Niels Haldrup
Biographic Data
| ID | 8921126 |
|---|---|
| NAME | Niels Haldrup |
| GIVEN NAMES | Niels |
| FAMILY NAME | Haldrup |
| SIGNATURE | HALDRUP N |
| AFFILIATIONS | Aarhus University |
| ORCID | 0000-0003-0207-8234 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1994 |
| LATEST PUBLICATION YEAR | 2007 |
| H-INDEX | 0 |
Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
We propose the multivariate representation of univariate and bivariate (possibly nonstationary) periodic models as a benchmark for the imposition of common periodic correlation (CPC) feature restrictions to obtain parameter parsimony. CPCs are short-run common dynamic features that co-vary across the different days of the week and possibly also across weeks and that can be common across different time series. We also show how periodic models can …
The Effects of Additive Outliers on Tests for Unit Roots and Cointegration
This article discusses the properties of the univariate Dickey–Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. We provide analytical as well as numerical evidence that additive outliers may produce spurious stationary. Hence the Dickey–Fuller test will reject a unit root too frequently and the Johansen test will indicate too many cointegrating vectors. The results ea…
Semiparametric Tests for Double Unit Roots
In this article, I argue that if an explosive root is considered a serious alternative to an I(2) process, then joint testing for the number of unit roots along the lines of Hasza and Fuller is preferable instead of prior differencing as suggested by Dickey and Pantula. A semiparametric equivalent of the Hasza-Fuller test that permits rather general assumptions about the innovation process is developed. The test is a straightforward generalizatio…
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The Effects of Additive Outliers on Tests for Unit Roots and Cointegration
This article discusses the properties of the univariate Dickey–Fuller test and the Johansen test for the cointegrating rank when there exist additive outlying observations in the time series. We provide analytical as well as numerical evidence that additive outliers may produce spurious stationary. Hence the Dickey–Fuller test will reject a unit root too frequently and the Johansen test will indicate too many cointegrating vectors. The results ea…
Semiparametric Tests for Double Unit Roots
In this article, I argue that if an explosive root is considered a serious alternative to an I(2) process, then joint testing for the number of unit roots along the lines of Hasza and Fuller is preferable instead of prior differencing as suggested by Dickey and Pantula. A semiparametric equivalent of the Hasza-Fuller test that permits rather general assumptions about the innovation process is developed. The test is a straightforward generalizatio…
Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data
We propose the multivariate representation of univariate and bivariate (possibly nonstationary) periodic models as a benchmark for the imposition of common periodic correlation (CPC) feature restrictions to obtain parameter parsimony. CPCs are short-run common dynamic features that co-vary across the different days of the week and possibly also across weeks and that can be common across different time series. We also show how periodic models can …
Econometrics (3 works) · Mathematics (3 works) · Statistics (3 works) · Financial Risk and Volatility Modeling (2 works) · Monetary Policy and Economic Impact (2 works) · Multivariate statistics (2 works) · Unit root (2 works) · Univariate (2 works) · Augmented Dickey–Fuller test (1 work) · Autocorrelation (1 work)