2 papers
econ.EM2022
Fractional integration and cointegration
Javier Hualde, Morten Ørregaard Nielsen
In this chapter we present an overview of the main ideas and methods in the fractional integration and cointegration literature. We do not attempt to give a complete survey of this…
econ.EM2022
Cluster-Robust Inference: A Guide to Empirical Practice
James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb
Methods for cluster-robust inference are routinely used in economics and many other disciplines. However, it is only recently that theoretical foundations for the use of these meth…