Søren Johansen

Søren Johansen

Professor, emeritus

ORCID: 0000-0002-9285-8236

Publication year:
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1 - 170 out of 170Page size: 500
  1. 2024
  2. Published

    WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION

    Johansen, Søren & Nielsen, M. Ø., 2024, In: Econometric Theory. p. 1-16

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

  3. 2023
  4. 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. 886-912

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

  5. 2020
  6. 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 › Research › peer-review

  7. 2019
  8. 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. 3201

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

  9. 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

  10. 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

  11. 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

  12. 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

  13. 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 › Research › peer-review

  14. Published

    Boundedness of M-estimators for linear regression in time series

    Johansen, Søren & Nielsen, B., 2019, In: Econometric Theory. 35, 3, p. 653-683

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

  15. Published

    Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

    Johansen, Søren & Nielsen, M. Ø., 2019, In: Journal of Time Series Analysis. 40, 4, p. 519-543

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

  16. 2018
  17. 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

  18. 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

  19. 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. 836–849

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

  20. Published

    The cointegrated vector autoregressive model with general deterministic terms

    Johansen, Søren & Nielsen, M. Ø., Feb 2018, In: Journal of Econometrics. 202, 2, p. 214-229

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

  21. 2017
  22. 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 › Research › peer-review

  23. 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 › Research › peer-review

  24. 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

  25. 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

  26. 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

  27. 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

  28. 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

  29. 2016
  30. 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 › Research › peer-review

  31. 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 › Research › peer-review

  32. 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 › Research › peer-review

  33. 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

  34. 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

  35. 2015
  36. 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 › Research › peer-review

  37. 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

  38. 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 › Research › peer-review

  39. 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

  40. 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

  41. 2014
  42. 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 › Research › peer-review

  43. 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

  44. 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

  45. 2013
  46. 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 › Research › peer-review

  47. 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

  48. 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 › Research › peer-review

  49. 2012
  50. 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 › Research › peer-review

  51. 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 › Research › peer-review

  52. 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 › Research › peer-review

  53. 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

  54. 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

  55. 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 › Research › peer-review

  56. 2011
  57. 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

  58. 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

  59. 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 › Research › peer-review

  60. 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

  61. 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

  62. 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

  63. 2010
  64. Published

    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

  65. Published

    An Extension of Cointegration to Fractional Autoregressive Processes

    Johansen, Søren, 2010, Department of Economics, University of Copenhagen, 15 p.

    Research output: Working paper › Research

  66. Published

    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

  67. Published

    Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

    Johansen, Søren & Nielsen, B., 2010, Department of Economics, University of Copenhagen, 13 p.

    Research output: Working paper › Research

  68. Published

    Discussion: The Forward Search: Theory and Data Analysis

    Johansen, Søren & Nielsen, B., 2010, In: Journal of the Korean Statistical Society. 39, 2, p. 137-145 9 p.

    Research output: Contribution to journal › Comment/debate › Research

  69. Published

    Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

    Johansen, Søren & Nielsen, M. Ø., 2010, Department of Economics, University of Copenhagen, 41 p.

    Research output: Working paper › Research

  70. Published

    Likelihood inference for a nonstationary fractional autoregressive model

    Johansen, Søren & Ørregård Nielsen, M., 2010, In: Journal of Econometrics. 158, 1, p. 51-66 16 p.

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

  71. Published

    Some Identification Problems in the Cointegrated Vector Autoregressive Model

    Johansen, Søren, 2010, In: Journal of Econometrics. 158, 2, p. 262-273 12 p.

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

  72. Published

    Søren Johansen and Katarina Juselius: Interview

    Johansen, Søren & Juselius, Katarina, 2010, European Economics at a Crossroads. Rosser, Jr., J. B., Holt, R. P. F. & Colander, D. (eds.). Cheltenham, UK: Edward Elgar Publishing, p. 115-131 16 p.

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

  73. Published

    Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate

    Johansen, Søren, Juselius, Katarina, Frydman, R. & Goldberg, M., 2010, In: Journal of Econometrics. 158, 1, p. 117-129 13 p.

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

  74. Published

    The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level

    Johansen, Søren, 2010, Department of Economics, University of Copenhagen, 26 p.

    Research output: Working paper › Research

  75. 2009
  76. Published

    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

  77. 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

  78. Published

    On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations

    Johansen, Søren & Swensen, A. R., 2009, Department of Economics, University of Copenhagen, 30 p.

    Research output: Working paper › Research

  79. Published

    Representation of cointegrated autoregressive processes with application to fractional processes

    Johansen, Søren, 2009, In: Econometric Reviews. 28, 1-3, p. 121-145 25 p.

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

  80. 2008
  81. 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

  82. 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

  83. 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

  84. Published

    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

  85. Published

    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

  86. Published

    Correlation, regression, and cointegration of nonstationary economic time series

    Johansen, Søren, 2008, Bulletin of the International Statistical Institute vol. LXII: Proceedings of the 56th session of the International Statistical Institute, 22-29 August 2007, Lisboa, Portugal. Gomes, M. I., Martins, J. A. P. & Silva, J. A. (eds.). Instituto Nacional de Estatística, p. 19-26 8 p.

    Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research › peer-review

  87. Published

    Exact rational expectations, cointegration, and reduced rank regression

    Johansen, Søren & Swensen, A. R., 2008, In: Journal of Statistical Planning and Inference. 138, 9, p. 2738-2748 11 p.

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

  88. Published

    Reduced Rank Regression

    Johansen, Søren, 2008, The New Palgrave Dictionary of Economics. Durlauf, S. N. & Blume, L. E. (eds.). 2 ed. Palgrave Macmillan, 7 p.

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

  89. 2007
  90. 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

  91. 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

  92. 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

  93. 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

  94. 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

  95. 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

  96. 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

  97. 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

  98. 2006
  99. 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

  100. 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

  101. 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

  102. 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

  103. 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

  104. 2005
  105. 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

  106. 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

  107. 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

  108. 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

  109. 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

  110. Published

    Moderne Økonometri

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

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

  111. 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

  112. 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

  113. 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

  114. 2004
  115. 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

  116. 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

  117. Published

    Cointegration; An Overview

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

    Research output: Working paper › Research

  118. 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

  119. 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

  120. 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

  121. 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

  122. 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

  123. 2003
  124. 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

  125. 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

  126. 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

  127. 2002
  128. 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

  129. 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

  130. Published

    A simulation study of some functionals of random walk

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

    Research output: Working paper › Research

  131. 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

  132. 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

  133. 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

  134. 2001
  135. 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

  136. 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

  137. 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

  138. 2000
  139. 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

  140. 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

  141. 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

  142. 1999
  143. 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

  144. 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

  145. 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

  146. 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

  147. 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

  148. 1998
  149. 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

  150. Published

    Workbook on Cointegration

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

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

  151. 1997
  152. 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

  153. 1996
  154. 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

  155. 1995
  156. 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

  157. 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

  158. 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

  159. 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

  160. 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

  161. 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

  162. 1994
  163. Published

    A Likelihood Analysis of The I(2) Model

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

    Research output: Working paper › Research

  164. 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

  165. 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

  166. 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

  167. Published

    Testing Rational Expectations in Vector Autoregressive Models

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

    Research output: Working paper › Research

  168. Published

    The Role of Ancillarity in Inference for Non-Stationary Variables

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

    Research output: Working paper › Research

  169. 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

  170. 1993
  171. Published

    Likelihood based inference for cointegration of non stationary time series

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

    Research output: Working paper › Research

  172. Published

    Recursive Estimation in Cointegrated VAR-Models

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

    Research output: Working paper › Research

  173. 1992
  174. 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

  175. 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

  176. 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

  177. 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

  178. 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

  179. Published

    Identifying Restrictions of Linear Equations

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

    Research output: Working paper › Research

  180. 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

  181. 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

  182. 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

  183. 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

  184. 1991
  185. Published

    A Statistical Analysis of Cointegration for I(2) Variables

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

    Research output: Working paper › Research

  186. 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

  187. 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

  188. Published

    Determination of Cointegration Rank in the Presence of Linear Trend

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

    Research output: Working paper › Research

  189. Published

    Estimating Systems of Trending Variables

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

    Research output: Working paper › Research

  190. 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

  191. 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

  192. 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

  193. 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

  194. 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

  195. 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

  196. 1990
  197. 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

  198. 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

  199. 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

  200. 1988
  201. 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

  202. 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

  203. 1987
  204. 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

  205. 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

ID: 8722