Director CREATES, Professor



Education: MA, Warwick, 1988, PhD, Aarhus
Assistant Professor 1993-1996, Associate Professor 1996-1999
Position: Professor 1999-

Administrative Assistant: Martha Berdiin (CREATES) and Thomas Stephansen
Mail: nhaldrup@remove.this.creates.au.dk
Phone: +45 8942 1613
Office: Room 227, Building 1326
Personal Home Page
Official Site   

Niels Haldrup received his PhD in economics in 1993 and holds an MA (Econ) from University of Warwick in 1988. His primary teaching and research interests are in dynamic economic models and time series econometrics. He has published his works in leading journals such as Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, and Econometric Theory. Niels Haldrup is in the editorial board of Journal of Applied Econometrics and Scandinavian Journal of Economics. He has been a member of the Danish Social Sciences Research Council (2001-2007) and also serves as the Research Director of the Danish Graduate Programme in Economics, DGPE. Presently he is Director of CREATES, Center for Research in Econometric Analysis of Time Series, funded by the Danish National Research Foundation (Danmarks Grundforskningsfond)

Teaching Interests       

• Econometric Theory
• Time Series Econometrics
• Statistics

Research Interests 

• Econometrics
• Time Series Analysis
• Dynamic Models
• Non-stationary time series
• Financial Econometrics

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.
• 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.