Bent Nielsen
Ph.D., University of Copenhagen
Reader in Econometrics
College or Institution: Nuffield College
Email address: .(JavaScript must be enabled to view this email address)
Research Interests
Summary: Econometric theory.
My research focuses on the theory of econometric modelling and forecasting.
Currently I have two focus areas. First, I am investigating the theoretical properties of algorithms such as Autometrics which is being developed by my INET colleagues Jennifer Castle, Jurgen Doornik and David Hendry.
Secondly, I am interested in the statistical basis of the chain ladder method which general insurance companies use to forecast their future liabilities.
Courses Taught at the University
Note: These web-links are only available within the University
Research Group(s)
Recent Working Papers
- Identification and forecasting in the Lee-Carter model (2010)
- Testing for rational bubbles in a co-explosive vector autoregression (2010)
- Forecasting in an extended chain-ladder-type model (2010)
- Discussion of The Forward Search: Theory and Data Analysis (2010)
- Test for cointegration rank in general vector autoregressions (2009)
- Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends (2009)
- Chain-Ladder as Maximum Likelihood Revisited (2009)
- The role of income in money demand during hyper-inflation: the case of Yugoslavia (2009)
- Singular vector autoregressions with deterministic terms: Strong consistency and lag order determination (2008)
- Forecasting with the age-period-cohort model and the extended chain-ladder model (2008)
- see more working papers by this author
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Category: Faculty