Morten Ørregaard Nielsen : Citation Profile

Are you Morten Ørregaard Nielsen?

Aarhus Universitet

28

H index

45

i10 index

2632

Citations

RESEARCH PRODUCTION:

57

Articles

132

Papers

RESEARCH ACTIVITY:

   23 years (2001 - 2024). See details.
   Cites by year: 114
   Journals where Morten Ørregaard Nielsen has often published
   Relations with other researchers
   Recent citing documents: 297.    Total self citations: 113 (4.12 %)

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   Permalink: http://citec.repec.org/pni42
   Updated: 2024-11-04    RAS profile: 2024-06-19    
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Relations with other researchers

Works with:

MacKinnon, James (22)

Webb, Matthew (19)

Taylor, Robert (6)

Seong, Dakyung (4)

Cavaliere, Giuseppe (4)

Iacone, Fabrizio (4)

Noël, Antoine (2)

Djogbenou, Antoine (2)

Johansen, Soren (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Morten Ørregaard Nielsen.

Is cited by:

Gil-Alana, Luis (133)

Sibbertsen, Philipp (68)

Santucci de Magistris, Paolo (59)

DE TRUCHIS, Gilles (51)

Leschinski, Christian (41)

Caporale, Guglielmo Maria (41)

Christensen, Bent Jesper (38)

YAYA, OLAOLUWA (37)

Caporin, Massimiliano (30)

Rodrigues, Paulo (27)

Kruse, Robinson (25)

Cites to:

MacKinnon, James (118)

Bollerslev, Tim (98)

Andersen, Torben (75)

Johansen, Soren (74)

Diebold, Francis (70)

Phillips, Peter (61)

Webb, Matthew (59)

Robinson, Peter (48)

Baillie, Richard (35)

Velasco, Carlos (33)

Cameron, A. (32)

Main data

Where Morten Ørregaard Nielsen has published?

Journals with more than one article published# docs
Journal of Econometrics14
Econometric Theory6
Journal of Time Series Analysis4
Journal of Empirical Finance3
Journal of Business & Economic Statistics3
Journal of Business & Economic Statistics3
Journal of Financial Econometrics2
Economics Letters2
Econometrica2
Stata Journal2
Journal of Futures Markets2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University57
Papers / arXiv.org10
Discussion Papers / University of Copenhagen. Department of Economics8

Recent works citing Morten Ørregaard Nielsen (2024 and 2023)

YearTitle of citing document
2024Testing the CVAR in the fractional CVAR model. (2017). Nielsen, Morten ; Johansen, Soren. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274720.

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2023Who Gets Jobs Matters: Monetary Policy and the Labour Market in HANK and SAM. (2023). Lozej, Matija ; Herman, Uro. In: AMSE Working Papers. RePEc:aim:wpaimx:2334.

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2023Financial Literacy, Experimental Preference Measures and Field Behavior – A Randomized Educational Intervention. (2023). Schneider, Sebastian ; Froitzheim, Manuel ; Untertrifaller, Anna ; Weyland, Michael ; Sutter, Matthias. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:229.

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2023Permutation inference with a finite number of heterogeneous clusters. (2019). Hagemann, Andreas. In: Papers. RePEc:arx:papers:1907.01049.

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2023Functional Principal Component Analysis of Cointegrated Functional Time Series. (2020). Seo, Won-Ki. In: Papers. RePEc:arx:papers:2011.12781.

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2024Multiway empirical likelihood. (2021). Otsu, Taisuke ; Matsushita, Yukitoshi ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2108.04852.

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2024Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters. (2021). Wang, Wenjie ; Zhang, Yichong. In: Papers. RePEc:arx:papers:2108.13707.

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2023Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2023Standard errors for two-way clustering with serially correlated time effects. (2022). Sasaki, Yuya ; Hansen, Bruce E ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2201.11304.

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2024Schooling and Labor Market Consequences of School Construction in Indonesia: Comment. (2022). Roodman, David. In: Papers. RePEc:arx:papers:2207.09036.

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2023A Bootstrap Specification Test for Semiparametric Models with Generated Regressors. (2022). Lapenta, Elia. In: Papers. RePEc:arx:papers:2212.11112.

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2023Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

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2024General Conditions for Valid Inference in Multi-Way Clustering. (2023). Yap, Luther. In: Papers. RePEc:arx:papers:2301.03805.

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2023Inference on quantile processes with a finite number of clusters. (2023). Hagemann, Andreas. In: Papers. RePEc:arx:papers:2301.04687.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Semiparametrically Optimal Cointegration Test. (2023). Zhou, BO. In: Papers. RePEc:arx:papers:2305.08880.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Robust inference for the treatment effect variance in experiments using machine learning. (2023). Sanchez-Becerra, Alejandro. In: Papers. RePEc:arx:papers:2306.03363.

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2024Inference in IV models with clustered dependence, many instruments and weak identification. (2023). Ligtenberg, Johannes W. In: Papers. RePEc:arx:papers:2306.08559.

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2023The Yule-Frisch-Waugh-Lovell Theorem for Linear Instrumental Variables Estimation. (2023). Basu, Deepankar. In: Papers. RePEc:arx:papers:2307.12731.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2024Fixed-b Asymptotics for Panel Models with Two-Way Clustering. (2023). Vogelsang, Timothy J ; Chen, Kaicheng. In: Papers. RePEc:arx:papers:2309.08707.

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2023(Frisch-Waugh-Lovell): On the Estimation of Regression Models by Row. (2023). Clarke, Damian ; Paris, Nicol'As ; Villena-Rold, Benjam'In. In: Papers. RePEc:arx:papers:2311.15829.

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2023Influence Analysis with Panel Data. (2023). Polselli, Annalivia. In: Papers. RePEc:arx:papers:2312.05700.

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2024Julia as a universal platform for statistical software development. (2024). Roodman, David. In: Papers. RePEc:arx:papers:2404.09309.

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2024The modified conditional sum-of-squares estimator for fractionally integrated models. (2024). Massmann, Michael ; Kilincc, Mustafa R. In: Papers. RePEc:arx:papers:2404.12882.

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2023Consumers’ valuation of a biofortified crop: Evidence from a laboratory experiment. (2023). Mottaleb, Khondoker ; Ali, Syed Imran ; Rouf, Md Abdur ; Rahaman, Md Shajedur ; Dsouza, Alwin. In: Agricultural Economics. RePEc:bla:agecon:v:54:y:2023:i:5:p:697-708.

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2024COVID?19s Lockdown and Crime Victimization: The State of Emergency under the Abe Administration. (2021). Noguchi, Haruko ; Fu, Rong ; Shen, Yichen. In: Asian Economic Policy Review. RePEc:bla:asiapr:v:16:y:2021:i:2:p:327-348.

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2024Do Democracy Vouchers help democracy?. (2024). Papich, Sarah. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:42:y:2024:i:1:p:4-24.

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2023.

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2023New perspectives on the contribution of sanitary investments to mortality decline in English cities, 1845–1909. (2023). Gray, Felix ; Davenport, Romola J ; Aidt, Toke S. In: Economic History Review. RePEc:bla:ehsrev:v:76:y:2023:i:2:p:624-660.

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2024DOES EDUCATION REALLY IMPROVE HEALTH? A META?ANALYSIS. (2021). Zhang, Wangyongxin ; Cheng, Mingmei ; Xue, Xindong. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:1:p:71-105.

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2024.

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2023Family policy, intrahousehold bargaining, and child health. (2023). Borga, Liyousew Gebremedhin. In: Review of Development Economics. RePEc:bla:rdevec:v:27:y:2023:i:2:p:663-684.

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2023Environmental disasters and mental health: Evidence from oil spills in the Peruvian Amazon. (2023). Chong, Alberto ; Srebot, Carla. In: Review of Development Economics. RePEc:bla:rdevec:v:27:y:2023:i:2:p:771-796.

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2023Fixed costs, markups and concentration in Eswatini (Swaziland): A firm?level analysis of panel data. (2021). Rankin, Neil ; Mhlanga, Samuel Vika. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:3:p:391-416.

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2024Drivers of COVID-19 in U.S. counties: A wave-level analysis. (2024). Otero, Jesus ; HENRY, MIGUEL ; Garcia-Suaza, Andres ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1067.

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2023.

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2023Biased Beliefs and Stigma as Barriers to Treatment and Innovation Adoption. (2023). Lasio, Laura ; Grigolon, Laura. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2023_277v2.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023Financial Literacy, Experimental Preference Measures and Field Behavior – A Randomized Educational Intervention. (2023). Schneider, Sebastian ; Untertrifaller, Anna ; Weyland, Michael ; Sutter, Matthias ; Froitzheim, Manuel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10400.

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2024Oil Market Efficiency, Quantity of Information, and Oil Market Turbulence. (2024). Dogah, Kingsley ; Wadud, Sania ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10995.

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2024Informational Efficiency of World Oil Markets: One Great Pool, but with Varying Depth. (2024). Dogah, Kingsley ; Wadud, Sania ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11017.

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2024“My Name Is Bond. Green Bond.” Informational Efficiency of Climate Finance Markets. (2024). Wadud, Sania ; Gronwald, Marc. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11029.

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2024Social Assistance and Refugee Crime. (2024). Kurt, Stefanie ; Kurer, Selina ; Hangartner, Dominik ; Ahrens, Achim ; Slotwinski, Michaela ; Auer, Daniel ; Stutzer, Alois. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11051.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306.

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2023Hunting Militias at All Cost: Urban Military Operation and Birth Outcomes. (2023). Cortés, Darwin ; Suarez, Gabriel ; Posso, Christian ; Gomez, Catalina ; Cortes, Darwin. In: Documentos de Trabajo. RePEc:col:000092:020935.

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2023Carbon costs and industrial firm performance: Evidence from international microdata. (2023). Hille, Erik ; Trinks, Arjan. In: CPB Discussion Paper. RePEc:cpb:discus:445.

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2023Bank Funding, SME lending and Risk Taking. (2023). Elbourne, Adam ; Schmitz, Robert ; Giuliodori, Massimo ; Lammers, Sander. In: CPB Discussion Paper. RePEc:cpb:discus:447.

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2023European Insolvency Law and Firm Leverage. (2023). Soederhuizen, Beau ; van Solinge, Fien. In: CPB Discussion Paper. RePEc:cpb:discus:448.

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2024A Split-Treatment Design. (2024). Bonnier, Jean-Baptiste. In: Working Papers. RePEc:crb:wpaper:2024-11.

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2023Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS. (2023). Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-25.

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2023The impact of offshore wind energy on Northern European wholesale electricity prices. (2023). Schluter, Jan Chr ; Wacker, Benjamin ; Seebass, Johann V ; Hosius, Emil. In: Applied Energy. RePEc:eee:appene:v:341:y:2023:i:c:s030626192300274x.

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2024Price forecasting in the Ontario electricity market via TriConvGRU hybrid model: Univariate vs. multivariate frameworks. (2024). Charlin, Laurent ; Pineau, Pierre-Olivier ; Ehsani, Behdad. In: Applied Energy. RePEc:eee:appene:v:359:y:2024:i:c:s0306261924000321.

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2024Burn-in selection in simulating stationary time series. (2024). Yau, Chun Yip ; Chan, Chu Kin ; Li, Yuanbo ; Lam, Henry ; Ng, Wai Leong. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:192:y:2024:i:c:s0167947323001974.

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2023The deep roots of rebellion. (2023). Severgnini, Battista ; Narciso, Gaia. In: Journal of Development Economics. RePEc:eee:deveco:v:160:y:2023:i:c:s0304387822000980.

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2023Religious leaders and rule of law. (2023). Seror, Avner ; Mehmood, Sultan. In: Journal of Development Economics. RePEc:eee:deveco:v:160:y:2023:i:c:s030438782200116x.

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2023The cost of fear: Impact of violence risk on child health during conflict. (2023). Tapsoba, Augustin. In: Journal of Development Economics. RePEc:eee:deveco:v:160:y:2023:i:c:s0304387822001171.

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2023Social and financial incentives for overcoming a collective action problem. (2023). Guiteras, Raymond ; Mobarak, Ahmed Mushfiq ; Levinsohn, James ; Bakhtiar, Mehrab M. In: Journal of Development Economics. RePEc:eee:deveco:v:162:y:2023:i:c:s0304387823000275.

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2024On the role of automation in an epidemic. (2024). Xu, Shaofeng ; Liu, Fengliang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000186.

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2023Gender of children and risky health behaviors: Evidence from China. (2023). Li, Wenchao. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s026499932200390x.

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2023Post-secondary funding and the educational attainment of indigenous students. (2023). , Maggie. In: Economics of Education Review. RePEc:eee:ecoedu:v:97:y:2023:i:c:s027277572300122x.

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2023Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463.

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2024Inflation dynamics and persistence: The importance of the uncertainty channel. (2024). Canepa, Alessandra. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000603.

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2023Are SRI funds financing carbon emissions? An input-output life cycle assessment of investment funds. (2023). Benetto, Enrico ; Rubin, Mirco ; Hitaj, Claudia ; Gibon, Thomas ; Popescu, Ioana-Stefania. In: Ecological Economics. RePEc:eee:ecolec:v:212:y:2023:i:c:s0921800923001817.

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2024Intergenerational altruism, pessimism bias on tenure insecurity, and sustainable land use: Evidence from household grassland management in China. (2024). Xia, Fang ; Hou, Lingling ; Yang, Fanzheng. In: Ecological Economics. RePEc:eee:ecolec:v:215:y:2024:i:c:s0921800923002665.

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2023Natural disasters and preferences for the environment: Evidence from the impressionable years. (2023). Corbi, Raphael ; Falco, Chiara. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004207.

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2023Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775.

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2023Impact of New York state nurse practitioners modernization act on quality of care. (2023). Petrova, Kameliia ; Choudhury, Agnitra Roy. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002896.

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2023Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499.

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2023What’s trending in difference-in-differences? A synthesis of the recent econometrics literature. (2023). Poe, John ; Bilinski, Alyssa ; Roth, Jonathan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2218-2244.

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2023Uniform inference in linear panel data models with two-dimensional heterogeneity. (2023). Su, Liangjun ; Lu, Xun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:694-719.

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2023Using large samples in econometrics. (2023). MacKinnon, James. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:922-926.

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2023What is a standard error? (And how should we compute it?). (2023). Wooldridge, Jeffrey M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623002336.

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2023Some impossibility results for inference with cluster dependence with large clusters. (2023). Song, Kyungchul ; Kojevnikov, Denis. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623002403.

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2024Robust testing for explosive behavior with strongly dependent errors. (2024). Yu, Jun ; Phillips, Peter ; Lui, Yiu Lim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003421.

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2024Estimation and inference by stochastic optimization. (2024). Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003548.

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2024Cross-section bootstrap for CCE regressions. (2024). Stauskas, Ovidijus ; de Vos, Ignace. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003640.

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2024Robust inference on correlation under general heterogeneity. (2024). , Peter ; Li, Yufei ; Giraitis, Liudas. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s030440762400037x.

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2024Wild bootstrap inference for instrumental variables regressions with weak and few clusters. (2024). Zhang, Yichong ; Wang, Wenjie. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000733.

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2023Fast cluster bootstrap methods for linear regression models. (2023). MacKinnon, James G. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:52-71.

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2024Bootstrapping long memory time series: Application in low frequency estimators. (2024). Arteche, Josu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:1-15.

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2024Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs. (2024). Cho, Dooyeon ; Baillie, Richard T ; Rho, Seunghwa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:88-112.

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2023Does inflation worsen income inequality? A meta-analysis. (2023). Sintos, Andreas. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:4:s0939362523000857.

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2023Gender-based price discrimination in the annuity market: Evidence from Chile. (2023). Bello, Piera. In: European Economic Review. RePEc:eee:eecrev:v:151:y:2023:i:c:s0014292122002367.

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2023Women’s education, fertility and children’ health during a gender equalization process: Evidence from a child labor reform in Spain. (2023). Jimenez-Martin, Sergi ; Cabrales, Antonio ; Vall-Castello, Judit ; Belles-Obrero, Cristina. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000405.

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More than 100 citations found, this list is not complete...

Works by Morten Ørregaard Nielsen:

YearTitleTypeCited
2001Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data In: Economics Working Papers.
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2006Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting.(2006) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		article
2001Efficient Likelihold Inference in Nonstationary Univariate Models In: Economics Working Papers.
[Full Text][Citation analysis]		paper9
2004EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS.(2004) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2002Spectral Analysis of Fractionally Cointegrated Systems In: Economics Working Papers.
[Full Text][Citation analysis]		paper7
2004Spectral analysis of fractionally cointegrated systems.(2004) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2002Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence In: Economics Working Papers.
[Full Text][Citation analysis]		paper2
2004Local empirical spectral measure of multivariate processes with long range dependence.(2004) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2002Semiparametric Estimation in Time Series Regression with Long Range Dependence In: Economics Working Papers.
[Full Text][Citation analysis]		paper3
2002Multivariate Lagrange Multiplier Tests for Fractional Integration In: Economics Working Papers.
[Full Text][Citation analysis]		paper29
2005Multivariate Lagrange Multiplier Tests for Fractional Integration.(2005) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2002Efficient Inference in Multivariate Fractionally Integrated Time Series Models In: Economics Working Papers.
[Full Text][Citation analysis]		paper17
2004Efficient inference in multivariate fractionally integrated time series models.(2004) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2002Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics In: Economics Working Papers.
[Full Text][Citation analysis]		paper19
2004Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics.(2004) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2002Local Whittle Analysis of Stationary Fractional Cointegration In: Economics Working Papers.
[Full Text][Citation analysis]		paper3
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2005Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration In: Working Paper.
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2005Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration.(2005) In: Econometric Reviews.
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2014Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model In: Working Paper.
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2018A Matlab Program And Users Guide For The Fractionally Cointegrated Var Model In: Working Paper.
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2017Validity Of Wild Bootstrap Inference With Clustered Errors In: Working Paper.
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2017Bootstrap And Asymptotic Inference With Multiway Clustering In: Working Paper.
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2020To infinity and beyond: Efficient computation of ARCH(\infty) models In: Working Paper.
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2022Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order In: Working Paper.
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