: 18 Dec 2010
Bent Nielsen
University of Oxford - Department of Economics
Downloads 52 (385,552)

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Cost of holding money, co-explosiveness, co-integration, explosive processes, hyperinflation

On the Explosive Nature of Hyper-Inflation Data

Economics Discussion Paper No. 2008-9
Number of pages: 24 Posted: 18 Dec 2010
Bent Nielsen
University of Oxford - Department of Economics
Downloads 11 (596,024)

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Cost of holding money, co-explosiveness, co-integration, explosive processes, hyper-inflation

4.

Testing for Rational Bubbles in a Co-Explosive Vector Autoregression

Shorter and revised version published in: Econometrics Journal, Vol. 15, Nr. 2, 2012, s. 226-254.
Number of pages: 54 Posted: 26 Jun 2010 Last Revised: 28 Feb 2013
Tom Engsted and Bent Nielsen
University of Aarhus - CREATES and University of Oxford - Department of Economics
Downloads 55 (369,757)
Citation 1

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Rational bubbles, Explosiveness and co-explosiveness, Cointegration, Vector autoregression, Likelihood ratio tests

5.

Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-06
Number of pages: 15 Posted: 13 Feb 2010
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 26 (484,765)

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empirical processes, Huber's skip, least trimmed squares estimator, one-step estimator, outlier robustness

6.

Discussion of the Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

CREATES Research Paper No. 2010-6
Number of pages: 16 Posted: 08 Feb 2010
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 26 (484,765)

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Empirical processes, Huber's skip, least trimmed squares estimator, one-step estimator, outlier robustness

7.

Properties of Estimated Characteristic Roots

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-13
Number of pages: 15 Posted: 16 Jun 2008
Bent Nielsen and Heino Bohn Nielsen
University of Oxford - Department of Economics and University of Copenhagen - Department of Economics
Downloads 16 (541,897)
Citation 2

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autoregression

8.

Inference in Cointegrating Models: UK M1 Revisited

Journal of Economic Surveys, Vol. 12, pp. 533-572, December 1998
Number of pages: 40 Posted: 08 May 2006
. Doornik, . Hendry and Bent Nielsen
affiliation not provided to SSRN, affiliation not provided to SSRN and University of Oxford - Department of Economics
Downloads 13 (559,779)
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9.

The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 19-05
Number of pages: 30 Posted: 28 May 2019
University of Barcelona - Department of Econometrics, University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 3 (625,569)
Citation 1

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1-Step Huber-Skip; Non-Stationarity; Robust Statistics; Stationarity

10.

The Empirical Process of Autoregressive Residuals

Econometrics Journal, Vol. 12, Issue 2, pp. 367-381, July 2009
Number of pages: 15 Posted: 08 Oct 2009
Eric Engler and Bent Nielsen
Williams College - Department of Economics and University of Oxford - Department of Economics
Downloads 2 (635,457)
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11.

Power of Tests for Unit Roots in the Presence of a Linear Trend

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 5, pp. 619-644, October 2008
Number of pages: 26 Posted: 16 Sep 2008
Bent Nielsen
University of Oxford - Department of Economics
Downloads 1 (648,128)
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12.

Likelihood Analysis of a First Order Autoregressive Model With Exponential Innovations

Nuffield College, University of Oxford Working Paper No. 1999-w8
Posted: 08 Apr 1999
Bent Nielsen and Neil Shephard
University of Oxford - Department of Economics and Harvard University

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