ANDERS
RAHBEK
UNIVERSITY OF COPENHAGEN
DEPARTMENT OF ECONOMICS
Anders Rahbek, Professor
University of Copenhagen, Department of Economics.
University of Oxford, Department
of Economics:
Hilary Term: 2011 & 2012. Senior
Research Fellow, Nuffield College.
Affiliated
with
CREATES, research fellow.
CREATES (link)
is funded by the Danish National Research Foundation.
Address:
University of Copenhagen
Department of Economics
Øster Farimagsgade 5, Building 26
DK-1353 Copenhagen K, Denmark
Phone: +45
3532 4031 Fax: +45 3532 3000
E-mail: anders.rahbek
[@] econ.ku.dk
www:
www.econ.ku.dk/rahbek
BRIEF BIOGRAPHIC
INFORMATION, ANDERS RAHBEK:
Education:
PhD in Econometrics, Institute
of Mathematical Sciences (IMF), University of Copenhagen,
1996
MSc in Mathematics and
Economics, IMF, 1992
MSc in Econometrics, London
School of Economics, 1991.
Positions:
Professor, University of
Copenhagen, 2007-
Professor,
Oxford University, Hilary Terms, 2011-2012
Economics Group Visitor, Oxford
University, 2000-2001
Associate Professor, University of
Copenhagen, 1999-2007
Assistant Professor, University of
Copenhagen, 1996-1999
Research interests in econometrics and statistics:
Time series analysis in finance and
macro: co-integration analysis; bootstrap methods; count models;
(stochastic) volatility and GARCH
modeling; discrete time vs. continuous time modeling.
ETSERN:
Research network in time series, co-ordinator: ETSERN network,
see link
Editorial:
Econometric Theory,
Associate Editor
Econometrics Journal,
Associate Editor
Scandinavian Journal of Statistics,
Associate Editor
PUBLICATIONS, ANDERS RAHBEK:
2011 An
I(2) Cointegration Model with Piecewise Linear Trends,
with T. Kurita and H. B.
Nielsen,
Econometrics
Journal,
14:2:131–155,
link
2011 Bootstrap
Determination of the Cointegration Rank in VAR Models,
with G. Cavaliere and A.M.R.
Taylor, forthcoming in Econometrica,
link
2010 Cointegration Rank Testing under Conditional Heteroskedasticity,
with A.M.R. Taylor and G. Cavaliere,
Econometric Theory, 26:1719-1760,
link
2010
Estimation and Asymptotic
Inference in the First Order AR-ARCH Model,
w. T. Lange and S.T.
Jensen, Econometric Reviews,
30:129-153,
link
2010 Determination of the Number of Common Stochastic Trends under Conditional Heteroskedasticity,
with G. Cavaliere and R. M. Taylor, Estudios De Economia Applicada,
28(3):1-34.
2010
Likelihood-Based Inference in Nonlinear Error-Correction Models, with D. Kristensen,
Journal of Econometrics, 158(1):78-94,
link
2010
Testing for Cointegration
in Vector Autoregressions with Non-Stationary Volatility,
with R. Taylor and G. Cavaliere,
Journal of Econometrics, 158(1):7-24
2009
Poisson Autoregression, w. D. Tjøstheim and K. Fokianos,
Journal of
American Statistical Association, 104(488):
1430-1439,
link.
2009 Asymptotics of the QMLE for Non-Linear ARCH Models, w. D. Kristensen,
Journal of Time Series Econometrics, Vol.1,
link
2009
Regime Switching Models: A Survey, w. T. Lange, Handbook of Financial Time Series,
Springer verlag,
editors: T. Mikosch, T. G. Andersen, R. Davies and J.-P. Kress,
link to book
2008
The ACR Model: A Dynamic Mixture Autoregression, with N. Shephard and F. Bec,
Oxford Bulletin of Economics and Statistics, 70:583-618,
link
2008
Nonlinear Adjustment towards the Purchasing Power Parity Relation: A
Multivariate Approach,
w. F. Bec and M. Ben-Salem, Economics Bulletin,
6:1-6, link
2007
Likelihood Ratio Testing
for Cointegration Ranks in I(2) Models, with H. B. Nielsen,
Econometric Theory, 23:615-637,
link
2007 A Note on the Law of Large
Numbers for Functions of Geometrically Ergodic Time Series,
with S. T. Jensen,
Econometric Theory, 23:761-766,
link
2005 Asymptotics of the QMLE for a Class of ARCH(q) Models,
with D. Kristensen,
Econometric Theory 21:946-961,
link
2004
Vector Equilibrium Correction Models with Non-Linear Discontinuous Adjustments,
with F. Bec,
Econometrics Journal,
7:628-651,
link
2004
Non-Stationary and no Moments Asymptotics for the ARCH Model with S.T. Jensen,
Econometrica, 72:641-646,
link
2004
Asymptotic Inference for Nonstationary GARCH, with S. T. Jensen,
Econometric Theory, 20:6:1203-1226,
link
2004
Identification and Inference for Cointegrated and Ergodic Gaussian Diffusions,
with M. Kessler,
Statistical Inference for Stochastic Processes,
36:153-188,
link
2002
Approximate Conditional Unit Root Inference, with Henrik Hansen,
Journal
of Time Series Analysis, 23:1-28,
link
2001 Asymptotic Continuous Time Likelihood based Cointegration Inference, with M. Kessler,
Scandinavian Journal of
Statistics, 28:455-470,
link
2000
Similarity Issues in Cointegration Analysis, with Bent Nielsen,
Oxford
Bulletin of Economics and Statistics, 62:5-22,
link
1999
Trend-Stationarity in the I(2) Cointegration Model, with H.C. Kongsted and C.
Jørgensen,
Journal of Econometrics, 90:265-289,
link
1999
Weak Exogeneity in I(2) VAR systems, with P. Paruolo,
Journal of
Econometrics, 93:281-308,
link
1998
The Role of Stationary Regressors in the Cointegration Test, with R. Mosconi,
Econometrics Journal,
2:76-91,
link
1998 Asymptotic Inference on Cointegration Rank in Partial
Systems, with I. Harbo,
S. Johansen and B. Nielsen, Journal of Business
and Economic Statistics, 16:388-99,
link
Updated: November, 2011