Søren Johansen

Søren Johansen

Professor, emeritus

ORCID: 0000-0002-9285-8236

Publication year:
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101 - 150 out of 170Page size: 50
  1. 2008
  2. Published

    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

  3. 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

  4. Published

    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

  5. 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

  6. 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

  7. 2009
  8. Published

    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

  9. Published

    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

  10. 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 › Research

  11. 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

  12. 2010
  13. 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

  14. 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

  15. Published

    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

  16. Published

    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

  17. 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

  18. 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 › Research

  19. 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

  20. 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

  21. Published

    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

  22. 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

  23. Published

    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 › Research

  24. 2011
  25. Published

    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

  26. 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

  27. 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

  28. 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

  29. 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

  30. 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

  31. 2012
  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 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

  35. 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

  36. 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

  37. 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

  38. 2013
  39. 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

  40. 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

  41. 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

  42. 2014
  43. 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

  44. 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

  45. 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

  46. 2015
  47. 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

  48. 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

  49. Published

    Time Series: Cointegration

    Johansen, Søren, 2015, International Encyclopedia of the Social & Behavioral Sciences. Wright, J. D. (ed.). Oxford: Elsevier, Vol. 24. p. 322-330 9 p.

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Communication

  50. Published

    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

  51. 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

  52. 2016
  53. 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

  54. 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

  55. 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

  56. 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

  57. 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

  58. 2017
  59. 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

  60. 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

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