Niels Haldrup

Professor, MA, PhD
Director CREATES

School of Economics and Management
University of Aarhus
Room 227, Building 1326.
Phone: +45 8942 1613. E-mail: nhaldrup@creates.au.dk
Born 1963. MA (University of Warwick, UK) 1988, PhD (University of Aarhus) 1993.
Position: Professor, 1999.
Administrative Assistant: Center manager Martha Berdiin, +45 8942 1563

Full CV
Full Publication List

Teaching Interests

Econometric Theory
Applied Econometrics
Statistics

Current or Latest Teaching

Time Series Econometrics
Applied Time Series and Financial Econometrics

Research Interests

Econometrics
Time Series Analysis
Dynamic Models
Non-stationary Time Series
Financial Econometrics

Research Projects

Convergence in international bond markets
Modelling of energy prices
Modelling of long memory and persistence in economic time series (FSE grant 275-05-0199)
Time series and financial econometrics (Danmarks Grundforskningsfond)

Selected Publications

Niels Haldrup, Svend Hylleberg, Gabriel Pons, and Andreu Sansó, 2007, Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data. Journal of Business and Economic Statistics, 25, pp. 21-32.
Niels Haldrup, and Michael Jansson, 2006, Improving Power and Size in Unit Root Testing. Palgrave Handbooks of Econometrics: Vol. 1 Econometric Theory, Chapter 7. T. C. Mills and K. Patterson (eds.) Palgrave McMillan, Basingstoke.
Niels Haldrup, and Morten Ørregaard Nielsen, 2006, A Regime Switching Long Memory Model for Electricity Prices. Journal of Econometrics, 135, 349-376.
Niels Haldrup, Antonio Montanés, and Andreu Sansó, 2005, Measurement Errors and Outliers in Seasonal Unit Root Testing. Journal of Econometrics, 127, 103-128.
Michael Jansson, and Niels Haldrup, 2002, Regression Theory for Nearly Co-integrated Time Series. Econometric Theory, 18(6), pp. 1309-1335.
Tom Engsted, and Niels Haldrup, 1999, Estimating the LQAC Model with I(2) Variables. Journal of Applied Econometrics, Vol.14(2), pp. 155-170.
Niels Haldrup and Mark Salmon, 1998, Representations of I(2) Cointegrated Systems using the Smith-McMillan Form. Journal of Econometrics 84, pp. 303-325.
H. Peter Boswijk, Philip Hans Franses, and Niels Haldrup, 1997, Multiple Unit Roots in Periodic Autoregression. Journal of Econometrics 80, pp. 167-193.
Clive W. J. Granger and Niels Haldrup, 1997, Separation in Cointegrated Systems and Persistent-Transitory Decompositions. Oxford Bulletin of Economics and Statistics 59, pp. 449-463.
Niels Haldrup, 1996, Mirror Image Distributions and the Dickey Fuller Regression with a Maintained Trend. Journal of Econometrics 72, pp. 301-313.
Niels Haldrup, 1994, The Asymptotics of Single Equation Cointegration Regression Models with I(1) and I(2) variables. Journal of Econometrics 63, pp. 153-181.
Philip Hans Franses and Niels Haldrup, 1994, The Effects of Additive Outliers on Tests for Unit Roots and Cointegration. Journal of Business and Economic Statistics 12, pp. 471-478.
Niels Haldrup, 1994, Semi-Parametric Tests for Double Unit Roots. Journal of Business and Economic Statistics 12, pp. 109-122.
Tom Engsted and Niels Haldrup, 1994, The Linear Quadratic Adjustment Cost Model and the Demand for Labour. Journal of Applied Econometrics 9, Supplement, pp. 145-S159.

Publications 2008

Niels Haldrup, and Andreu Sanso, 2008, A Note on the Vogelsang Test for Additive Outliers. Statistics and Probability Letters 78, pp. 296-306
Niels Haldrup, Peter Mølgaard, Claus Kastberg Nielsen, 2008, Sequential Versus Simultaneous Market Delineation: The Relevant Antitrust Market for Salmon. Journal of Competition Law and Economics, 4(3), doi: 10.1093/joclec/nhn020, 893-923.

Publications 2007

Niels Haldrup, Svend Hylleberg, Gabriel Pons, and Andreu Sansó, 2007, Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data. Journal of Business and Economic Statistics, 25, pp. 21-32.
Niels Haldrup, and Morten Ørregaard Nielsen, 2007, Estimation of Fractional Integration in the Presence of Data Noise. Computational Statistics and Data Analysis, 51, pp. 3100-3114.

Publications 2006

Niels Haldrup, and Michael Jansson, 2006, Improving Power and Size in Unit Root Testing. Palgrave Handbooks of Econometrics: Vol. 1 Econometric Theory, Chapter 7. T. C. Mills and K. Patterson (eds.). Palgrave MacMillan, Basingstoke.
Niels Haldrup, and Morten Ørregaard Nielsen, 2006, A Regime Switching Long Memory Model for Electricity Prices. Journal of Econometrics, 135, 349-376.
Niels Haldrup, and Morten Ørregaard Nielsen, 2006, Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices. Studies in Nonlinear Dynamics and Econometrics, 10, 1-24.

Publications 2005

Niels Haldrup, Antonio Montanés, and Andreu Sansó, 2005, Measurement Errors and Outliers in Seasonal Unit Root Testing. Journal of Econometrics 127, 103-128.
Niels Haldrup, and Peter M. Lildholdt, 2005, Local Power Functions of Tests for Double Unit Roots. Statistica Neerlandica 59(2), 159-179.

Professional Activities

Director, Center for Research in Econometric Analysis of TimE Series (CREATES). 2007-

Member of the Scientific Committee (Chair) for 2008 NBER-NSF Time Series Conference, CREATES.

Member of organizing Committee for 2009 (EC)2 meeting, Real Time Econometrics, CREATES.

Member of Council for Society for Financial Econometrics, SoFiE.

Research Director, Danish Graduate Programme in Economics, 2007-2009

Associate Editor, Scandinavian Journal of Economics, 2006-

Associate Editor, Journal of Time Series Econometrics, 2008 -

Member of peer reviewer panel, European Science Foundation (ESF), 2006-

Editorial Board, Journal of Applied Econometrics, 2004-

Member of the board for The Danish Center for Scientific Computing, 2006-2007

Member of the Danish Social Science Research Council, (Statens Samfundsvidenskabelige forskningsråd, Forskningsrådet for Samfund og Erhverv) 2001-2007

Member of School Council, School of Economics and Management, AU, 2005-

Member of the steering committee for Nordic Center of Excellence Programme in the Humanities and the Social Sciences, 2004-2007

Member of the steering committee, for the ESF SCSS programme “Quantitative Methods in the Social Sciences”, 2004-2007

Member of the Programme Committee, the European Meeting of the Econometric Society, 1996 (Istanbul), 1998 (Berlin), 1999 (Santiago di Compostela), 2002(Venice), 2007 (Budapest), 2008 (Milan)

Member of the board, DREAM - Danish Rational Economic Agents Model, 2004-2007

Member of the steering committee, Danish Graduate Programme in Economics, 2002-,

Member of Standing Committee EC², 2002-

Research Fellow, The Institute for Study of Labor (IZA), 2002-

Member of the PhD board, Department of Economics, 1998-

Member of The Econometric Society, 1992-

Member of the American Economic Society, 1992-

Member of the Royal Economic Society, 1992-

Academic Partner, Copenhagen Economics, .