Søren Johansen
Professor, emeritus
Department of Economics
Øster Farimagsgade 5
1353 København K
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'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
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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
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A Likelihood Analysis of The I(2) Model
Johansen, Søren, 1994, København, p. 26.Research output: Working paper › Research
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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
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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
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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. 653-658Research output: Contribution to journal › Journal article › Research › peer-review
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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
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A Representation of Vector Autoregressive Processes Integrated of Order 2.
Johansen, Søren, 1992, In: Econometric Theory. 8, p. 188-202Research output: Contribution to journal › Journal article › Research › peer-review
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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
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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
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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
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A Small Sample Correction of the Dickey-Fuller Test
Johansen, Søren, 2004, New Directions in Macromodelling. Elsevier, p. 49-68Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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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
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A Statistical Analysis of Cointegration for I(2) Variables
Johansen, Søren, 1991, Københavns Universitet, p. 26.Research output: Working paper › Research
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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
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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
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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 › Research › peer-review
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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
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A simulation study of some functionals of random walk
Johansen, Søren, Hansen, Henrik & Fachin, S., 2002, Københavns Universitet.Research output: Working paper › Research
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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
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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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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
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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
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An Extension of Cointegration to Fractional Autoregressive Processes
Johansen, Søren, 2010, Department of Economics, University of Copenhagen, 15 p.Research output: Working paper › Research
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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
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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. 229-248Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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 › Research › peer-review
- 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
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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
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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 › Research › peer-review
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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
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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 › Research › peer-review
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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
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Cointegration in partial systems and the efficiency of single-equation analysis
Johansen, Søren, 1992, In: Journal of Econometrics. 52, p. 389-402Research output: Contribution to journal › Journal article › Research › peer-review
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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
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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
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Cointegration. Overview and Development
Johansen, Søren, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-22.Research output: Working paper › Research
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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. 540-577Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Cointegration; An Overview
Johansen, Søren, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet, p. 1-37.Research output: Working paper › Research
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Cointegration; a survey
Johansen, Søren, 2004, Palgrave Handbook of Econometrics: Volume 1. Bind 1, Chapter 15 ed. Palgrave Macmillan: Palgrave Macmillan, p. 1-37Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Comment on "A Semi-Empirical Approach to Projecting Future Sea-Level Rise"
Johansen, Søren, Schmith, T. & Thejll, P., 2007, In: Science. 317, 5846, p. 1866Research output: Contribution to journal › Letter › Research
ID: 8722
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3631
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A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
Research output: Working paper › Research
Published -
3582
downloads
A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
Research output: Working paper › Research
Published -
3318
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Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
Research output: Working paper › Research
Published