Søren Johansen

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

   Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning

2. 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

3. 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. 512-553

   Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning

4. 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

5. 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