Søren Johansen
Professor emeritus
Økonomisk Institut
Øster Farimagsgade 5
1353 København K
- 2019
- 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
- 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
- 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
- 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
- 2018
- 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
- 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
- 2017
- 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
- 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
- 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
- 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
- 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
- 2016
- 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
- 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
- 2015
- 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
- 2014
- 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
- 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
- 2013
- 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
- 2012
- 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
- 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
- 2011
- 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
- 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
- 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
- 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
- 2010
- 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
- Udgivet
An Extension of Cointegration to Fractional Autoregressive Processes
Johansen, Søren, 2010, Department of Economics, University of Copenhagen, 15 s.Publikation: Working paper › Forskning
ID: 8722
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A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
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A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
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Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
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