Videnskabeligt Personale – Københavns Universitet

Videresend til en ven Resize Print Bookmark and Share

Økonomisk Institut > Ansatte > Videnskabeligt Personale

Søren Johansen

Søren Johansen


Research Fields: Econometrics, mathematical statistics and probability theory, time series analysis, including  cointegration and its applications, fractional processes, outlier detection, robust statistics. 

Research groups: I am currently not a member of any research groups

Most essential academic contribution: My most influential work is related to cointegration of economic time series, which has had an impact on theory and practice in the application and analysis of macro economic time series. In collaboration with Katarina Juselius we have developed the theory and applications of these concepts and methods in the framework of the vector autoregressive model. The methods have widespread use in academia and applied macro economics.

Primære forskningsområder

Mathematical statistics and probability theory

Analysis of time series, in particular cointegration

Aktuel forskning



The statistical theory for outlier detection, robust inference, inference in the cointegrated vector autoregressive model, fractional processes

Undervisnings- og vejledningsområder

I do not have any systematic teaching and supervision responsibilities

Udvalgte publikationer

  1. Udgivet

    Statistical Analysis of Cointegration Vectors

    Johansen, S. 1991 Long-Run Economic Relationships-Readings in Cointegration. Granger, C. & Engle, R. (red.). Oxford University Press, s. 131-52

    Publikation: ForskningBidrag til bog/antologi

  2. Udgivet

    A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model

    Johansen, S. 2002 I : Econometrica. 70, s. 1929-1961 33 s.

    Publikation: Forskning - peer reviewTidsskriftartikel

  3. Udgivet

    Maximum Likelihood Estimation and Inference on Cointegration -with Applications to the Demand for Money

    Johansen, S. & Juselius, K. 2005 General-to-SpecificModelling, Vol I. Campos, J., Ericsson, N. & Hendry, D. (red.). Edward Elgar Publishing, Incorporated, s. 512-553

    Publikation: ForskningBidrag til bog/antologi

  4. Udgivet

    Likelihood-based inference in cointegrated vector auto-regressive models

    Johansen, S. 1995 Great Britain: Oxford University Press. 267 s.

    Publikation: Forskning - peer reviewBog

  5. Udgivet

    Likelihood inference for a fractionally cointegrated vector autoregressive model

    Johansen, S. & Ørregård Nielsen, M. nov. 2012 I : Econometrica. 80, 6, s. 2667-2732 66 s.

    Publikation: Forskning - peer reviewTidsskriftartikel

ID: 8722