Søren Johansen

Søren Johansen

Professor, emeritus

ORCID: 0000-0002-9285-8236

Publication year:
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1 - 25 out of 66Page size: 25
  1. 2019
  2. 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 › Research

  3. Published

    Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 18 Jun 2019, 22 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-09).

    Research output: Working paper › Research

  4. Published

    The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 28 May 2019, 30 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-05).

    Research output: Working paper › Research

  5. Published

    The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

    Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 15 Mar 2019, 55 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-02).

    Research output: Working paper › Research

  6. 2018
  7. Published

    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

  8. 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 › Research

  9. 2017
  10. Published

    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

  11. 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 › Research

  12. Published

    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 › Research

  13. Published

    The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

    Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 2017, 38 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-10). (Institute for New Economic Thinking Working Paper Series; No. 59).

    Research output: Working paper › Research

  14. Published

    The role of cointegration for optimal hedging with heteroscedastic error term

    Gatarek, L. & Johansen, Søren, 2017, 18 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-03).

    Research output: Working paper › Research

  15. 2016
  16. Published

    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 › Research

  17. Published

    Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series

    Johansen, Søren & Nielsen, B., 2016, 21 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 16-05).

    Research output: Working paper › Research

  18. 2015
  19. Published

    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

  20. 2014
  21. 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 › Research

  22. 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 › Research

  23. 2013
  24. Published

    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

  25. 2012
  26. Published

    The Role of Initial Values in Nonstationary Fractional Time Series Models

    Johansen, Søren & Nielsen, M. Ø., 2012, Kbh.: Økonomisk institut, Københavns Universitet, 29 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 18, Vol. 12).

    Research output: Working paper › Research

  27. Published

    The Selection of ARIMA Models with or without Regressors

    Johansen, Søren, Riani, M. & Atkinson, A. C., 2012, Kbh.: Økonomisk institut, Københavns Universitet, 31 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17, Vol. 12).

    Research output: Working paper › Research

  28. 2011
  29. Published

    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

  30. 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 › Research

  31. Published

    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 › Research

  32. Published

    The Properties of Model Selection when Retaining Theory Variables

    Hendry, D. F. & Johansen, Søren, 2011, Department of Economics, University of Copenhagen, 4 p.

    Research output: Working paper › Research

  33. 2010
  34. Published

    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 › Research

  35. Published

    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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