Søren Johansen

Søren Johansen

Professor emeritus

ORCID: 0000-0002-9285-8236

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  1. 2019
  2. Udgivet

    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 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-11).

    Publikation: Working paper › Forskning

  3. Udgivet

    Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 18 jun. 2019, 22 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-09).

    Publikation: Working paper › Forskning

  4. Udgivet

    The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 28 maj 2019, 30 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-05).

    Publikation: Working paper › Forskning

  5. Udgivet

    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 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-02).

    Publikation: Working paper › Forskning

  6. 2018
  7. Udgivet

    Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models

    Johansen, Søren, 29 maj 2018, 9 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18-05).

    Publikation: Working paper › Forskning

  8. Udgivet

    Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

    Johansen, Søren & Nielsen, M. Ø., 29 maj 2018, 27 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18-04).

    Publikation: Working paper › Forskning

  9. 2017
  10. Udgivet

    Cointegration between trends and their estimators in state space models and CVAR models

    Johansen, Søren & Tabor, M. N., 2017, 13 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-02).

    Publikation: Working paper › Forskning

  11. Udgivet

    Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles

    Franchi, M. & Johansen, Søren, 2017, 19 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-09).

    Publikation: Working paper › Forskning

  12. Udgivet

    Testing the CVAR in the fractional CVAR model

    Johansen, Søren & Nielsen, M. Ø., 2017, 13 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-23).

    Publikation: Working paper › Forskning

  13. Udgivet

    The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

    Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 2017, 38 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-10). (Institute for New Economic Thinking Working Paper Series; Nr. 59).

    Publikation: Working paper › Forskning

  14. Udgivet

    The role of cointegration for optimal hedging with heteroscedastic error term

    Gatarek, L. & Johansen, Søren, 2017, 18 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-03).

    Publikation: Working paper › Forskning

  15. 2016
  16. Udgivet

    The cointegrated vector autoregressive model with general deterministic terms

    Johansen, Søren & Nielsen, M. Ø., 2016, 28 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 16-07).

    Publikation: Working paper › Forskning

  17. Udgivet

    Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series

    Johansen, Søren & Nielsen, B., 2016, 21 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 16-05).

    Publikation: Working paper › Forskning

  18. 2015
  19. Udgivet

    Data Revisions and the Statistical Relation of Global Mean Sea-Level and Temperature

    Hillebrand, E. T., Johansen, Søren & Schmith, T., 2015, 14 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 9, Bind 2015).

    Publikation: Working paper › Forskning

  20. 2014
  21. Udgivet

    Optimal hedging with the cointegrated vector autoregressive model

    Gatarek, L. & Johansen, Søren, 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 11 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 22, Bind 2014).

    Publikation: Working paper › Forskning

  22. Udgivet

    Outlier detection algorithms for least squares time series regression

    Johansen, Søren & Nielsen, B., 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 39 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 23, Bind 2014).

    Publikation: Working paper › Forskning

  23. 2013
  24. Udgivet

    Asymptotic analysis of the Forward Search

    Johansen, Søren & Nielsen, B., 2013, Kbh.: Økonomisk institut, Københavns Universitet, 39 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 1, Bind 13).

    Publikation: Working paper › Forskning

  25. 2012
  26. Udgivet

    The Role of Initial Values in Nonstationary Fractional Time Series Models

    Johansen, Søren & Nielsen, M. Ø., 2012, Kbh.: Økonomisk institut, Københavns Universitet, 29 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18, Bind 12).

    Publikation: Working paper › Forskning

  27. Udgivet

    The Selection of ARIMA Models with or without Regressors

    Johansen, Søren, Riani, M. & Atkinson, A. C., 2012, Kbh.: Økonomisk institut, Københavns Universitet, 31 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17, Bind 12).

    Publikation: Working paper › Forskning

  28. 2011
  29. Udgivet

    Asymptotic Theory for Iterated One-Step Huber-Skip Estimators

    Johansen, Søren & Nielsen, B., 2011, Kbh.: Department of Economics, University of Copenhagen, 17 s.

    Publikation: Working paper › Forskning

  30. Udgivet

    Some Econometric Results for the Blanchard-Watson Bubble Model

    Johansen, Søren & Lange, Theis, 2011, Department of Economics, University of Copenhagen, 9 s.

    Publikation: Working paper › Forskning

  31. Udgivet

    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 s.

    Publikation: Working paper › Forskning

  32. Udgivet

    The Properties of Model Selection when Retaining Theory Variables

    Hendry, D. F. & Johansen, Søren, 2011, Department of Economics, University of Copenhagen, 4 s.

    Publikation: Working paper › Forskning

  33. 2010
  34. Udgivet

    A Necessary Moment Condition for the Fractional Functional Central Limit Theorem

    Johansen, Søren & Nielsen, M. Ø., 2010, Department of Economics, University of Copenhagen, 8 s.

    Publikation: Working paper › Forskning

  35. Udgivet

    An Extension of Cointegration to Fractional Autoregressive Processes

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

    Publikation: Working paper › Forskning

  36. Udgivet

    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 s.

    Publikation: Working paper › Forskning

  37. Udgivet

    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 s.

    Publikation: Working paper › Forskning

  38. Udgivet

    Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

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

    Publikation: Working paper › Forskning

  39. Udgivet

    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 s.

    Publikation: Working paper › Forskning

  40. 2009
  41. Udgivet

    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 s.

    Publikation: Working paper › Forskning

  42. 2008
  43. Udgivet

    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 s.

    Publikation: Working paper › Forskning

  44. Udgivet

    An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

    Johansen, Søren & Nielsen, B., 2008, Department of Economics, University of Copenhagen, 35 s.

    Publikation: Working paper › Forskning

  45. 2007
  46. Udgivet

    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 s.

    Publikation: Working paper › Forskning

  47. Udgivet

    Correlation, Regression, and Cointegration of Nonstationary Economic Time Series

    Johansen, Søren, 2007, Department of Economics, University of Copenhagen, 9 s.

    Publikation: Working paper › Forskning

  48. Udgivet

    Exact Rational Expectations, Cointegration, and Reduced Rank Regression

    Johansen, Søren & Swensen, A. R., 2007, Department of Economics, University of Copenhagen, 10 s.

    Publikation: Working paper › Forskning

  49. Udgivet

    Likelihood Inference for a Nonstationary Fractional Autoregressive Model

    Johansen, Søren & Nielsen, M. Ø., 2007, Department of Economics, University of Copenhagen, 45 s.

    Publikation: Working paper › Forskning

  50. Udgivet

    Selecting a Regression Saturated by Indicators

    Hendry, D. F., Johansen, Søren & Santos, C., 2007, Department of Economics, University of Copenhagen, 17 s.

    Publikation: Working paper › Forskning

  51. Udgivet

    Some Identification Problems in the Cointegrated Vector Autoregressive Model

    Johansen, Søren, 2007, Department of Economics, University of Copenhagen, 26 s.

    Publikation: Working paper › Forskning

  52. Udgivet

    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 s.

    Publikation: Working paper › Forskning

  53. 2006
  54. Udgivet

    Cointegration. Overview and Development

    Johansen, Søren, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, s. 1-22.

    Publikation: Working paper › Forskning

  55. 2005
  56. Udgivet

    A Representation Theory for a Class of Vector Autoregressive Models for Fractional Processes

    Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, s. 1-22.

    Publikation: Working paper › Forskning

  57. Udgivet

    Confronting the Economic Model with the Data

    Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, s. 1-13.

    Publikation: Working paper › Forskning

  58. Udgivet

    Extracting Information from the Data: A European View on Empirical Macro

    Johansen, Søren & Juselius, K., 2005, Department of Applied Mathematics and Statistics, s. 1-26.

    Publikation: Working paper › Forskning

  59. Udgivet

    Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

    Johansen, Søren, 2005, Department of Applied Mathematics and Statistics, s. 1-23.

    Publikation: Working paper › Forskning

  60. 2004
  61. Udgivet

    A Small Sample Correction of the Dickey-Fuller Test

    Johansen, Søren, 2004, Afdeling for Anvendt Matematek og Statistik / Københavns Universitet, s. 1-18.

    Publikation: Working paper › Forskning

  62. Udgivet

    Cointegration; An Overview

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

    Publikation: Working paper › Forskning

  63. 2003
  64. Udgivet

    More on testing exact rational expectations in vector autoregressive models: Restricted drift term

    Johansen, Søren & Swensen, A. R., 2003, Københavns Universitet, s. 1-11.

    Publikation: Working paper › Forskning

  65. 2002
  66. Udgivet

    A simulation study of some functionals of random walk

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

    Publikation: Working paper › Forskning

  67. Udgivet

    Statistical analysis of hypotheses on the cointegrating relations in the I(2) model

    Johansen, Søren, 2002, Københavns Universitet, s. 1-27.

    Publikation: Working paper › Forskning

  68. Udgivet

    The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model

    Johansen, Søren, 2002, Københavns Universitet, s. 1-11.

    Publikation: Working paper › Forskning

  69. 2001
  70. Udgivet

    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 s.

    Publikation: Working paper › Forskning

  71. 1995
  72. Udgivet

    Test for cointegration rank in partial systems

    Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, s. 32.

    Publikation: Working paper › Forskning

  73. 1994
  74. Udgivet

    A Likelihood Analysis of The I(2) Model

    Johansen, Søren, 1994, København, s. 26.

    Publikation: Working paper › Forskning

  75. Udgivet

    Testing Rational Expectations in Vector Autoregressive Models

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

    Publikation: Working paper › Forskning

  76. Udgivet

    The Role of Ancillarity in Inference for Non-Stationary Variables

    Johansen, Søren, 1994, København, s. 21.

    Publikation: Working paper › Forskning

  77. 1993
  78. Udgivet

    Likelihood based inference for cointegration of non stationary time series

    Johansen, Søren, 1993, København, s. 30.

    Publikation: Working paper › Forskning

  79. Udgivet

    Recursive Estimation in Cointegrated VAR-Models

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

    Publikation: Working paper › Forskning

  80. 1992
  81. Udgivet

    Identification of the Long-Run and the Short-Run Structure. An Application to the ISLM Model

    Johansen, Søren & Juselius, Katarina, 1992, Københavns Universitet, s. 35.

    Publikation: Working paper › Forskning

  82. Udgivet

    Identifying Restrictions of Linear Equations

    Johansen, Søren, 1992, København, s. 18.

    Publikation: Working paper › Forskning

  83. Udgivet

    Recursive Estimation in Cointegrated VAR-Models

    Hansen, Henrik & Johansen, Søren, 1992, Institute of Economics, University of Copenhagen, 20 s.

    Publikation: Working paper › Forskning

  84. Udgivet

    The Role of the Constant Term in Cointegration Analysis of Nonstationary Variables

    Johansen, Søren, 1992, Københavns Universitet, s. 26.

    Publikation: Working paper › Forskning

  85. 1991
  86. Udgivet

    A Statistical Analysis of Cointegration for I(2) Variables

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

    Publikation: Working paper › Forskning

  87. Udgivet

    An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and USA

    Johansen, Søren, 1991, København, Kbh.Univ., s. 25.

    Publikation: Working paper › Forskning

  88. Udgivet

    Determination of Cointegration Rank in the Presence of Linear Trend

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

    Publikation: Working paper › Forskning

  89. Udgivet

    Estimating Systems of Trending Variables

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

    Publikation: Working paper › Forskning

  90. Udgivet

    Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data

    Johansen, Søren, 1991, Københavns Universitet, s. 31.

    Publikation: Working paper › Forskning

ID: 8722