Anders Rahbek

Anders Rahbek


Member of:


    PhD in Econometrics, Institute of Mathematical Sciences (IMF), University of Copenhagen, 1996
    Cand.Scient.Oecon (M.Phil), Mathematics and Economics, IMF, 1992
    MSc in Econometrics, London School of Economics, 1991
    MA in Mathematics, University of Pennsylvania, 1988


    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:
    Econometric and statistical analysis: bootstrap methods in economics and econometrics; count models; (stochastic) volatility and GARCH modeling; discrete time vs. continuous time modeling; co-integration.

    DFF-Grant: Bootstrap in Econometrics (2017-)

    DFF-Advanced Grant/ DFF-topforsker bevilling | Sapere Aude program (2012-2017):
    Developing and implementing new bootstrap methods for the econometric analysis of financial and macroeconomic time series data, Principal Investigator.

    Research network in time series, co-ordinator: ETSERN network, link

    Econometric Theory, Associate Editor
    Previous: Associate Editor for Econometrics Journal, Scandinavian Journal of Statistics and Journal of Time Series Analysis.

    Other activities, including presentations:
    Please see: "My research"



    • 2021 A Primer on Bootstrap Testing of Hypotheses in Time Series Models: With an Application to Double Autoregressive Models, with G. Cavaliere, Econometric Theory, 37: 1-48.
    • 2021 Bootstrapping non-stationary stochastic volatility, with H.P. Boswijk, I. Georgiev and G. Cavaliere, Journal of Econometrics, forthcoming.
    • 2020 Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models, with G. Cavaliere, H.B. Nielsen and R.S. Pedersen, Journal of Econometrics, forthcoming.
    • 2020 Bootstrapping Noncausal Autoregressions : With Applications to Explosive Bubble Modeling, with G. Cavaliere and H.B. Nielsen, Journal of Business and Economic Statistics,  38:55-67.
    • 2019 Testing in GARCH-X Type Models, w. R.S. Pedersen, Econometric Theory, 35:1012-1047.
    • 2018 The Fixed Volatility Bootstrap for a Class of ARCH(q) Models, with G. Cavaliere and R.S. Pedersen, Journal of Time Series Analysis, 39:920-941.
    • 2018 Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order, with L. de Angelis, G. Cavaliere and A.M.R Taylor, Econometric Theory 34:349-382.
    • 2017 On the Consistency of Bootstrap Testing for Parameters on the Boundary of the Parameter Space, with G. Cavaliere and H.B. Nielsen, Journal of Time Series Analysis, 38:513-534.
    • 2017 Oscilating Systems with Cointegrated Phase Processes, with S. Ditlevsen and J. Østergaard, Journal of Mathematical Biology, 75:845-883.
    • 2016 Bootstrap Testing of Hypotheses on Cointegration Relations in VAR Models, with G. Cavaliere and H.B. Nielsen,
      Econometrica 83:813-831.
    • 2015 Inference on Cointegration Parameters in Heteroskedastic Vector Autoregressive Models, with P. Boswijk, G. Cavaliere and A.M.R. Taylor, Journal of Econometrics, 192:64-85.
    • 2015 Bootstrap Determination of the Cointegration Rank in VAR Models with Unrestricted Deterministic Components,
      with G.Cavaliere and A.M.R. Taylor, Journal of Time Series Analysis (forthcoming)
    • 2014 Unit Root Vector Autoregression with Volatility induced Stationarity, with H.B. Nielsen, Journal of Empirical Finance 29:147-167
    • 2014 A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models, with Cavaliere, G, Taylor, AMR & de Angelis, L, Oxford Bulletin of Economics and Statistics
    • 2014 Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models, with Cavaliere, G, and AMR Taylor, 
      Econometric Reviews, 33:606–650.
    • 2014 Multivariate Variance Targeting in the BEKK-GARCH Model, with R.S. Pedersen, 
      Econometrics Journal, 17:24-55.
    • 2013 Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models, with D. Kristensen, 
      Econometric Theory, 29:1-51
    • 2012 Bootstrap Determination of the Cointegration Rank in VAR Models, with G. Cavaliere and A.M.R. Taylor, 
      Econometrica, 80:4:1721-1740
    • 2011 An I(2) Cointegration Model with Piecewise Linear Trends, with T. Kurita and H. B. Nielsen, 
      Econometrics Journal, 14:2:131–155
    • 2010 Cointegration Rank Testing under Conditional Heteroskedasticity,with A.M.R. Taylor and G. Cavaliere, 
      Econometric Theory, 26:1719-1760
    • 2010 Estimation and Asymptotic Inference in the First Order AR-ARCH Model, w. T. Lange and S.T. Jensen,
    • Econometric Reviews, 30:129-153
      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
      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
      2009 Asymptotics of the QMLE for Non-Linear ARCH Models, w. D. Kristensen,
    • Journal of Time Series Econometrics, Vol.1
      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
      2008 Nonlinear Adjustment towards the Purchasing Power Parity Relation: A Multivariate Approach, w. F. Bec and M. Ben-Salem, 
      Economics Bulletin, 6:1-6
    • 2007 Likelihood Ratio Testing for Cointegration Ranks in I(2) Models, with H. B. Nielsen, 
      Econometric Theory, 23:615-637
    • 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
    • 2005 Asymptotics of the QMLE for a Class of ARCH(q) Models, with D. Kristensen, 
      Econometric Theory 21:946-961
    • 2004 Vector Equilibrium Correction Models with Non-Linear Discontinuous Adjustments, with F. Bec,
      Econometrics Journal, 7:628-651
    • 2004 Non-Stationary and no Moments Asymptotics for the ARCH Model with S.T. Jensen, 
      Econometrica, 72:641-646
    • 2004 Asymptotic Inference for Nonstationary GARCH, with S. T. Jensen, 
      Econometric Theory, 20:6:1203-1226
    • 2004 Identification and Inference for Cointegrated and Ergodic Gaussian Diffusions, with M. Kessler,
      Statistical Inference for Stochastic Processes, 36:153-188
    • 2002 Approximate Conditional Unit Root Inference, with Henrik Hansen, 
      Journal of Time Series Analysis, 23:1-28
    • 2001 Asymptotic Continuous Time Likelihood based Cointegration Inference, with M. Kessler,
      Scandinavian Journal of Statistics, 28:455-470
    • 2000 Similarity Issues in Cointegration Analysis, with Bent Nielsen, 
      Oxford Bulletin of Economics and Statistics, 62:5-22
    • 1999 Trend-Stationarity in the I(2) Cointegration Model, with H.C. Kongsted and C. Jørgensen, 
      Journal of Econometrics, 90:265-289
    • 1999 Weak Exogeneity in I(2) VAR systems, with P. Paruolo, 
      Journal of Econometrics, 93:281-308
    • 1998 The Role of Stationary Regressors in the Cointegration Test, with R. Mosconi, 
      Econometrics Journal, 2:76-91
    • 1998 Asymptotic Inference on Cointegration Rank in Partial Systems, with I. Harbo, S. Johansen and B. Nielsen,
      Journal of Business and Economic Statistics, 16:388-399 


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