Søren Johansen

Søren Johansen

Professor, emeritus

ORCID: 0000-0002-9285-8236

Publication year:
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1 - 100 out of 170Page size: 100
  1. 1987
  2. Published

    Estimation of Proportional Covariances.

    Johansen, Søren & Tolver Jensen, S., 1987, In: Statistics & Probability Letters. 6, p. 83-85 3 p.

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

  3. Published

    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

  4. 1988
  5. Published

    Statistical Analysis of Cointegration Vectors.

    Johansen, Søren, 1988, In: Journal of Economic Dynamics and Control. 12, p. 231-254 24 p.

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

  6. Published

    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

  7. 1990
  8. Published

    A Survey of Product-Integration with a View Towards Applications in Survival Analysis.

    Johansen, Søren & Gill, R. D., 1990, In: Annals of Statistics. 18, p. 1501-1555 55 p.

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

  9. Published

    Hotelling's Theorem on the Volume of Tubes: some Illustrations in Simultaneous Inference and Data Analysis.

    Johansen, Søren & Johnstone, I., 1990, In: Annals of Statistics. 2, p. 652-–684 33 p.

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

  10. Published

    Maximum Likelihood Estimation and Inference on Cointegration — with Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics 52, 169–210 (1990). (With K. Juselius)

    Johansen, Søren & Juselius, Katarina, 1990, In: Oxford Bulletin of Economics and Statistics. 52, p. 169-210 42 p.

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

  11. 1991
  12. Published

    A Statistical Analysis of Cointegration for I(2) Variables

    Johansen, Søren, 1991, Københavns Universitet, p. 26.

    Research output: Working paper › Research

  13. Published

    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

  14. Published

    Comments on E.E. Leamer: A Baysian perspective in inference from macroeconomic data

    Johansen, Søren, 1991, In: Scandinavian Journal of Economics. 93, p. 249-51

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

  15. Published

    Determination of Cointegration Rank in the Presence of Linear Trend

    Johansen, Søren, 1991, Københavns Universitet, p. 15.

    Research output: Working paper › Research

  16. Published

    Estimating Systems of Trending Variables

    Johansen, Søren, 1991, Københavns Univiversitet, p. 35.

    Research output: Working paper › Research

  17. Published

    Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

    Johansen, Søren, 1991, In: Econometrica. 59, 6, p. 1551-80

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

  18. Published

    Globally Convergent Algorithms for Maximizing Likelihood Function

    Jensen, S. T., Johansen, Søren & Lauritzen, Steffen, 1991, In: Biometrika. 78, 4, p. 867-877 11 p.

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

  19. Published

    Globally convergent algorithms for maximizing a likelihood function

    Jensen, S. T., Johansen, Søren & Lauritzen, S. L., 1991, In: Biometrika. 78, 4, p. 867-77

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

  20. Published

    Statistical Analysis of Cointegration Vectors

    Johansen, Søren, 1991, Long-Run Economic Relationships-Readings in Cointegration. Granger, C. & Engle, R. (eds.). Oxford University Press, p. 131-52

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

  21. Published

    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

  22. Published

    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

  23. 1992
  24. Published

    A Representation of Vector Autoregressive Processes Integrated of Order 2.

    Johansen, Søren, 1992, In: Econometric Theory. 8, p. 188-202

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

  25. Published

    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. 229-248

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

  26. Published

    Cointegration in partial systems and the efficiency of single-equation analysis

    Johansen, Søren, 1992, In: Journal of Econometrics. 52, p. 389-402

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

  27. Published

    Determination of Cointegration Rank in the Presense of a Linear Trend

    Johansen, Søren, 1992, In: Oxford Bulletin of Economics and Statistics. 54, 3, p. 384-97

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

  28. Published

    Identification of the Long-Run and the Short-Run Structure. An Application to the ISLM Model

    Johansen, Søren & Juselius, Katarina, 1992, Københavns Universitet, p. 35.

    Research output: Working paper › Research

  29. Published

    Identifying Restrictions of Linear Equations

    Johansen, Søren, 1992, København, p. 18.

    Research output: Working paper › Research

  30. Published

    Recursive Estimation in Cointegrated VAR-Models

    Hansen, Henrik & Johansen, Søren, 1992, Institute of Economics, University of Copenhagen, 20 p.

    Research output: Working paper › Research

  31. Published

    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. 211-244

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

  32. Published

    Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data

    Johansen, Søren, 1992, In: Journal of Policy Modeling. 14, 3, p. 313-334

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

  33. Published

    The Role of the Constant Term in Cointegration Analysis of Nonstationary Variables

    Johansen, Søren, 1992, Københavns Universitet, p. 26.

    Research output: Working paper › Research

  34. 1993
  35. Published

    Likelihood based inference for cointegration of non stationary time series

    Johansen, Søren, 1993, København, p. 30.

    Research output: Working paper › Research

  36. Published

    Recursive Estimation in Cointegrated VAR-Models

    Johansen, Søren & Hansen, Henrik, 1993, København, p. 20.

    Research output: Working paper › Research

  37. 1994
  38. Published

    A Likelihood Analysis of The I(2) Model

    Johansen, Søren, 1994, København, p. 26.

    Research output: Working paper › Research

  39. Published

    Estimating Systems of Trending Variables

    Johansen, Søren, 1994, In: Econometric Reviews. 13, 3, p. 351-386

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

  40. Published

    Identification of the long-run and the short-run structure: an application to the ISLM model

    Johansen, Søren & Juselius, Katarina, 1994, In: Journal of Econometrics. 63, 1, p. 7-36

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

  41. Published

    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. 121-143

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

  42. Published

    Testing Rational Expectations in Vector Autoregressive Models

    Johansen, Søren & Swensen, A. R., 1994, Copenhagen, p. 12.

    Research output: Working paper › Research

  43. Published

    The Role of Ancillarity in Inference for Non-Stationary Variables

    Johansen, Søren, 1994, København, p. 21.

    Research output: Working paper › Research

  44. Published

    The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables

    Johansen, Søren, 1994, In: Econometric Reviews. 13, 2, p. 205-229

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

  45. 1995
  46. Published

    A Statistical Analysis of Cointegration for I(2) Variables

    Johansen, Søren, 1995, In: Econometric Theory. 11, 1, p. 25-59 35 p.

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

  47. Published

    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. 428-430

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

  48. Published

    Identifying restrictions of linear equations with applications to simultaneous equations and cointegration

    Johansen, Søren, 1995, In: Journal of Econometrics. 69, 1, p. 111-132

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

  49. Published

    Likelihood-based inference in cointegrated vector auto-regressive models

    Johansen, Søren, 1995, Great Britain: Oxford University Press. 267 p.

    Research output: Book/Report › Book › Research › peer-review

  50. Published

    Test for cointegration rank in partial systems

    Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, p. 32.

    Research output: Working paper › Research

  51. Published

    The Role of Ancillarity in Inference for Non-stationary Variables

    Johansen, Søren, 1995, In: Economic Journal. 105, 429, p. 302-320

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

  52. 1996
  53. Published

    Likelihood Based Inference for Cointegration of Non-Stationary Time Series

    Johansen, Søren, Cox, D. R. (ed.), Barndorff-Nielsen, O. E. (ed.) & Hinkley, D. (ed.), 1996, Likelihood, Time Series with Econometric and other Applications. Cox, D. R., Hinkley, D. & Barndorff-Nielsen, O. E. (eds.). Taylor & Francis

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

  54. 1997
  55. Published

    Likelihood analysis of the I(2) model

    Johansen, Søren, 1997, In: Scandinavian Journal of Statistics. 24, 4, p. 433-462 30 p.

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

  56. 1998
  57. Published

    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. 388-399

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

  58. Published

    Workbook on Cointegration

    Johansen, Søren & Hansen, P. R., 1998, Oxford University Press. 176 p.

    Research output: Book/Report › Book › Research › peer-review

  59. 1999
  60. Published

    Granger's Representation Theorem and Multicointegration

    Engsted, T. & Johansen, Søren, 1999, Cointegration, Causality and Forecasting: Festschrift in Honour of Clive Granger. Engle, R. & White, H. (eds.). Oxford University Press, p. 200-212 12 p.

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

  61. 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

  62. 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

  63. Published

    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

  64. Published

    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

  65. 2000
  66. 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

  67. 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

  68. 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

  69. 2001
  70. Published

    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: Wiley

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

  71. Published

    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

  72. Published

    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

  73. 2002
  74. 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

  75. 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

  76. Published

    A simulation study of some functionals of random walk

    Johansen, Søren, Hansen, Henrik & Fachin, S., 2002, Københavns Universitet.

    Research output: Working paper › Research

  77. 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

  78. Published

    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

  79. Published

    The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model

    Johansen, Søren, 2002, Københavns Universitet, p. 1-11.

    Research output: Working paper › Research

  80. 2003
  81. 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

  82. Published

    Likelihood analysis of the I(2) model

    Johansen, Søren, 2003, Recent Developments in Time Series, Vol I. Newbold, P. & Leyborne, S. (eds.). Edward Elgar Publishing, p. 243-272

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

  83. Published

    More on testing exact rational expectations in vector autoregressive models: Restricted drift term

    Johansen, Søren & Swensen, A. R., 2003, Københavns Universitet, p. 1-11.

    Research output: Working paper › Research

  84. 2004
  85. Published

    A Small Sample Correction of the Dickey-Fuller Test

    Johansen, Søren, 2004, Afdeling for Anvendt Matematek og Statistik / Københavns Universitet, p. 1-18.

    Research output: Working paper › Research

  86. Published

    A Small Sample Correction of the Dickey-Fuller Test

    Johansen, Søren, 2004, New Directions in Macromodelling. Elsevier, p. 49-68

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

  87. Published

    Cointegration; An Overview

    Johansen, Søren, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet, p. 1-37.

    Research output: Working paper › Research

  88. Published

    Cointegration; a survey

    Johansen, Søren, 2004, Palgrave Handbook of Econometrics: Volume 1. Bind 1, Chapter 15 ed. Palgrave Macmillan: Palgrave Macmillan, p. 1-37

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

  89. 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

  90. Published

    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

  91. 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

  92. 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

  93. 2005
  94. 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

  95. Published

    A Representation Theory for a Class of Vector Autoregressive Models for Fractional Processes

    Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, p. 1-22.

    Research output: Working paper › Research

  96. Published

    Confronting the Economic Model with the Data

    Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, p. 1-13.

    Research output: Working paper › Research

  97. Published

    Extracting Information from the Data: A European View on Empirical Macro

    Johansen, Søren & Juselius, K., 2005, Department of Applied Mathematics and Statistics, p. 1-26.

    Research output: Working paper › Research

  98. Published

    Maximum Likelihood Estimation and Inference on Cointegration -with Applications to the Demand for Money

    Johansen, Søren & Juselius, Katarina, 2005, General-to-SpecificModelling, Vol I. Campos, J., Ericsson, N. & Hendry, D. (eds.). Edward Elgar Publishing, p. 512-553

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

  99. Published

    Moderne Økonometri

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

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

  100. Published

    Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

    Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, p. 1-23.

    Research output: Working paper › Research

  101. Published

    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. 589-610

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

  102. 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

  103. 2006
  104. Published

    Cointegration. Overview and Development

    Johansen, Søren, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-22.

    Research output: Working paper › Research

  105. Published

    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. 540-577

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

  106. Published

    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. 287-300

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

  107. Published

    Extracting information from the data: a European view on empirical macro

    Juselius, Katarina & Johansen, Søren, 2006, Post Walrasian Macroeconomics: Beyond the Dynamic Stochastic General Equilibrium Model. Colander, D. (ed.). Cambridge: Cambridge University Press, p. 301-333

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

  108. 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

  109. 2007
  110. Published

    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

  111. 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

  112. Published

    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

  113. Published

    Exact Rational Expectations, Cointegration, and Reduced Rank Regression

    Johansen, Søren & Swensen, A. R., 2007, Department of Economics, University of Copenhagen, 10 p.

    Research output: Working paper › Research

  114. Published

    Likelihood Inference for a Nonstationary Fractional Autoregressive Model

    Johansen, Søren & Nielsen, M. Ø., 2007, Department of Economics, University of Copenhagen, 45 p.

    Research output: Working paper › Research

  115. Published

    Selecting a Regression Saturated by Indicators

    Hendry, D. F., Johansen, Søren & Santos, C., 2007, Department of Economics, University of Copenhagen, 17 p.

    Research output: Working paper › Research

  116. Published

    Some Identification Problems in the Cointegrated Vector Autoregressive Model

    Johansen, Søren, 2007, Department of Economics, University of Copenhagen, 26 p.

    Research output: Working paper › Research

  117. Published

    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

  118. 2008
  119. Published

    A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings

    Frydman, R., Goldberg, M. D., Johansen, Søren & Juselius, Katarina, 2008, Department of Economics, University of Copenhagen, 37 p.

    Research output: Working paper › Research

  120. 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

  121. 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

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