Søren Johansen
Professor emeritus
Økonomisk Institut
Øster Farimagsgade 5
1353 København K
- Udgivet
Corrigendum: Analysis of the forward search using some new results for martingales and empirical processes
Berenguer-Rico, V., Johansen, Søren & Nielsen, B., nov. 2019, I: Bernoulli. 25, 4A, s. 3201Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
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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
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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
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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
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A model where the least trimmed squares estimator is maximum likelihood
Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 2023, I: Journal of The Royal Statistical Society Series B-statistical Methodology. 85, 3, s. 886-912Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
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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. (red.). Oxford University Press, s. 200-212 12 s.Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning
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Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
Franchi, M. & Johansen, Søren, 14 jun. 2017, I: Econometrics. 5, 2, s. 1-20 20 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- 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
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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
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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
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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
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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
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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
Some tests for parameter constancy in cointegrated VAR-models
Hansen, Henrik & Johansen, Søren, 1999, I: Econometrics Journal. 2, 2, s. 306-333 28 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- Udgivet
Recursive Estimation in Cointegrated VAR-Models
Hansen, Henrik & Johansen, Søren, 1992, Institute of Economics, University of Copenhagen, 20 s.Publikation: Working paper › Forskning
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Asymptotic inference on cointegrating rank in partial systems
Harbo, I. S., Johansen, Søren, Nielsen, B. & Rahbek, Anders, 1998, I: Journal of Business and Economic Statistics. 16, s. 388-399Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
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Model Discovery and Trygve Haavelmo's Legacy
Hendry, D. & Johansen, Søren, 2015, I: Econometric Theory. 31, 1, s. 93-114 22 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
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Automatic selection of indicators in a fully saturated regression
Hendry, D. F., Johansen, Søren & Santos, C., 2008, I: Computational Statistics. 23, 2, s. 317-335 19 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
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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
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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
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Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature
Hillebrand, E., Johansen, Søren & Schmith, T., dec. 2020, I: Econometrics. 8, 4, 19 s., 41.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- 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
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Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
Hoover, K. D., Johansen, Søren & Juselius, Katarina, 2008, I: American Economic Review (Print Edition). 2 (Papers & Proceedings), s. 251–255 5 s.Publikation: Bidrag til tidsskrift › Konferenceartikel
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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
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Globally convergent algorithms for maximizing a likelihood function
Jensen, S. T., Johansen, Søren & Lauritzen, S. L., 1991, I: Biometrika. 78, 4, s. 867-77Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
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Globally Convergent Algorithms for Maximizing Likelihood Function
Jensen, S. T., Johansen, Søren & Lauritzen, Steffen, 1991, I: Biometrika. 78, 4, s. 867-877 11 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- 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
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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. (red.). England: Elgar, s. 229-248Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning
- Udgivet
Determination of Cointegration Rank in the Presence of Linear Trend
Johansen, Søren, 1991, Københavns Universitet, s. 15.Publikation: Working paper › Forskning
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Cointegration analysis in the presence of structural breaks in the deterministic trend
Johansen, Søren, Nielsen, B. & Mosconi, R., 2000, I: Econometrics Journal. 3, 2, s. 216-249 34 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- Udgivet
An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data
Johansen, Søren & Juselius, Katarina, 2014, I: Journal of Econometrics. 178, Part 2, s. 310-315 6 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- 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
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Estimating Systems of Trending Variables
Johansen, Søren, 1994, I: Econometric Reviews. 13, 3, s. 351-386Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- Udgivet
Statistical Analysis of Cointegration Vectors.
Johansen, Søren, 1988, I: Journal of Economic Dynamics and Control. 12, s. 231-254 24 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- Udgivet
Estimation of Proportional Covariances.
Johansen, Søren & Tolver Jensen, S., 1987, I: Statistics & Probability Letters. 6, s. 83-85 3 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- Udgivet
The Mathematical Structure of Error Correction Models
Johansen, Søren, 1988, I: Contemporary Mathematics. 80, s. 359--386 28 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- 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
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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. (red.). Edward Elgar Publishing, s. 512-553Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning
- Udgivet
Likelihood-based inference in cointegrated vector auto-regressive models
Johansen, Søren, 1995, Great Britain: Oxford University Press. 267 s.Publikation: Bog/antologi/afhandling/rapport › Bog › fagfællebedømt
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Likelihood Based Inference for Cointegration of Non-Stationary Time Series
Johansen, Søren, Cox, D. R. (red.), Barndorff-Nielsen, O. E. (red.) & Hinkley, D. (red.), 1996, Likelihood, Time Series with Econometric and other Applications. Cox, D. R., Hinkley, D. & Barndorff-Nielsen, O. E. (red.). Taylor & FrancisPublikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning
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The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables
Johansen, Søren, 1994, I: Econometric Reviews. 13, 2, s. 205-229Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
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Likelihood analysis of the I(2) model
Johansen, Søren, 1997, I: Scandinavian Journal of Statistics. 24, 4, s. 433-462 30 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- Udgivet
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. (red.). Cheltenham, UK: Edward Elgar Publishing, s. 115-131 16 s.Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Formidling
- Udgivet
Least squares estimation in a simple random coefficient autoregressive model
Johansen, Søren & Lange, Theis, apr. 2013, I: Journal of Econometrics. 177, 2, s. 285-288 4 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, Søren, 1991, I: Econometrica. 59, 6, s. 1551-80Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
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Test for cointegration rank in partial systems
Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, s. 32.Publikation: Working paper › Forskning
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Times Series: Cointegration
Johansen, Søren, 2015, International Encyclopedia of the Social & Behavioral Sciences. Wright, J. D. (red.). 2 udg. Oxford: Elsevier, Bind 24. s. 322--330 9 s.Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Formidling
- Udgivet
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. (red.). Oxford: Oxford University Press, s. 121-143Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning
- Udgivet
Determination of Cointegration Rank in the Presense of a Linear Trend
Johansen, Søren, 1992, I: Oxford Bulletin of Economics and Statistics. 54, 3, s. 384-97Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- Udgivet
The Role of the Constant Term in Cointegration Analysis of Nonstationary Variables
Johansen, Søren, 1992, Københavns Universitet, s. 26.Publikation: Working paper › Forskning
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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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