Econometric Theory and Methods Unit (ETMU)

The econometric theory and methods unit studies econometric and statistical theory and methods with emphasis on applications in economics and finance. This includes, in particular, the development of new or improved methods and the underlying theory in areas such as financial econometrics, macroeconometrics, climate econometrics, and microeconometrics.

A series of seminars is organized in each term, which consists of classic research seminars, often in combination with a “pre-seminar” where an introduction to the topic is given by the speaker or a local faculty member, in order to allow non-experts to have a better background for the research seminar.

Publications

Recent contributions published in international journals by ETMU members include research in:

Bootstrap methods applied in econometrics.
Cointegration in low and high-dimensional systems.
Duration time and point process modelling.
High-dimensional analyses and problems.
GARCH and (co)volatility modelling.
(Uniformly) valid methods in non-standard testing problems.
Heavy-tailed data.

Econometrics Teaching Group

Members from Econometrics Group are faculty members involved in teaching econometrics and statistics at the economics department.

Members are:

Dalgaard, Carl-Johan Lars, Professor
Ejrnæs, Mette, Professor
Gørtz, Mette, Professor
Leth-Petersen, Søren, Professor
Munch, Jakob Roland, Professor
Nielsen, Torben Heien, Associate Professor- Promotion Programme
Pedersen, Rasmus Søndergaard, Associate Professor
Rahbek, Anders, Professor
Schjerning, Bertel, Professor
Sørensen, Jesper Riis-Vestergaard, Tenure Track Assistant Professor

Previous seminars

Archived seminars

Members

Name	Title
Ejrnæs, Mette	Professor
Frederiksen, Jonas Fiedler	PhD Fellow
Hansen, Henrik	Head of Department
Johansen, Søren	Professor Emeritus
Nielsen, Heino Bohn	Professor with special responsibilities
Pedersen, Rasmus Søndergaard	Associate Professor
Rahbek, Anders	Professor
Rasmussen, Frederik Vilandt	PhD Fellow
Sørensen, Jesper Riis-Vestergaard	Assistant Professor - Tenure Track
Voigt, Stefan	Assistant Professor - Tenure Track