Søren Johansen
Professor, emeritus
Department of Economics
Øster Farimagsgade 5
1353 København K
- 2024
- Published
WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION
Johansen, Søren & Nielsen, M. Ø., 2024, In: Econometric Theory. p. 1-16Research output: Contribution to journal › Journal article › peer-review
- 2023
- Published
A model where the least trimmed squares estimator is maximum likelihood
Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 2023, In: Journal of The Royal Statistical Society Series B-statistical Methodology. 85, 3, p. 886-912Research output: Contribution to journal › Journal article › peer-review
- 2020
- Published
Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature
Hillebrand, E., Johansen, Søren & Schmith, T., Dec 2020, In: Econometrics. 8, 4, 19 p., 41.Research output: Contribution to journal › Journal article › peer-review
- 2019
- Published
Corrigendum: Analysis of the forward search using some new results for martingales and empirical processes
Berenguer-Rico, V., Johansen, Søren & Nielsen, B., Nov 2019, In: Bernoulli. 25, 4A, p. 3201Research output: Contribution to journal › Journal article › peer-review
- 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
- 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
- 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
- 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
- Published
Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
Johansen, Søren, 10 Jan 2019, In: Econometrics. 7, 1, 10 p.Research output: Contribution to journal › Journal article › peer-review
- Published
Boundedness of M-estimators for linear regression in time series
Johansen, Søren & Nielsen, B., 2019, In: Econometric Theory. 35, 3, p. 653-683Research output: Contribution to journal › Journal article › peer-review
- Published
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
Johansen, Søren & Nielsen, M. Ø., 2019, In: Journal of Time Series Analysis. 40, 4, p. 519-543Research output: Contribution to journal › Journal article › peer-review
- 2018
- 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
- 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
- Published
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 › peer-review
- Published
The cointegrated vector autoregressive model with general deterministic terms
Johansen, Søren & Nielsen, M. Ø., Feb 2018, In: Journal of Econometrics. 202, 2, p. 214-229Research output: Contribution to journal › Journal article › peer-review
- 2017
- Published
Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models
Johansen, Søren & Tabor, M. N., 22 Aug 2017, In: Econometrics. 5, 3, p. 1-15 15 p.Research output: Contribution to journal › Journal article › peer-review
- Published
Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
Franchi, M. & Johansen, Søren, 14 Jun 2017, In: Econometrics. 5, 2, p. 1-20 20 p.Research output: Contribution to journal › Journal article › peer-review
- 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
- 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
- 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
- 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
- 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
- 2016
- 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 › peer-review
- 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 › peer-review
- 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 › peer-review
- 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
- 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
- 2015
- 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 › peer-review
- 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
- 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 › peer-review
- 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
- 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
- 2014
- 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 › peer-review
- 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
- 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
- 2013
- 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 › peer-review
- 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
- 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 › peer-review
- 2012
- 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 › peer-review
- 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 › peer-review
- 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 › peer-review
- 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
- 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
- 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 › peer-review
- 2011
- 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
- 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
- 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 › peer-review
- 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
- 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
- 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
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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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