Søren Johansen

Søren Johansen

Professor, emeritus

ORCID: 0000-0002-9285-8236

Publication year:
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51 - 100 out of 170Page size: 50
  1. 1999
  2. 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

  3. 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

  4. 2000
  5. 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

  6. 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

  7. 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

  8. 2001
  9. 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

  10. 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

  11. 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

  12. 2002
  13. 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

  14. 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

  15. Published

    A simulation study of some functionals of random walk

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

    Research output: Working paper › Research

  16. 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

  17. 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

  18. 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

  19. 2003
  20. 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

  21. 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

  22. 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

  23. 2004
  24. 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

  25. 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

  26. Published

    Cointegration; An Overview

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

    Research output: Working paper › Research

  27. 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

  28. 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

  29. 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

  30. 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

  31. 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

  32. 2005
  33. 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

  34. 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

  35. 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

  36. 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

  37. 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

  38. Published

    Moderne Økonometri

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

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

  39. 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

  40. 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

  41. 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

  42. 2006
  43. 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

  44. 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

  45. 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

  46. 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

  47. 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

  48. 2007
  49. 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

  50. 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

  51. 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

  52. 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

  53. 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

  54. 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

  55. 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

  56. 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

  57. 2008
  58. 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

  59. 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

  60. 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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