Søren Johansen
Professor, emeritus
Department of Economics
Øster Farimagsgade 5
1353 København K
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Statistical analysis of global surface air temperature and sea level using cointegration methods
Schmith, T., Johansen, Søren & Thejll , P., 2011, Department of Economics, University of Copenhagen, 29 p.Research output: Working paper
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Statistical analysis of global surface temperature and sea level using cointegration methods
Schmidt, T., Johansen, Søren & Thejll, P., 2012, In: Journal of Climate. 25, 22, p. 7822-7833 12 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data
Juselius, Katarina & Johansen, Søren, 2001, Department of Economics, University of Copenhagen, 41 p.Research output: Working paper
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Extracting information from the data: a European view on empirical macro
Juselius, Katarina & Johansen, Søren, 2006, Post Walrasian Macroeconomics: Beyond the Dynamic Stochastic General Equilibrium Model. Colander, D. (ed.). Cambridge: Cambridge University Press, p. 301-333Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and the United States
Johansen, Søren, 1992, Macroeconomic Modeling of the Long Run. Hargreaves, C. (ed.). England: Elgar, p. 229-248Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Likelihood analysis of the I(2) model
Johansen, Søren, 2003, Recent Developments in Time Series, Vol I. Newbold, P. & Leyborne, S. (eds.). Edward Elgar Publishing, p. 243-272Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Moderne Økonometri
Johansen, Søren & Juselius, Katarina, 2005, In: Samfundsøkonomen. 3, p. 4-7Research output: Contribution to journal › Journal article › Research › peer-review
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A Necessary Moment Condition for the Fractional Central Limit Theorem
Johansen, Søren & Nielsen, M., 2012, In: Econometric Theory. 28, p. 671-679 9 p.Research output: Contribution to journal › Journal article › Research › peer-review
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An extension of cointegration to fractional autoregressive processes
Johansen, Søren, 2011, The Yearbook of the Finnish Statistical Society 2010. Helsinki: Finnish Statistical Society, p. 20-34 15 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Likelihood Analysis of Seasonal Cointegration
Johansen, Søren & Schaumburg, E., 1999, In: Journal of Econometrics. 88, 2, p. 301-339 39 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Identifying Restrictions of Linear Equations
Johansen, Søren, 1992, København, p. 18.Research output: Working paper
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Likelihood based inference for cointegration of non stationary time series
Johansen, Søren, 1993, København, p. 30.Research output: Working paper
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A Representation Theory for a Class of Vector Autoregressive Models for Fractional Processes
Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, p. 1-22.Research output: Working paper
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Statistical Analysis of some Non-Stationary Time series
Johansen, Søren, 1999, Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Strøm, S. (ed.). Cambridge University Press, p. 433-457 25 p. (Econometric Society Monographs; No. 31).Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Workbook on Cointegration
Johansen, Søren & Hansen, P. R., 1998, Oxford University Press. 176 p.Research output: Book/Report › Book › Research › peer-review
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An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator
Johansen, Søren & Nielsen, B., 2008, Department of Economics, University of Copenhagen, 35 p.Research output: Working paper
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Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, p. 1-23.Research output: Working paper
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Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate
Johansen, Søren, Juselius, Katarina, Frydman, R. & Goldberg, M., 2010, In: Journal of Econometrics. 158, 1, p. 117-129 13 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Testing exact rational expectations in cointegrated vector autoregressive models
Johansen, Søren & Swensen, A. R., 1999, In: Journal of Econometrics. 93, 1, p. 73-91 9 p.Research output: Contribution to journal › Journal article › Research › peer-review
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The Role of Ancillarity in Inference for Non-Stationary Variables
Johansen, Søren, 1994, København, p. 21.Research output: Working paper
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Recursive Estimation in Cointegrated VAR-Models
Johansen, Søren & Hansen, Henrik, 1993, København, p. 20.Research output: Working paper
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Analysis of the Forward Search using some new results for martingales and empirical processes
Johansen, Søren & Nielsen, B., 2016, In: Bernoulli. 22, 2, p. 1131-1183 53 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Estimating Systems of Trending Variables
Johansen, Søren, 1991, Københavns Univiversitet, p. 35.Research output: Working paper
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The analysis of nonstationary time series using regression, correlation and cointegration
Johansen, Søren, 2012, In: Contemporary Economics. 6, 2, p. 40-57 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
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A Representation of Vector Autoregressive Processes Integrated of Order 2.
Johansen, Søren, 1992, In: Econometric Theory. 8, p. 188-202Research output: Contribution to journal › Journal article › Research › peer-review
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More on testing exact rational expectations in vector autoregressive models: Restricted constant and linear term
Johansen, Søren & Swensen, A. R., 2004, In: Econometrics Journal. 7, p. 389-397Research output: Contribution to journal › Journal article › Research › peer-review
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Extracting Information from the Data: A European View on Empirical Macro
Johansen, Søren & Juselius, K., 2005, Department of Applied Mathematics and Statistics, p. 1-26.Research output: Working paper
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Maximum Likelihood Estimation and Inference on Cointegration — with Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics 52, 169–210 (1990). (With K. Juselius)
Johansen, Søren & Juselius, Katarina, 1990, In: Oxford Bulletin of Economics and Statistics. 52, p. 169-210 42 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren & Ørregård Nielsen, M., 2010, In: Journal of Econometrics. 158, 1, p. 51-66 16 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Testing the CVAR in the fractional CVAR model
Johansen, Søren & Nielsen, M. Ø., 2017, 13 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-23).Research output: Working paper
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Identification of the long-run and the short-run structure: an application to the ISLM model
Johansen, Søren & Juselius, Katarina, 1994, In: Journal of Econometrics. 63, 1, p. 7-36Research output: Contribution to journal › Journal article › Research › peer-review
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Outlier detection algorithms for least squares time series regression
Johansen, Søren & Nielsen, B., 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 39 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 23, Vol. 2014).Research output: Working paper
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Cointegration in the VAR model
Johansen, Søren, 2001, A Course in Time Series Analysis. Peña, D., Tiao, G. C. & Tsay, R. S. (eds.). Wiley, p. 408-435 28 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
Johansen, Søren, 2002, In: Journal of Econometrics. 111, 2, p. 195-221Research output: Contribution to journal › Journal article › Research › peer-review
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Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
Johansen, Søren & Nielsen, M. Ø., 29 May 2018, 27 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 18-04).Research output: Working paper
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On a Graphical Technique for Evaluating Some Rational Expectations Models
Johansen, Søren & Swensen, A. R., 2011, In: Journal of Time Series Econometrics. 3, 1, p. Article 9 27 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Exact rational expectations, cointegration, and reduced rank regression
Johansen, Søren & Swensen, A. R., 2008, In: Journal of Statistical Planning and Inference. 138, 9, p. 2738-2748 11 p.Research output: Contribution to journal › Journal article › Research › peer-review
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The Asymptotic Properties of the Cornish-Bowden Eisenthal Median Estimator.
Johansen, Søren & Dalgaard, P., 1987, In: Journal of Statistical Planning and Inference. 15, p. 279-299 21 p.Research output: Contribution to journal › Journal article › Research › peer-review
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On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations
Johansen, Søren & Swensen, A. R., 2009, Department of Economics, University of Copenhagen, 30 p.Research output: Working paper
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Cointegration in the VAR model
Johansen, Søren, Pena, D. (ed.), Tiao, G. C. (ed.) & Tsay, R. S. (ed.), 2001, A Course in Time Series Analysis. New York: WileyResearch output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Comments on E.E. Leamer: A Baysian perspective in inference from macroeconomic data
Johansen, Søren, 1991, In: Scandinavian Journal of Economics. 93, p. 249-51Research output: Contribution to journal › Journal article › Research › peer-review
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An Extension of Cointegration to Fractional Autoregressive Processes
Johansen, Søren, 2010, Department of Economics, University of Copenhagen, 15 p.Research output: Working paper
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The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model
Johansen, Søren, 2005, In: Oxford Bulletin of Economics and Statistics. 67, 1, p. 93-104Research output: Contribution to journal › Journal article › Research › peer-review
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Exact Rational Expectations, Cointegration, and Reduced Rank Regression
Johansen, Søren & Swensen, A. R., 2007, Department of Economics, University of Copenhagen, 10 p.Research output: Working paper
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Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
Johansen, Søren, 1995, In: Journal of Econometrics. 69, 1, p. 111-132Research output: Contribution to journal › Journal article › Research › peer-review
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A representation theory for a class of vector autoregressive models for fractional processes
Johansen, Søren, 2008, In: Econometric Theory. 24, 3, p. 651-676 26 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Confronting the Economic Model with the Data
Johansen, Søren, 2006, Post Walrasian Macroeconomics. Beyond the Dynamic Stochastic General Equilibrium Model. Colander, D. (ed.). Cambridge University Press, p. 287-300Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Confronting the Economic Model with the Data
Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, p. 1-13.Research output: Working paper
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Cointegration. Overview and Development
Johansen, Søren, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-22.Research output: Working paper
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Erik Sparre Andersen
Johansen, Søren, 2004, Det Kongelige Danske Videnskabernes Selskab: oversigt over Selskabets virksomhed 2002-2003. Det Kongelige Danske Videnskabernes Selskab, p. 231-239 9 p.Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
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Asymptotic analysis of the Forward Search
Johansen, Søren & Nielsen, B., 2013, Kbh.: Økonomisk institut, Københavns Universitet, 39 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 1, Vol. 13).Research output: Working paper
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'The variance of the estimated roots in a cointegrated vector autoregressive model
Johansen, Søren, 2003, In: Journal of Time Series Analysis. 24, 6, p. 663-678Research output: Contribution to journal › Journal article › Research › peer-review
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A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
Johansen, Søren & Nielsen, M. Ø., 2010, Department of Economics, University of Copenhagen, 8 p.Research output: Working paper
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Outlier detection in regression using an iterated one-step approximation to the Huber-skip estimator
Johansen, Søren & Nielsen, B., 2013, In: Econometrics. 1, 1, p. 53-70 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren & Ørregård Nielsen, M., Nov 2012, In: Econometrica. 80, 6, p. 2667-2732 66 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Some Identification Problems in the Cointegrated Vector Autoregressive Model
Johansen, Søren, 2010, In: Journal of Econometrics. 158, 2, p. 262-273 12 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
Johansen, Søren & Nielsen, B., Jun 2016, In: Scandinavian Journal of Statistics. 43, 2, p. 321-348 28 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
Johansen, Søren & Nielsen, B., 2010, Department of Economics, University of Copenhagen, 13 p.Research output: Working paper
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Rejoinder: Asymptotic theory of outlier detection algorithms for linear time series regression models
Johansen, Søren & Nielsen, B., 15 Jun 2016, In: Scandinavian Journal of Statistics. 43, 2, p. 374-381 8 p.Research output: Contribution to journal › Journal article › Research › peer-review
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The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren & Nielsen, M. Ø., 2016, 28 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 16-07).Research output: Working paper
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THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
Johansen, Søren & Nielsen, M. Ø., 11 May 2015, In: Econometric Theory. 32, p. 1095-1139 45 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Discussion: The Forward Search: Theory and Data Analysis
Johansen, Søren & Nielsen, B., 2010, In: Journal of the Korean Statistical Society. 39, 2, p. 137-145 9 p.Research output: Contribution to journal › Comment/debate › Research
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Cointegration: Overview and Development
Johansen, Søren, 2009, Handbook of Financial Time Series. Andersen, T. G., Kreiss, J-P., Davis, R. A. & Mikosch, T. (eds.). Springer, p. 671-693 23 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Cointegration; a survey
Johansen, Søren, 2004, Palgrave Handbook of Econometrics: Volume 1. Bind 1, Chapter 15 ed. Palgrave Macmillan: Palgrave Macmillan, p. 1-37Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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An analysis of the indicator saturation estimator as a robust regression estimator
Johansen, Søren & Nielsen, B., 2009, The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Shepard, N. & Castle, J. (eds.). Oxford: Oxford University Press, p. 1-36 36 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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A Likelihood Analysis of The I(2) Model
Johansen, Søren, 1994, København, p. 26.Research output: Working paper
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Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate
Johansen, Søren, Juselius, Katarina, Frydman, R. & Goldberg, M., 2007, Department of Economics, University of Copenhagen, 33 p.Research output: Working paper
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Diskussion of Tong, H.: A personal overview of non-linear time series analysis from a chaos perspective
Johansen, Søren, 1995, In: Scandinavian Journal of Statistics. 22, p. 428-430Research output: Contribution to journal › Journal article › Research › peer-review
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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Johansen, Søren & Nielsen, M. Ø., 2010, Department of Economics, University of Copenhagen, 41 p.Research output: Working paper
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A Statistical Analysis of Cointegration for I(2) Variables
Johansen, Søren, 1991, Københavns Universitet, p. 26.Research output: Working paper
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The Power Function of the Likelihood Ratio Test for Cointegration
Johansen, Søren, 1991, Econometric Decision Models: New Methods of Modeling and Applications: Proceedings of the 2nd International Conference on Econometric Decision Models. Gruber, J. (ed.). Springer, p. 324-335 23 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
Johansen, Søren, 2006, In: Journal of Econometrics. 132, p. 81-115Research output: Contribution to journal › Journal article › Research › peer-review
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WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION
Johansen, Søren & Nielsen, M. Ø., 2024, In: Econometric Theory. p. 1-16Research output: Contribution to journal › Journal article › Research › peer-review
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Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models
Johansen, Søren & Tabor, M. N., 22 Aug 2017, In: Econometrics. 5, 3, p. 1-15 15 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
Johansen, Søren, 10 Jan 2019, In: Econometrics. 7, 1, 10 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Testing Weak Exogeneity and the Order of Cointegration in the UK Money Demand Data
Johansen, Søren, 2005, General-to-Specific Modelling, Vol II. Campos, J., Ericsson, N. & Hendry, D. (eds.). Edward Elgar Publishing, p. 589-610Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level
Johansen, Søren, 2010, Department of Economics, University of Copenhagen, 26 p.Research output: Working paper
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Determination of Cointegration Rank in the Presence of Linear Trend
Johansen, Søren, 1991, Københavns Universitet, p. 15.Research output: Working paper
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The Role of the Constant Term in Cointegration Analysis of Nonstationary Variables
Johansen, Søren, 1992, Københavns Universitet, p. 26.Research output: Working paper
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Determination of Cointegration Rank in the Presense of a Linear Trend
Johansen, Søren, 1992, In: Oxford Bulletin of Economics and Statistics. 54, 3, p. 384-97Research output: Contribution to journal › Journal article › Research › peer-review
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Testing Exogeneity and the Order of Cointegration in U.K. Money Demand Data
Johansen, Søren, 1994, Testing Exogeneity. Advanced Texts in Econometrics. Ericsson, N. & Irons, J. (eds.). Oxford: Oxford University Press, p. 121-143Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Times Series: Cointegration
Johansen, Søren, 2015, International Encyclopedia of the Social & Behavioral Sciences. Wright, J. D. (ed.). 2 ed. Oxford: Elsevier, Vol. 24. p. 322--330 9 p.Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Communication
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Test for cointegration rank in partial systems
Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, p. 32.Research output: Working paper
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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, Søren, 1991, In: Econometrica. 59, 6, p. 1551-80Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Least squares estimation in a simple random coefficient autoregressive model
Johansen, Søren & Lange, Theis, Apr 2013, In: Journal of Econometrics. 177, 2, p. 285-288 4 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Søren Johansen and Katarina Juselius: Interview
Johansen, Søren & Juselius, Katarina, 2010, European Economics at a Crossroads. Rosser, Jr., J. B., Holt, R. P. F. & Colander, D. (eds.). Cheltenham, UK: Edward Elgar Publishing, p. 115-131 16 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Communication
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Likelihood analysis of the I(2) model
Johansen, Søren, 1997, In: Scandinavian Journal of Statistics. 24, 4, p. 433-462 30 p.Research output: Contribution to journal › Journal article › Research › peer-review
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The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables
Johansen, Søren, 1994, In: Econometric Reviews. 13, 2, p. 205-229Research output: Contribution to journal › Journal article › Research › peer-review
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Likelihood Based Inference for Cointegration of Non-Stationary Time Series
Johansen, Søren, Cox, D. R. (ed.), Barndorff-Nielsen, O. E. (ed.) & Hinkley, D. (ed.), 1996, Likelihood, Time Series with Econometric and other Applications. Cox, D. R., Hinkley, D. & Barndorff-Nielsen, O. E. (eds.). Taylor & FrancisResearch output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Likelihood-based inference in cointegrated vector auto-regressive models
Johansen, Søren, 1995, Great Britain: Oxford University Press. 267 p.Research output: Book/Report › Book › Research › peer-review
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Maximum Likelihood Estimation and Inference on Cointegration -with Applications to the Demand for Money
Johansen, Søren & Juselius, Katarina, 2005, General-to-SpecificModelling, Vol I. Campos, J., Ericsson, N. & Hendry, D. (eds.). Edward Elgar Publishing, p. 512-553Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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More on testing exact rational expectations in vector autoregressive models: Restricted drift term
Johansen, Søren & Swensen, A. R., 2003, Københavns Universitet, p. 1-11.Research output: Working paper
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The Mathematical Structure of Error Correction Models
Johansen, Søren, 1988, In: Contemporary Mathematics. 80, p. 359--386 28 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Estimation of Proportional Covariances.
Johansen, Søren & Tolver Jensen, S., 1987, In: Statistics & Probability Letters. 6, p. 83-85 3 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Statistical Analysis of Cointegration Vectors.
Johansen, Søren, 1988, In: Journal of Economic Dynamics and Control. 12, p. 231-254 24 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Cointegration analysis in the presence of structural breaks in the deterministic trend
Johansen, Søren, Nielsen, B. & Mosconi, R., 2000, In: Econometrics Journal. 3, 2, p. 216-249 34 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data
Johansen, Søren & Juselius, Katarina, 2014, In: Journal of Econometrics. 178, Part 2, p. 310-315 6 p.Research output: Contribution to journal › Journal article › Research › peer-review
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An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and USA
Johansen, Søren, 1991, København, Kbh.Univ., p. 25.Research output: Working paper
- Published
Estimating Systems of Trending Variables
Johansen, Søren, 1994, In: Econometric Reviews. 13, 3, p. 351-386Research output: Contribution to journal › Journal article › Research › peer-review
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A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
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A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
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Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
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