Estimation and Asymptotic Inference
in the First Order AR-ARCH Model
with T. Lange and S.T.Jensen, 2006, Preprint no.4, Department of
Mathematical Sciences, University of
Copenhagen
On the Law of
Large Numbers for Geometrically Ergodic Markov Chains
with S.T.Jensen, 2006, forthcoming
in Econometric Theory
Regime
Switching Time Series Models: A survey
with T. Lange, 2006, Preprint, Department of
Mathematical Sciences, University of
Copenhagen
Likelihood
Ratio Testing for
Cointegration Ranks in I(2) Models
with H.B.Nielsen, 2006, forthcoming in Econometric Theory
Asymptotics
of the QMLE for a class of ARCH(q) Models
with
D.Kristensen, 2005, 21:946-961,
Econometric Theory
Asymptotics of the QMLE for General ARCH(q)
Models
with
D.Kristensen, 2005, Preprint no.5, Department of
Mathematical Sciences, University of
Copenhagen (revised 2006)
Vector
Equilibrium Correction Models with Non-Linear Discontinuous Adjustments
with
F.Bec, 2004, 7:628-651, Econometrics
Journal
Asymptotic
normality of the QMLE estimator of ARCH in the nonstationary case
with
S.T.Jensen, 2004, 72:641-646, Econometrica
Asymptotic
Normality
for Non-Stationary, Explosive GARCH
with
S.T.Jensen, 2004, 20:6:1203-1226, Econometric Theory
Identification
and Inference for Cointegrated and Ergodic
Gaussian Diffussions
with M.
Kessler, 2004, vol.7, 137-151, Statistical Inference for Stochastic Processes
ARCH
Innovations and their Impact on Cointegration Rank Testing
with J.G.Dennis
and E. Hansen, 2002 (revised version of preprint no.12, 1998,
Department of Theoretical Statistics, University of Copenhagen,
Working paper
no.22, Centre for Analytical Finance), submitted for publication, pdf (revised June
2002)
Autoregressive Conditional Root Model: Inference and
Geometric Ergodicity
with N.
Shephard, 2002, Working paper W7, Nuffield College, Oxford University,
Preprint no.11,
Department of Applied Mathematics and Statistics, University of
Copenhagen (revised)pdf version
Approximate
Conditional Unit Root Inference
with H. Hansen,
2002, vol. 23, no. 1, pp. 1-28, Journal of Time Series Analysis
Asymptotic Likelihood Based Inference for Cointegrated
Homogenous Gaussian Diffusions
with M.
Kessler, 2000, vol. 28, no. 3, pp. 455-470(16), Scandinavian
Journal of Statistics
Similarity
Issues in Cointegration Analysis
with B.
Nielsen, 2000, Vol.62(1), pp.5-22, Oxford Bulletin of Economics and
Statistics
Trend-Stationarity in the I(2) Cointegration Model
with H.C.
Kongsted & C. Jørgensen, 1999, vol.90, pp.265-289, Journal of Econometrics
Weak Exogeneity in I(2) VAR Systems
with P.
Paruolo, 1999, vol.93, pp.281-308, Journal of Econometrics
Asymptotic Inference on Cointegration Rank in Partial Systems
with I. Harbo,
S. Johansen and B. Nielsen, Journal of Business and Economic Statistics, 1998, 16:388-399
The
Role of Stationary Regressors in the Cointegration Test
with R.
Mosconi, 1999, 2:76-91, Econometrics Journal
Stationarity
and Asymptotics of Multivariate ARCH Time Series with an application to
robustness of Cointegration Analysis
with E. Hansen.
Preprint no.12, 1998, Department of Theoretical Statistics. Working
paper no.22, Centre for Analytical Finance. Current version with title:
"ARCH Innovations and their impact on Cointegration Rank Testing", see.
The
Power of Some Cointegration Tests
Preprint no.6,
1994, Department of Theoretical Statistics
Granger's
Representation Theorem: An Explicit Expression
with P.R.
Hansen, 1999., unpublished manuscript
Cointegrated VAR-X Models
with R.
Mosconi, Working paper, 1997, Politechnico di Milano
Last update:
August, 2006
rahbek@math.ku.dk
