MORTEN ØRREGAARD NIELSEN
Biographic Data
| ID | 5737531 |
|---|---|
| NAME | MORTEN ØRREGAARD NIELSEN |
| GIVEN NAMES | MORTEN ØRREGAARD |
| FAMILY NAME | NIELSEN |
| SIGNATURE | NIELSEN M Ø |
| AFFILIATIONS | Cornell University |
| ORCID | 0000-0002-1337-9844 |
| VERIFIED | Yes |
| TOTAL WORKS | 11 |
| TOTAL CITATIONS | 11 |
| WORKS AS AUTHOR | 11 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2004 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 1 |
Cluster-robust inference
Methods for cluster-robust inference are routinely used in economics and many other disciplines. However, it is only recently that theoretical foundations for the use of these methods in many empirically relevant situations have been developed. In this paper, we use these theoretical results to provide a guide to empirical practice. We do not attempt to present a comprehensive survey of the (very large) literature. Instead, we bridge theory and p…
Featured Cover
The cover image is based on the Research Article Fast and reliable jackknife and bootstrap methods for cluster-robust inference by James G. MacKinnon et al., https://doi.org/10.1002/jae.2969
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference
We provide computationally attractive methods to obtain jackknife‐based cluster‐robust variance matrix estimators (CRVEs) for linear regression models estimated by least squares. We also propose several new variants of the wild cluster bootstrap, which involve these CRVEs, jackknife‐based bootstrap data‐generating processes, or both. Extensive simulation experiments suggest that the new methods can provide much more reliable inferences than exist…
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for any weak autocorrelation present in the series. We extend this approach in two distinct ways. First, we show that it can be generalised to allow for testing…
Adaptive Inference in Heteroscedastic Fractional Time Series Models
We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroscedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator remains consistent and asymptotically normal in such cases, unconditional heteroscedasticity inflates its variance matrix by a scalar quantity, λ>1, thereby inducing a loss in efficiency relative to th…
Wild Bootstrap and Asymptotic Inference With Multiway Clustering
We study two cluster-robust variance estimators (CRVEs) for regression models with clustering in two dimensions and give conditions under which t-statistics based on each of them yield asymptotically valid inferences. In particular, one of the CRVEs requires stronger assumptions about the nature of the intra-cluster correlations. We then propose several wild bootstrap procedures and state conditions under which they are asymptotically valid for e…
Fast and wild
The wild bootstrap was originally developed for regression models with heteroskedasticity of unknown form. Over the past 30 years, it has been extended to models estimated by instrumental variables and maximum likelihood and to ones where the error terms are (perhaps multiway) clustered. Like bootstrap methods in general, the wild bootstrap is especially useful when conventional inference methods are unreliable because large-sample assumptions do…
Asset Market Perspectives on the Israeli–Palestinian Conflict
This paper locates turning points in the Israeli–Palestinian conflict since the late 1980s using asset market data from Israel and the Palestinian Authority (PA). We find that major escalations in violence, such as the outbreak of the Intifada in 2000, lead to significant declines in asset prices in both Israel and the PA. Conversely, major peace initiatives, such as the Oslo accords in 1993 and the Road Map plan in 2003, lead to substantial incr…
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation
I consider local Whittle analysis of a stationary fractionally cointegrated model. The local Whittle quasi maximum likelihood estimator is proposed to jointly estimate the integration orders of the regressors, the integration order of the errors, and the cointegration vector. The proposed estimator is semiparametric in the sense that it employs local assumptions on the joint spectral density matrix of the regressors and the errors near the zero f…
The Effect of Long Memory in Volatility on Stock Market Fluctuations
Recent empirical evidence demonstrates the presence of an important long-memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this property on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which…
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
A Lagrange multiplier test of the null hypothesis of cointegration in fractionally cointegrated models is proposed. The test statistic uses fully modified residuals to cancel the endogeneity and serial correlation biases, and standard asymptotic properties apply under the null and under local alternatives. With iid Gaussian errors, the asymptotic Gaussian power envelope of all (unbiased) tests is achieved by the one-sided (two-sided) test. The fi…
Asset Market Perspectives on the Israeli–Palestinian Conflict
This paper locates turning points in the Israeli–Palestinian conflict since the late 1980s using asset market data from Israel and the Palestinian Authority (PA). We find that major escalations in violence, such as the outbreak of the Intifada in 2000, lead to significant declines in asset prices in both Israel and the PA. Conversely, major peace initiatives, such as the Oslo accords in 1993 and the Road Map plan in 2003, lead to substantial incr…
Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics
A Lagrange multiplier test of the null hypothesis of cointegration in fractionally cointegrated models is proposed. The test statistic uses fully modified residuals to cancel the endogeneity and serial correlation biases, and standard asymptotic properties apply under the null and under local alternatives. With iid Gaussian errors, the asymptotic Gaussian power envelope of all (unbiased) tests is achieved by the one-sided (two-sided) test. The fi…
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation
I consider local Whittle analysis of a stationary fractionally cointegrated model. The local Whittle quasi maximum likelihood estimator is proposed to jointly estimate the integration orders of the regressors, the integration order of the errors, and the cointegration vector. The proposed estimator is semiparametric in the sense that it employs local assumptions on the joint spectral density matrix of the regressors and the errors near the zero f…
The Effect of Long Memory in Volatility on Stock Market Fluctuations
Recent empirical evidence demonstrates the presence of an important long-memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this property on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which…
Asset Market Perspectives on the Israeli–Palestinian Conflict
This paper locates turning points in the Israeli–Palestinian conflict since the late 1980s using asset market data from Israel and the Palestinian Authority (PA). We find that major escalations in violence, such as the outbreak of the Intifada in 2000, lead to significant declines in asset prices in both Israel and the PA. Conversely, major peace initiatives, such as the Oslo accords in 1993 and the Road Map plan in 2003, lead to substantial incr…
Fast and wild
The wild bootstrap was originally developed for regression models with heteroskedasticity of unknown form. Over the past 30 years, it has been extended to models estimated by instrumental variables and maximum likelihood and to ones where the error terms are (perhaps multiway) clustered. Like bootstrap methods in general, the wild bootstrap is especially useful when conventional inference methods are unreliable because large-sample assumptions do…
Wild Bootstrap and Asymptotic Inference With Multiway Clustering
We study two cluster-robust variance estimators (CRVEs) for regression models with clustering in two dimensions and give conditions under which t-statistics based on each of them yield asymptotically valid inferences. In particular, one of the CRVEs requires stronger assumptions about the nature of the intra-cluster correlations. We then propose several wild bootstrap procedures and state conditions under which they are asymptotically valid for e…
Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for any weak autocorrelation present in the series. We extend this approach in two distinct ways. First, we show that it can be generalised to allow for testing…
Adaptive Inference in Heteroscedastic Fractional Time Series Models
We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroscedasticity of unknown form. Although the standard conditional sum-of-squares (CSS) estimator remains consistent and asymptotically normal in such cases, unconditional heteroscedasticity inflates its variance matrix by a scalar quantity, λ>1, thereby inducing a loss in efficiency relative to th…
Cluster-robust inference
Methods for cluster-robust inference are routinely used in economics and many other disciplines. However, it is only recently that theoretical foundations for the use of these methods in many empirically relevant situations have been developed. In this paper, we use these theoretical results to provide a guide to empirical practice. We do not attempt to present a comprehensive survey of the (very large) literature. Instead, we bridge theory and p…
Featured Cover
The cover image is based on the Research Article Fast and reliable jackknife and bootstrap methods for cluster-robust inference by James G. MacKinnon et al., https://doi.org/10.1002/jae.2969
Fast and reliable jackknife and bootstrap methods for cluster‐robust inference
We provide computationally attractive methods to obtain jackknife‐based cluster‐robust variance matrix estimators (CRVEs) for linear regression models estimated by least squares. We also propose several new variants of the wild cluster bootstrap, which involve these CRVEs, jackknife‐based bootstrap data‐generating processes, or both. Extensive simulation experiments suggest that the new methods can provide much more reliable inferences than exist…
Econometrics (10 works) · Mathematics (9 works) · Computer Science (8 works) · Statistics (8 works) · Inference (6 works) · Economics (5 works) · Financial Risk and Volatility Modeling (5 works) · Artificial Intelligence (4 works) · Statistical Methods and Inference (4 works) · Estimator (3 works)