Johannes Tang Kristensen

Data Science / Data Engineering / Econometrics / R / Python

Welcome to my research page. Below you will find a list of my publications and working papers as well as links to code and replication files.

My research interests include time series econometrics, dynamic factor models, macroeconomic forecasting, applied microeconometrics, large-dimensional econometrics, and computational statistics.

Journal articles

  1. Kristensen, J. T. (2017). Diffusion indexes with sparse loadings. Journal of Business and Economic Statistics, 35(3), 434–451. Journal Link. Working Paper. Replication Files.
  2. Kallestrup-Lamb, M., Kock, A. B., & Kristensen, J. T. (2016). Lassoing the determinants of retirement. Econometric Reviews, 35(8–10), 1522–1561. Journal Link. Working Paper.
  3. Callot, L., & Kristensen, J. T. (2016). Regularized estimation of structural instability in factor models: The US macroeconomy and the Great Moderation. In E. Hillebrand & S. J. Koopman (Eds.), Advances in Econometrics Volume 35. Journal Link. Working Paper. Replication Files.
  4. Kristensen, J. T. (2014). Factor-based forecasting in the presence of outliers: Are factors better selected and estimated by the median than the mean? Studies in Nonlinear Dynamics and Econometrics, 18(3), 309–338. Journal Link. Working Paper. Replication Files.
  5. Bache, S. H. M., Dahl, C. M., & Kristensen, J. T. (2013). Headlights on tobacco road to low birthweight: Evidence from a battery of quantile regression estimators. Empirical Economics, 44(3), 1593–1633. Journal Link. Working Paper. Software.

Working papers

  1. Callot, L., & Kristensen, J. T. (2015). Vector autoregressions with parsimoniously time-varying parameters and an application to monetary policy. CREATES Research Paper 2014-41, Aarhus University. Download. Replication Files.


  1. Kristensen, J. T. (2012). From Determinants of Low Birthweight to Factor-Based Macroeconomic Forecasting (PhD thesis). Department of Economics and Business, Aarhus University. Download.