Permanent Faculty – University of Copenhagen

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Department of Economics > People > Permanent Faculty

Søren Johansen

Søren Johansen

Professor

Research Fields: Econometrics, mathematical statistics and probability theory, time series analysis, including  cointegration and its applications, fractional processes, outlier detection, robust statistics. 

Research groups: I am currently not a member of any research groups

Most essential academic contribution: My most influential work is related to cointegration of economic time series, which has had an impact on theory and practice in the application and analysis of macro economic time series. In collaboration with Katarina Juselius we have developed the theory and applications of these concepts and methods in the framework of the vector autoregressive model. The methods have widespread use in academia and applied macro economics.

 

Selected publications

  1. Published

    Statistical Analysis of Cointegration Vectors

    Johansen, S. 1991 Long-Run Economic Relationships-Readings in Cointegration. Granger, C. & Engle, R. (eds.). Oxford University Press, p. 131-52

    Research output: ResearchBook chapter

  2. Published

    A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model

    Johansen, S. 2002 In : Econometrica. 70, p. 1929-1961 33 p.

    Research output: Research - peer-reviewJournal article

  3. Published

    Maximum Likelihood Estimation and Inference on Cointegration -with Applications to the Demand for Money

    Johansen, S. & Juselius, K. 2005 General-to-SpecificModelling, Vol I. Campos, J., Ericsson, N. & Hendry, D. (eds.). Edward Elgar Publishing, Incorporated, p. 512-553

    Research output: ResearchBook chapter

  4. Published

    Likelihood-based inference in cointegrated vector auto-regressive models

    Johansen, S. 1995 Great Britain: Oxford University Press. 267 p.

    Research output: Research - peer-reviewBook

  5. Published

    Likelihood inference for a fractionally cointegrated vector autoregressive model

    Johansen, S. & Ørregård Nielsen, M. Nov 2012 In : Econometrica. 80, 6, p. 2667-2732 66 p.

    Research output: Research - peer-reviewJournal article

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