Søren Johansen

Søren Johansen

Professor, emeritus

ORCID: 0000-0002-9285-8236

Publication year:
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  1. 2024
  2. Published

    WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION

    Johansen, Søren & Nielsen, M. Ø., 2024, In: Econometric Theory. p. 1-16

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. 2023
  4. Published

    A model where the least trimmed squares estimator is maximum likelihood

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 2023, In: Journal of The Royal Statistical Society Series B-statistical Methodology. 85, 3, p. 886-912

    Research output: Contribution to journal › Journal article › Research › peer-review

  5. 2020
  6. Published

    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

  7. 2019
  8. Published

    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. 3201

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. Published

    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

  10. Published

    Boundedness of M-estimators for linear regression in time series

    Johansen, Søren & Nielsen, B., 2019, In: Econometric Theory. 35, 3, p. 653-683

    Research output: Contribution to journal › Journal article › Research › peer-review

  11. Published

    Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

    Johansen, Søren & Nielsen, M. Ø., 2019, In: Journal of Time Series Analysis. 40, 4, p. 519-543

    Research output: Contribution to journal › Journal article › Research › peer-review

  12. 2018
  13. Published

    Testing the CVAR in the Fractional CVAR Model

    Johansen, Søren & Nielsen, M. Ø., 19 Apr 2018, In: Journal of Time Series Analysis. 39, 6, p. 836–849

    Research output: Contribution to journal › Journal article › Research › peer-review

  14. Published

    The cointegrated vector autoregressive model with general deterministic terms

    Johansen, Søren & Nielsen, M. Ø., Feb 2018, In: Journal of Econometrics. 202, 2, p. 214-229

    Research output: Contribution to journal › Journal article › Research › peer-review

  15. 2017
  16. Published

    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

  17. 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

  18. 2016
  19. 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

  20. Published

    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

  21. Published

    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

  22. 2015
  23. Published

    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

  24. 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

  25. 2014
  26. 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

  27. 2013
  28. 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

  29. 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

  30. 2012
  31. 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

  32. Published

    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

  33. Published

    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

  34. Published

    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

  35. 2011
  36. 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

  37. 2010
  38. Published

    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

  39. 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

  40. Published

    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

  41. Published

    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

  42. 2009
  43. 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

  44. 2008
  45. Published

    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

  46. Published

    Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression

    Hoover, K. D., Johansen, Søren & Juselius, Katarina, 2008, In: American Economic Review (Print Edition). 2 (Papers & Proceedings), p. 251–255 5 p.

    Research output: Contribution to journal › Conference article › Research

  47. Published

    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

  48. 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

  49. 2007
  50. Published

    Comment on "A Semi-Empirical Approach to Projecting Future Sea-Level Rise"

    Johansen, Søren, Schmith, T. & Thejll, P., 2007, In: Science. 317, 5846, p. 1866

    Research output: Contribution to journal › Letter › Research

  51. 2006
  52. Published

    Statistical analysis of hypotheses on the cointegrating relations in the I(2) model

    Johansen, Søren, 2006, In: Journal of Econometrics. 132, p. 81-115

    Research output: Contribution to journal › Journal article › Research › peer-review

  53. 2005
  54. Published

    A Note on testing restrictions for the cointegration parameters of a VAR with I(2) variables

    Johansen, Søren & Lütkepohl, H., 2005, In: Econometric Theory. 21, p. 653-658

    Research output: Contribution to journal › Journal article › Research › peer-review

  55. Published

    Moderne Økonometri

    Johansen, Søren & Juselius, Katarina, 2005, In: Samfundsøkonomen. 3, p. 4-7

    Research output: Contribution to journal › Journal article › Research › peer-review

  56. Published

    The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model

    Johansen, Søren, 2005, In: Oxford Bulletin of Economics and Statistics. 67, 1, p. 93-104

    Research output: Contribution to journal › Journal article › Research › peer-review

  57. 2004
  58. Published

    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. 169-172

    Research output: Contribution to journal › Journal article › Research › peer-review

  59. Published

    Kointegration og fælles stokastiske trende

    Johansen, Søren, 2004, In: mat Matilde. 19, p. 11-13

    Research output: Contribution to journal › Journal article › Research › peer-review

  60. 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. 389-397

    Research output: Contribution to journal › Journal article › Research › peer-review

  61. 2003
  62. Published

    'The variance of the estimated roots in a cointegrated vector autoregressive model

    Johansen, Søren, 2003, In: Journal of Time Series Analysis. 24, 6, p. 663-678

    Research output: Contribution to journal › Journal article › Research › peer-review

  63. 2002
  64. Published

    A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors

    Johansen, Søren, 2002, In: Journal of Econometrics. 111, 2, p. 195-221

    Research output: Contribution to journal › Journal article › Research › peer-review

  65. Published

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

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

    Research output: Contribution to journal › Journal article › Research › peer-review

  66. Published

    Discussion of: Jansen, E.S., Statistical issues in macroeconomic modelling

    Johansen, Søren, 2002, In: Scandinavian Journal of Statistics. 29, p. 213-216

    Research output: Contribution to journal › Journal article › Research › peer-review

  67. 2000
  68. Published

    A Bartlett correction factor for tests on the cointegrating relations

    Johansen, Søren, 2000, In: Econometric Theory. 16, 5, p. 740-778 39 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  69. 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

  70. 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

  71. 1999
  72. 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

  73. Published

    Some tests for parameter constancy in cointegrated VAR-models

    Hansen, Henrik & Johansen, Søren, 1999, In: Econometrics Journal. 2, 2, p. 306-333 28 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

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