Anders Rahbek

Institution: Københavns Universitet

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.econ.ku.dk/rahbek/

First Publication: 1999

Most Recent: 2021

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	S (4x)	A (2x)	B (1x)	C (½x)	Total	Percentile
Last 5 Years	0.00	1.01	0.00	0.00	1.01	35%
Last 10 Years	0.00	3.36	1.51	0.50	5.38	74%
All Time	2.69	10.09	9.42	0.50	22.70	95%

Publication Statistics

Raw Publications 20

Coauthorship-Adjusted Count 16.16

Publications (20)

Year	Article	Journal	Tier	Authors
2021	Bootstrapping non-stationary stochastic volatility	Journal of Econometrics	A	4
2020	Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling	Journal of Business & Economic Statistics	A	3
2019	TESTING GARCH-X TYPE MODELS	Econometric Theory	B	2
2018	DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER	Econometric Theory	B	4
2016	Inference on co-integration parameters in heteroskedastic vector autoregressions	Journal of Econometrics	A	4
2016	Nonstationary GARCH with t-distributed innovations	Economics Letters	C	2
2015	A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models	Oxford Bulletin of Economics and Statistics	B	4
2015	Bootstrap Testing of Hypotheses on Co‐Integration Relations in Vector Autoregressive Models	Econometrica	S	3
2013	TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS	Econometric Theory	B	2
2010	COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY	Econometric Theory	B	3
2010	Testing for co-integration in vector autoregressions with non-stationary volatility	Journal of Econometrics	A	3
2010	Likelihood-based inference for cointegration with nonlinear error-correction	Journal of Econometrics	A	2
2008	The ACR Model: A Multivariate Dynamic Mixture Autoregression*	Oxford Bulletin of Economics and Statistics	B	3
2007	ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS	Econometric Theory	B	2
2007	THE LIKELIHOOD RATIO TEST FOR COINTEGRATION RANKS IN THE I(2) MODEL	Econometric Theory	B	2
2005	ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS	Econometric Theory	B	2
2004	ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH	Econometric Theory	B	2
2000	Similarity Issues in Cointegration Analysis	Oxford Bulletin of Economics and Statistics	B	2
1999	Weak exogeneity in I(2) VAR systems	Journal of Econometrics	A	2
1999	Trend stationarity in the I(2) cointegration model	Journal of Econometrics	A	3