My current research focuses on several areas:
(1) bootstrap theory and methods;
(2) cluster-robust inference;
(3) time series econometrics (unit roots, cointegration, fractional processes, functional data).
In the past, I have also worked on financial econometrics and empirical finance (realized/implied volatility, high-frequency data, efficient markets hypothesis), as well as applications, e.g. to electricity price dynamics.
Bootstrap theory and methods.
Cluster-robust inference.
Econometric theory.
Robust econometrics.
Time series econometrics.
The Global Carbon Budget as a cointegrated system (with M. Bennedsen and E. Hillebrand).
ArXiv:2412.09226. Latest version 2025/02.
Jackknife inference with two-way clustering (with James G. MacKinnon and Matt D. Webb).
ArXiv:2406.08880. Latest version 2024/06.
Replication files and the twowayjack program for Stata can be downloaded here.
Inference on common trends in functional time series (with Won-Ki Seo and Dakyung Seong).
ArXiv:2312.00590. Latest version 2024/05.
A Matlab program and user’s guide for the fractionally cointegrated VAR model (with Michal K. Popiel).
QED working paper 1330. Latest version 2018/05.
The associated Matlab program can be downloaded here.
FCVAR: An R package for the fractionally cointegrated vector autoregressive model (with Lee Morin and Michal K. Popiel).
Working paper, Aarhus University. Latest version 2021/08.
The associated R program can be downloaded here.
MacKinnon, J.G., M.Ø. Nielsen, & M.D. Webb (2025?) Cluster-robust jackknife and bootstrap inference for logistic regression models. Forthcoming in Econometric Reviews.
Cavaliere, G., S. Goncalves, M.Ø. Nielsen, & E. Zanelli (2024) Bootstrap inference in the presence of bias. Journal of the American Statistical Association 119, 2908-2918.
A working paper version that includes the supplementary appendix can be downloaded here.
Brien, S., M. Jansson, & M.Ø. Nielsen (2024) Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order. Econometric Theory 40, 1159-1183.
Johansen, S. & M.Ø. Nielsen (2024) Weak convergence to derivatives of fractional Brownian motion. Econometric Theory 40, 859-874.
A working paper version can be downloaded here.
MacKinnon, J.G., M.Ø. Nielsen, & M.D. Webb (2023) Leverage, influence, and the jackknife in clustered regression models: reliable inference using summclust. Stata Journal 23, 942-982.
The summclust program for Stata can be downloaded here.
MacKinnon, J.G., M.Ø. Nielsen, & M.D. Webb (2023) Fast and reliable jackknife and bootstrap methods for cluster-robust inference. Journal of Applied Econometrics 38, 671-694.
Journal issue featured cover article.
Replication files for the empirical examples are available here.
MacKinnon, J.G., M.Ø. Nielsen, & M.D. Webb (2023) Testing for the appropriate level of clustering in linear regression models. Journal of Econometrics 235, 2027-2056.
Nielsen, M.Ø., W.-K. Seo, & D. Seong (2023) Inference on the dimension of the nonstationary subspace in functional time series. Econometric Theory 39, 443-480.
MacKinnon, J.G., M.Ø. Nielsen, & M.D. Webb (2023) Cluster-robust inference: A guide to empirical practice. Journal of Econometrics 232, 272-299.
Replication files for the empirical example are available here.
Hualde, J. & M.Ø. Nielsen (2022) Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. Electronic Journal of Statistics 16, 2884-2946.
A working paper version that includes the proofs of the lemmas can be downloaded here.
Iacone, F., M.Ø. Nielsen, & A.M.R. Taylor (2022) Semiparametric tests for the order of integration in the possible presence of level breaks. Journal of Business and Economic Statistics 40, 880-896.
Cavaliere, G., M.Ø. Nielsen, & A.M.R. Taylor (2022) Adaptive inference in heteroscedastic fractional time series models. Journal of Business and Economic Statistics 40, 50-65.
Nielsen, M.Ø. & A.L. Noël (2021) To infinity and beyond: Efficient computation of ARCH(\infty) models. Journal of Time Series Analysis 42, 338–354.
The associated computer codes can be downloaded here.
MacKinnon, J.G., M.Ø. Nielsen, & M.D. Webb (2021) Wild bootstrap and asymptotic inference with multiway clustering. Journal of Business and Economic Statistics 39, 505–519.
A working paper version that includes the supplementary appendix can be downloaded here.
A Stata .do file to replicate the empirical results in Table 3 is available here.
Previously circulated under a slightly different title as QED working paper 1386.
Hualde, J. & M.Ø. Nielsen (2020) Truncated sum of squares estimation of fractional time series models with deterministic trends. Econometric Theory 36, 751–772.
A working paper version that includes the supplementary appendix can be downloaded here.
Djogbenou, A.A., J.G. MacKinnon, & M.Ø. Nielsen (2019) Asymptotic theory and wild bootstrap inference with clustered errors. Journal of Econometrics 212, 393–412.
A working paper version that includes the supplementary appendix can be downloaded here.
Previously circulated under a slightly different title as QED working paper 1383.
Johansen, S. & M.Ø. Nielsen (2019) Nonstationary cointegration in the fractionally cointegrated VAR model. Journal of Time Series Analysis 40, 519–543.
Roodman, D., J.G. MacKinnon, M.Ø. Nielsen, & M.D. Webb (2019) Fast and wild: Bootstrap inference in Stata using boottest. Stata Journal 19, 4–60.
A working paper version can be downloaded here.
The latest version of boottest can be downloaded here.
Johansen, S. & M.Ø. Nielsen (2018) Testing the CVAR in the fractional CVAR model. Journal of Time Series Analysis 39, 836–849.
Johansen, S. & M.Ø. Nielsen (2018) The cointegrated vector autoregressive model with general deterministic terms. Journal of Econometrics 202, 214–229.
Dolatabadi, S., P.K. Narayan, M.Ø. Nielsen, & K. Xu (2018) Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. Journal of Futures Markets 38, 219–242.
A working paper version that includes the weekly and monthly results corresponding to Table 4 as well as the supplementary results mentioned in footnotes 11 and 12 can be downloaded here.
Nielsen, M.Ø. & S. Shibaev (2018) Forecasting daily political opinion polls using the fractionally cointegrated vector auto-regressive model. Journal of the Royal Statistical Society Series A 181, 3–33.
Computer programs and data for replication of the results can be downloaded here.
Cavaliere, G., M.Ø. Nielsen, & A.M.R. Taylor (2017) Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. Journal of Econometrics 198, 165–188.
A working paper version that includes the supplementary appendix can be downloaded here.
Johansen, S. & M.Ø. Nielsen (2016) The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models. Econometric Theory 32, 1095–1139.
Dolatabadi, S., M.Ø. Nielsen, & K. Xu (2016) A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. Journal of Empirical Finance 38B, 623–639.
Christensen, B.J., M.Ø. Nielsen, & J. Zhu (2015) The impact of financial crises on the risk-return tradeoff and the leverage effect. Economic Modelling 49, 407–418.
Cavaliere, G., M.Ø. Nielsen, & A.M.R. Taylor (2015) Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets. Journal of Econometrics 187, 557–579.
The working paper version cited in the article can be downloaded here.
Dolatabadi, S., M.Ø. Nielsen, & K. Xu (2015) A fractionally cointegrated VAR analysis of price discovery in commodity futures markets. Journal of Futures Markets 35, 339–356.
Nielsen, M.Ø. (2015) Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models. Journal of Time Series Analysis 36, 154–188.
Boswijk, H.P., M. Jansson, & M.Ø. Nielsen (2015) Improved likelihood ratio tests for cointegration rank in the VAR model. Journal of Econometrics 184, 97–110.
Jones, M.E.C., M.Ø. Nielsen, & M.K. Popiel (2014) A fractionally cointegrated VAR analysis of economic voting and political support. Canadian Journal of Economics 47, 1078–1130.
Innis Lecture at 2014 Canadian Economics Association conference in Vancouver.
Jensen, A.N. & M.Ø. Nielsen (2014) A fast fractional difference algorithm. Journal of Time Series Analysis 35, 428–436.
The associated fast fractional difference codes for Matlab, Ox, and R can be downloaded here.
MacKinnon, J.G. & M.Ø. Nielsen (2014) Numerical distribution functions of fractional unit root and cointegration tests. Journal of Applied Econometrics 29, 161–171.
The computer programs to calculate critical values and P values can be downloaded here.
Johansen, S. & M.Ø. Nielsen (2012) Likelihood inference for a fractionally cointegrated vector autoregressive model. Econometrica 80, 2667–2732.
Jansson, M. & M.Ø. Nielsen (2012) Nearly efficient likelihood ratio tests of the unit root hypothesis. Econometrica 80, 2321–2332.
Johansen, S. & M.Ø. Nielsen (2012) A necessary moment condition for the fractional functional central limit theorem. Econometric Theory 28, 671–679.
Frederiksen, P., F.S. Nielsen, & M.Ø. Nielsen (2012) Local polynomial Whittle estimation of perturbed fractional processes. Journal of Econometrics 167, 426–447.
Nielsen, M.Ø. & P. Frederiksen (2011) Fully modified narrow-band least squares estimation of weak fractional cointegration. Econometrics Journal 14, 77–120.
A zip file containing Ox programs to calculate the FMNBLS and other narrow-band estimators, and the data set to replicate the empirical IV-RV application, can be downloaded here.
A previous version of this paper was circulated as “Fully modified narrow-band least squares estimation of stationary fractional cointegration” and can be downloaded here.
Jansson, M. & M.Ø. Nielsen (2011) Nearly efficient likelihood ratio tests for seasonal unit roots. Journal of Time Series Econometrics 3, issue 1, article 5.
Busch, T., B.J. Christensen, & M.Ø. Nielsen (2011) The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets. Journal of Econometrics 160, 48–57.
The three working papers cited in the article can be downloaded here:
The implied-realized volatility relation with jumps in underlying asset prices,
Forecasting exchange rate volatility in the presence of jumps, and
The information content of Treasury bond options concerning future volatility and price jumps.
Haldrup, N., F.S. Nielsen, & M.Ø. Nielsen (2010) A vector autoregressive model for electricity prices subject to long memory and regime switching. Energy Economics 32, 1044–1058.
Johansen, S. & M.Ø. Nielsen (2010) Likelihood inference for a nonstationary fractional autoregressive model. Journal of Econometrics 158, 51–66.
Christensen, B.J., M.Ø. Nielsen, & J. Zhu (2010) Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model. Journal of Empirical Finance 17, 460–470.
Nielsen, M.Ø. (2010) Nonparametric cointegration analysis of fractional systems with unknown integration orders. Journal of Econometrics 155, 170–187.
A zip file containing the data set and an Ox program to replicate the empirical application in the paper can be downloaded here.
Andersen, T.G., T. Bollerslev, P. Frederiksen, & M.Ø. Nielsen (2010) Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns. Journal of Applied Econometrics 25, 233–261.
A working paper version which includes the separate appendix cited in the article can be downloaded here.
This article was previously circulated as “Explorations into the distributional characteristics of common stock returns”.
Nielsen, M.Ø. (2009) A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic. Econometric Theory 25, 1515–1544.
The working paper version “A powerful tuning parameter free test of the autoregressive unit root hypothesis” cited in the article can be downloaded here.
Frederiksen, P. & M.Ø. Nielsen (2008) Bias-reduced estimation of long-memory stochastic volatility. Journal of Financial Econometrics 6, 496–512.
Nielsen, M.Ø. & P.H. Frederiksen (2008) Finite sample accuracy and choice of sampling frequency in integrated volatility estimation. Journal of Empirical Finance 15, 265–286.
This article was previously circulated as “Finite sample accuracy of integrated volatility estimators”.
Zussman, A., N. Zussman, & M.Ø. Nielsen (2008) Asset market perspectives on the Israeli-Palestinian conflict. Economica 75, 84–115.
Nielsen, M.Ø. & K. Shimotsu (2007) Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach. Journal of Econometrics 141, 574–596.
A zip file containing Matlab programs to implement the ELW rank determination and the data set to replicate the empirical application in the paper can be downloaded here.
Christensen, B.J. & M.Ø. Nielsen (2007) The effect of long memory in volatility on stock market fluctuations. Review of Economics and Statistics 89, 684–700.
Nielsen, M.Ø. (2007) Local Whittle analysis of stationary fractional cointegration and the implied-realized volatility relation. Journal of Business and Economic Statistics 25, 427–446.
Haldrup, N. & M.Ø. Nielsen (2007) Estimation of fractional integration in the presence of data noise. Computational Statistics & Data Analysis 51, 3100–3114.
Haldrup, N. & M.Ø. Nielsen (2006) Directional congestion and regime switching in a long memory model for electricity prices. Studies in Nonlinear Dynamics & Econometrics 10, issue 3, article 1.
Haldrup, N. & M.Ø. Nielsen (2006) A regime switching long memory model for electricity prices. Journal of Econometrics 135, 349–376.
Christensen, B.J. & M.Ø. Nielsen (2006) Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting. Journal of Econometrics 133, 343–371.
A zip file containing Ox programs to calculate the NBLS and other narrow-band estimators can be downloaded here.
This article was previously circulated as “Semiparametric analysis of stationary fractional cointegration and the implied realized volatility relation”.
Nielsen, M.Ø. & P.H. Frederiksen (2005) Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration. Econometric Reviews 24, 405–443.
A working paper version which includes the separate appendix cited in the article can be downloaded here.
Nielsen, M.Ø. (2005) Multivariate Lagrange multiplier tests for fractional integration. Journal of Financial Econometrics 3, 372–398.
Nielsen, M.Ø. (2005) Semiparametric estimation in time-series regression with long-range dependence. Journal of Time Series Analysis 26, 279–304.
Nielsen, M.Ø. (2005) Noncontemporaneous cointegration and the importance of timing. Economics Letters 86, 113–119.
Nielsen, M.Ø. (2004) Optimal residual-based tests for fractional cointegration and exchange rate dynamics. Journal of Business and Economic Statistics 22, 331–345.
Brendstrup, B., S. Hylleberg, M.Ø. Nielsen, L. Skipper, & L. Stentoft (2004) Seasonality in economic models. Macroeconomic Dynamics 8, 362–394.
Nielsen, M.Ø. (2004) Efficient inference in multivariate fractionally integrated time series models. Econometrics Journal 7, 63–97.
Nielsen, M.Ø. (2004) Spectral analysis of fractionally cointegrated systems. Economics Letters 83, 225–231.
Nielsen, M.Ø. (2004) Local empirical spectral measure of multivariate processes with long range dependence. Stochastic Processes and their Applications 109, 145–166.
Nielsen, M.Ø. (2004) Efficient likelihood inference in nonstationary univariate models. Econometric Theory 20, 116–146.
Hualde, J. & M.Ø. Nielsen (2023) Fractional integration and cointegration. In Oxford Research Encyclopedia of Economics and Finance. Oxford University Press.
A working paper version can be downloaded here.
Nielsen, M.Ø. & J. Hualde (2019) Special issue of the Journal of Time Series Analysis in honour of the 35th anniversary of the publication of Geweke and Porter-Hudak (1983): Guest editors' introduction. Journal of Time Series Analysis 40, 386–387.
Narayan, P.K. & M.Ø. Nielsen (2015) Guest editors’ introduction: Special issue of Journal of Banking and Finance on recent developments in financial econometrics and applications. Journal of Banking and Finance 61, S99–S100.
Andersen, T.G., T. Bollerslev, P.H. Frederiksen, & M.Ø. Nielsen (2006) Comment on P. R. Hansen and A. Lunde: “Realized variance and market microstructure noise”. Journal of Business and Economic Statistics 24, 173–179.