Prof Bent Nielsen

Co-Director of Economic Modelling and Associate of Climate Econometrics

Professor of Econometrics, Department of Economics, University of Oxford

Biography

Research Interests: Econometric and Statistical theory. In particular, he is interested in:

the theoretical properties of algorithms such as the Forward Search and Autometrics;

cohort models such as the age-period-cohort model and the chain ladder method used to forecast future liabilities in general insurance.

Recent Publications

Oxford's contributions to econometrics

Chapter 15 Mar 22

Over-dispersed age-period-cohort models

Journal of the American Statistical Association 28 Jun 18
We consider inference and forecasting for aggregate data organized in a two-way table with age and c...

Marked and Weighted Empirical Processes of Residuals with the Applications to Robust Regressions

Paper 16 Dec 17
A new class of marked and weighted empirical processes of residuals is introduced.

Asymptotic analysis of Iterated 1-step Huber-skip M-estimators with varying cut-offs

Book 28 Jan 17

apc: A package for age-period-cohort analysis (released 1 December 2016)

Paper 01 Dec 16

Tightness of M-estimators for multiple linear regression in time series

Working Paper 20 Oct 16

A simple benchmark for mesothelioma projection for Great Britain

Occupational and Environmental Medicine 19 Oct 16

Asymptotic theory of outlier detection algorithms for linear time series regression models

Scandinavian Journal of Statistics 13 May 16

apc: A package for age-period-cohort analysis (released 21 March 2016)

Paper 21 Mar 16

Analysis of the forward search using some new results for martingales and empirical processes

Bernoulli 01 Mar 16

apc: A package for age-period-cohort analysis

01 Dec 15

The geometric chain-ladder

Scandinavian Actuarial Journal 13 Jul 15

Outlier Detection Algorithms for Least Squares Time Series

07 Jul 15

Causal transmission in reduced-form models

Working Paper 01 Jul 15

A Joint Chow Test for Structural Instability

Paper 12 Mar 15

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Working Paper 29 Sept 14

Programme Teams