Søren Johansen
Professor, emeritus
Department of Economics
Øster Farimagsgade 5
1353 København K
- Published
Some Econometric Results for the Blanchard-Watson Bubble Model
Johansen, Søren & Lange, Theis, 2011, Department of Economics, University of Copenhagen, 9 p.Research output: Working paper
- Published
Selecting a Regression Saturated by Indicators
Hendry, D. F., Johansen, Søren & Santos, C., 2007, Department of Economics, University of Copenhagen, 17 p.Research output: Working paper
- Published
Representation of cointegrated autoregressive processes with application to fractional processes
Johansen, Søren, 2009, In: Econometric Reviews. 28, 1-3, p. 121-145 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
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
- Published
Reduced Rank Regression
Johansen, Søren, 2008, The New Palgrave Dictionary of Economics. Durlauf, S. N. & Blume, L. E. (eds.). 2 ed. Palgrave Macmillan, 7 p.Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
- Published
Recursive Estimation in Cointegrated VAR-Models
Hansen, Henrik & Johansen, Søren, 1992, Institute of Economics, University of Copenhagen, 20 p.Research output: Working paper
- Published
Recursive Estimation in Cointegrated VAR-Models
Johansen, Søren & Hansen, Henrik, 1993, København, p. 20.Research output: Working paper
- Published
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
- Published
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
- Published
Optimal hedging with the cointegrated vector autoregressive model
Gatarek, L. & Johansen, Søren, 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 11 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 22, Vol. 2014).Research output: Working paper
- Published
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
- Published
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
- Published
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
Johansen, Søren & Nielsen, M. Ø., 2019, In: Journal of Time Series Analysis. 40, 4, p. 519-543Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
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
- Published
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
- Published
Moderne Økonometri
Johansen, Søren & Juselius, Katarina, 2005, In: Samfundsøkonomen. 3, p. 4-7Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Models Where the Least Trimmed Squares and Least Median of Squares Estimators Are Maximum Likelihood
Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 27 Sep 2019, 39 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-11).Research output: Working paper
- Published
Modelling cointegration in the vector autoregressive model
Johansen, Søren, 2000, In: Economic Modelling. 17, 3, p. 359-373 15 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Model Discovery and Trygve Haavelmo's Legacy
Hendry, D. & Johansen, Søren, 2015, In: Econometric Theory. 31, 1, p. 93-114 22 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
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
- Published
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
- Published
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
- Published
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
- Published
Likelihood based inference for cointegration of non stationary time series
Johansen, Søren, 1993, København, p. 30.Research output: Working paper
- Published
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
- Published
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
- Published
Likelihood Inference for a Nonstationary Fractional Autoregressive Model
Johansen, Søren & Nielsen, M. Ø., 2007, Department of Economics, University of Copenhagen, 45 p.Research output: Working paper
- Published
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
- Published
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
- Published
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
- 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
- Published
Kointegration og fælles stokastiske trende
Johansen, Søren, 2004, In: mat Matilde. 19, p. 11-13Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
Franchi, M. & Johansen, Søren, 2017, 19 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-09).Research output: Working paper
- Published
Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
Franchi, M. & Johansen, Søren, 14 Jun 2017, In: Econometrics. 5, 2, p. 1-20 20 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
Identifying Restrictions of Linear Equations
Johansen, Søren, 1992, København, p. 18.Research output: Working paper
- Published
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
- Published
- Published
Hotelling's Theorem on the Volume of Tubes: some Illustrations in Simultaneous Inference and Data Analysis.
Johansen, Søren & Johnstone, I., 1990, In: Annals of Statistics. 2, p. 652-684 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Granger's Representation Theorem and Multicointegration
Engsted, T. & Johansen, Søren, 1999, Cointegration, Causality and Forecasting: Festschrift in Honour of Clive Granger. Engle, R. & White, H. (eds.). Oxford University Press, p. 200-212 12 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Globally convergent algorithms for maximizing a likelihood function
Jensen, S. T., Johansen, Søren & Lauritzen, S. L., 1991, In: Biometrika. 78, 4, p. 867-77Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Globally Convergent Algorithms for Maximizing Likelihood Function
Jensen, S. T., Johansen, Søren & Lauritzen, Steffen, 1991, In: Biometrika. 78, 4, p. 867-877 11 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
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
- Published
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
- Published
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
- Published
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
ID: 8722
Most downloads
-
3642
downloads
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
Research output: Working paper
Published -
3587
downloads
A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
Research output: Working paper
Published -
3326
downloads
Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
Research output: Working paper
Published