Søren Johansen
Professor, emeritus
Department of Economics
Øster Farimagsgade 5
1353 København K
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Statistical Analysis of some Non-Stationary Time series
Johansen, Søren, 1999, Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Strøm, S. (ed.). Cambridge University Press, p. 433-457 25 p. (Econometric Society Monographs; No. 31).Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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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
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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
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Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
Johansen, Søren, 2002, Københavns Universitet, p. 1-27.Research output: Working paper › Research
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Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
Johansen, Søren, 2006, In: Journal of Econometrics. 132, p. 81-115Research output: Contribution to journal › Journal article › Research › peer-review
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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
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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
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Test for cointegration rank in partial systems
Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, p. 32.Research output: Working paper › Research
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Testing Exogeneity and the Order of Cointegration in U.K. Money Demand Data
Johansen, Søren, 1994, Testing Exogeneity. Advanced Texts in Econometrics. Ericsson, N. & Irons, J. (eds.). Oxford: Oxford University Press, p. 121-143Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate
Johansen, Søren, Juselius, Katarina, Frydman, R. & Goldberg, M., 2007, Department of Economics, University of Copenhagen, 33 p.Research output: Working paper › Research
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Testing Rational Expectations in Vector Autoregressive Models
Johansen, Søren & Swensen, A. R., 1994, Copenhagen, p. 12.Research output: Working paper › Research
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Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK
Johansen, Søren & Juselius, Katarina, 1992, In: Journal of Econometrics. 53, 1-3, p. 211-244Research output: Contribution to journal › Journal article › Research › peer-review
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Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data
Johansen, Søren, 1992, In: Journal of Policy Modeling. 14, 3, p. 313-334Research output: Contribution to journal › Journal article › Research › peer-review
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Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data
Johansen, Søren, 1991, Københavns Universitet, p. 31.Research output: Working paper › Research
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Testing Weak Exogeneity and the Order of Cointegration in the UK Money Demand Data
Johansen, Søren, 2005, General-to-Specific Modelling, Vol II. Campos, J., Ericsson, N. & Hendry, D. (eds.). Edward Elgar Publishing, p. 589-610Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Testing exact rational expectations in cointegrated vector autoregressive models
Johansen, Søren & Swensen, A. R., 1999, In: Journal of Econometrics. 93, 1, p. 73-91 9 p.Research output: Contribution to journal › Journal article › Research › peer-review
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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
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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. 836–849Research output: Contribution to journal › Journal article › Research › peer-review
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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
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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
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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
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The Asymptotic Properties of the Cornish-Bowden Eisenthal Median Estimator.
Johansen, Søren & Dalgaard, P., 1987, In: Journal of Statistical Planning and Inference. 15, p. 279-299 21 p.Research output: Contribution to journal › Journal article › Research › peer-review
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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
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The Mathematical Structure of Error Correction Models
Johansen, Søren, 1988, In: Contemporary Mathematics. 80, p. 359--386 28 p.Research output: Contribution to journal › Journal article › Research › peer-review
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The Power Function of the Likelihood Ratio Test for Cointegration
Johansen, Søren, 1991, Econometric Decision Models: New Methods of Modeling and Applications: Proceedings of the 2nd International Conference on Econometric Decision Models. Gruber, J. (ed.). Springer, p. 324-335 23 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › 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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