Søren Johansen
Professor emeritus
Økonomisk Institut
Øster Farimagsgade 5
1353 København K
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
- Udgivet
Statistical Analysis of Cointegration Vectors
Johansen, Søren, 1991, Long-Run Economic Relationships-Readings in Cointegration. Granger, C. & Engle, R. (red.). Oxford University Press, s. 131-52Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning
- Udgivet
A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model
Johansen, Søren, 2002, I: Econometrica. 70, s. 1929-1961 33 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
- Udgivet
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 › Forskning › fagfællebedømt
- Udgivet
Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren & Ørregård Nielsen, M., nov. 2012, I: Econometrica. 80, 6, s. 2667-2732 66 s.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › fagfællebedømt
ID: 8722
Flest downloads
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3545
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A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
Publikation: Working paper › Forskning
Udgivet -
3522
downloads
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
Publikation: Working paper › Forskning
Udgivet -
3242
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Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
Publikation: Working paper › Forskning
Udgivet