Søren Johansen
Professor, emeritus
Department of Economics
Øster Farimagsgade 5
1353 København K
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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
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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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Estimating Systems of Trending Variables
Johansen, Søren, 1991, Københavns Univiversitet, p. 35.Research output: Working paper › Research
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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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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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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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Discussion of: Pesaran, M.H., Schuermann T., and Weiner S. M., Modeling regional interdependencies using a global error-correcting macroeconometric model
Johansen, Søren, 2004, In: Journal of Business and Economic Statistics. 22, 2, p. 169-172Research output: Contribution to journal › Journal article › Research › peer-review
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Discussion of: Jansen, E.S., Statistical issues in macroeconomic modelling
Johansen, Søren, 2002, In: Scandinavian Journal of Statistics. 29, p. 213-216Research 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 › Research
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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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Determination of Cointegration Rank in the Presence of Linear Trend
Johansen, Søren, 1991, Københavns Universitet, p. 15.Research output: Working paper › Research
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Data Revisions and the Statistical Relation of Global Mean Sea-Level and Temperature
Hillebrand, E. T., Johansen, Søren & Schmith, T., 2015, 14 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 9, Vol. 2015).Research output: Working paper › Research
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Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature
Hillebrand, E., Johansen, Søren & Schmith, T., Dec 2020, In: Econometrics. 8, 4, 19 p., 41.Research output: Contribution to journal › Journal article › Research › peer-review
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Corrigendum: Analysis of the forward search using some new results for martingales and empirical processes
Berenguer-Rico, V., Johansen, Søren & Nielsen, B., Nov 2019, In: Bernoulli. 25, 4A, p. 3201Research output: Contribution to journal › Journal article › Research › peer-review
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Correlation, regression, and cointegration of nonstationary economic time series
Johansen, Søren, 2008, Bulletin of the International Statistical Institute vol. LXII: Proceedings of the 56th session of the International Statistical Institute, 22-29 August 2007, Lisboa, Portugal. Gomes, M. I., Martins, J. A. P. & Silva, J. A. (eds.). Instituto Nacional de Estatística, p. 19-26 8 p.Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review
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Correlation, Regression, and Cointegration of Nonstationary Economic Time Series
Johansen, Søren, 2007, Department of Economics, University of Copenhagen, 9 p.Research output: Working paper › Research
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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 › 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 › Research
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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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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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Comment on "A Semi-Empirical Approach to Projecting Future Sea-Level Rise"
Johansen, Søren, Schmith, T. & Thejll, P., 2007, In: Science. 317, 5846, p. 1866Research output: Contribution to journal › Letter › 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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Cointegration; An Overview
Johansen, Søren, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet, p. 1-37.Research output: Working paper › Research
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Cointegration: a survey
Johansen, Søren, 2006, Handbook of Econometrics: Vol 1 Econometric Theory. Mills, T. C. & Palgrave, K. P. (eds.). Palgrave Macmillan, Vol. 1. p. 540-577Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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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 › Research
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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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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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Cointegration in partial systems and the efficiency of single-equation analysis
Johansen, Søren, 1992, In: Journal of Econometrics. 52, p. 389-402Research output: Contribution to journal › Journal article › Research › peer-review
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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren & Tabor, M. N., 2017, 13 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-02).Research output: Working paper › Research
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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 Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models
Johansen, Søren, 29 May 2018, 9 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 18-05).Research output: Working paper › Research
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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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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
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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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Boundedness of M-estimators for linear regression in time series
Johansen, Søren & Nielsen, B., 2019, In: Econometric Theory. 35, 3, p. 653-683Research output: Contribution to journal › Journal article › Research › peer-review
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Automatic selection of indicators in a fully saturated regression
Hendry, D. F., Johansen, Søren & Santos, C., 2008, In: Computational Statistics. 23, 2, p. 317-335 19 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Asymptotic inference on cointegrating rank in partial systems
Harbo, I. S., Johansen, Søren, Nielsen, B. & Rahbek, Anders, 1998, In: Journal of Business and Economic Statistics. 16, p. 388-399Research output: Contribution to journal › Journal article › Research › peer-review
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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 › Research
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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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Asymptotic Theory for Iterated One-Step Huber-Skip Estimators
Johansen, Søren & Nielsen, B., 2011, Kbh.: Department of Economics, University of Copenhagen, 17 p.Research output: Working paper › Research
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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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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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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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An Invariance Property of the Common Trends under Linear Transformations of the Data
Johansen, Søren & Juselius, Katarina, 2010, Department of Economics, University of Copenhagen, 13 p.Research output: Working paper › 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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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 › Research
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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 › Research
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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 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 › Research
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Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
Hoover, K. D., Juselius, Katarina & Johansen, Søren, 2007, Department of Economics, University of Copenhagen, 10 p.Research output: Working paper › Research
ID: 8722
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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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