Research

Publications:

  1. Parameteric Estimation of Long Memory in Factor Models, forthcoming in Journal of Econometrics.

  2. Forecasting Inflation Rates with Multi-Level International Dependence, 2022, Economics Letters, 214, 110456.

  3. Estimation of a Dynamic Multi-Level Factor Model with Possible Long-Range Dependence (with C. V. Rodriguez-Caballero), 2022, International Journal of Forecasting, https://doi.org/10.1016/j.ijforecast.2021.12.004.

  4. Longevity Forecasting by Socioeconomic Groups using Compositional Data Analysis (with S. Kjaergaard, M. Bergeron-Boucher, J. Oeppen and M. Kallestrup-Lamb), 2020, Journal of the Royal Statistical Society -- Series A, 183 (3), 1-21.

  5. Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths (with S. Kjaergaard, M. Kallestrup-Lamb, J. Oeppen and R. Lindahl-Jacobsen), 2019, Journal of the Royal Statistical Society -- Series C, 68 (5), 1351-1370.

  6. Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects (with C. Velasco), 2019, Journal of Time Series Analysis, 40, 573-589.

  7. System Estimation of Panel Data Models under Long-Range Dependence, 2019, Journal of Business and Economic Statistics, 37 (1), 13-26.

  8. Estimation of Fractionally Integrated Panel Data Models with Fixed Effects and Cross-Section Dependence (with C. Velasco), 2017, Journal of Econometrics 196 (2), 248-258.

  9. Common Long-Range Dependence in a Panel of Hourly Nord Pool Electricity Prices and Loads (with N. Haldrup and C. V. RodrĂ­guez-Caballero), 2016, Energy Economics 60, 79-96.