Søren Johansen
Professor, emeritus
Department of Economics
Øster Farimagsgade 5
1353 København K
- 2004
- 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
- Published
Kointegration og fælles stokastiske trende
Johansen, Søren, 2004, In: mat Matilde. 19, p. 11-13Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 389-397Research output: Contribution to journal › Journal article › Research › peer-review
- 2003
- 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. 663-678Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 243-272Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- 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
- 2002
- Published
A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
Johansen, Søren, 2002, In: Journal of Econometrics. 111, 2, p. 195-221Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- Published
A simulation study of some functionals of random walk
Johansen, Søren, Hansen, Henrik & Fachin, S., 2002, Københavns Universitet.Research output: Working paper › Research
- Published
Discussion of: Jansen, E.S., Statistical issues in macroeconomic modelling
Johansen, Søren, 2002, In: Scandinavian Journal of Statistics. 29, p. 213-216Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 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
- 2001
- 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: WileyResearch output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- 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
- 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
- 2000
- 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
- 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
- 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
- 1999
- 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
- 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
- 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
- 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
- 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
- 1998
- 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. 388-399Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Workbook on Cointegration
Johansen, Søren & Hansen, P. R., 1998, Oxford University Press. 176 p.Research output: Book/Report › Book › Research › peer-review
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
Research output: Working paper › Research
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