WorldCat Identities

Haldrup, Niels

Overview
Works: 101 works in 161 publications in 2 languages and 374 library holdings
Roles: Editor, Author, Honoree
Publication Timeline
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Most widely held works by Niels Haldrup
Essays in nonlinear time series econometrics( Book )

12 editions published in 2014 in English and held by 179 WorldCat member libraries worldwide

This edited collection concerns nonlinear economic relations that involve time. It is divided into four broad themes that all reflect the work and methodology of Professor Timo Teräsvirta, one of the leading scholars in the field of nonlinear time series econometrics. The themes are: Testing for linearity and functional form, specification testing and estimation of nonlinear time series models in the form of smooth transition models, model selection and econometric methodology, and finally applications within the area of financial econometrics. All these research fields include contributions that represent state of the art in econometrics such as testing for neglected nonlinearity in neural network models, time-varying GARCH and smooth transition models, STAR models and common factors in volatility modeling, semi-automatic general to specific model selection for nonlinear dynamic models, high-dimensional data analysis for parametric and semi-parametric regression models with dependent data, commodity price modeling, financial analysts earnings forecasts based on asymmetric loss function, local Gaussian correlation and dependence for asymmetric return dependence, and the use of bootstrap aggregation to improve forecast accuracy. Each chapter represents original scholarly work, and reflects the intellectual impact that Timo Teräsvirta has had and will continue to have, on the profession
Multiple unit roots in periodic autoregression by H. Peter Boswijk( Book )

7 editions published between 1994 and 1996 in English and held by 14 WorldCat member libraries worldwide

Separation in cointegrated systems, long memory components and common stochastic trends by C. W. J Granger( Book )

8 editions published between 1995 and 1996 in English and held by 13 WorldCat member libraries worldwide

Testing for multicointegration by Tom Engsted( Book )

4 editions published between 1987 and 1997 in English and held by 9 WorldCat member libraries worldwide

Regnskabslære/driftsøkonomi. opgavesamling by Niels Haldrup( Book )

7 editions published between 1986 and 1987 in Danish and held by 8 WorldCat member libraries worldwide

Model selection and evaluation( Book )

3 editions published in 2003 in English and held by 8 WorldCat member libraries worldwide

Multicointegration in stock-flow models by Tom Engsted( Book )

4 editions published in 1997 in English and held by 7 WorldCat member libraries worldwide

Money demand, expectations, and the forward-looking model : a comment by Tom Engsted( Book )

4 editions published in 1993 in English and held by 6 WorldCat member libraries worldwide

Long run forecasting in multicointegrated systems by Boriss Siliverstovs( Book )

1 edition published in 2003 in English and held by 6 WorldCat member libraries worldwide

Integration, near-integration and deterministic trends by Niels Haldrup( Book )

3 editions published in 1991 in English and held by 5 WorldCat member libraries worldwide

Essays on the estimation and inference in non-stationary time series models by Niels Haldrup( Book )

2 editions published in 1996 in English and held by 4 WorldCat member libraries worldwide

Regnskabslære/driftsøkonomi by Niels Haldrup( Book )

1 edition published in 1986 in Danish and held by 4 WorldCat member libraries worldwide

Spurious regression, cointegration, and near cointegration : a unifying approach by Niels Haldrup( Book )

2 editions published in 1999 in English and held by 4 WorldCat member libraries worldwide

This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is proposed and three separate applications of the model ofnear cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample behavior ofF-statistics based on OLS estimators depends continuously on theaforementioned squared multiple correlation coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration,hereby investigating the robustness of cointegration methods. Finally, weillustrate how to obtain local power functions of cointegration tests thattake cointegration as the null hypothesis
Brugerservice( Book )

2 editions published in 1994 in Danish and held by 4 WorldCat member libraries worldwide

Concorde C5 til Windows by Niels Haldrup( Book )

2 editions published between 1996 and 1997 in Danish and held by 3 WorldCat member libraries worldwide

Long-run forecasting in multicointegrated systems by Boriss Siliverstovs( Book )

1 edition published in 2002 in English and held by 2 WorldCat member libraries worldwide

Kompendium i faget "brugerservice"( Book )

1 edition published in 1993 in Danish and held by 2 WorldCat member libraries worldwide

Opgavesamling til regnskabslære/driftsøkonomi, 1( Book )

1 edition published in 1986 in Danish and held by 2 WorldCat member libraries worldwide

Long-run forecasting in multicointegrated systems by Boriss Siliverstovs( Book )

2 editions published in 2002 in English and held by 2 WorldCat member libraries worldwide

 
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Audience Level
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Audience level: 0.76 (from 0.66 for Essays in ... to 0.98 for Regnskabsl ...)

Languages
English (56)

Danish (14)