Søren Johansen
Professor, emeritus
Department of Economics
Øster Farimagsgade 5
1353 København K
- 1987
- Published
Estimation of Proportional Covariances.
Johansen, Søren & Tolver Jensen, S., 1987, In: Statistics & Probability Letters. 6, p. 83-85 3 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Asymptotic Properties of the Cornish-Bowden Eisenthal Median Estimator.
Johansen, Søren & Dalgaard, P., 1987, In: Journal of Statistical Planning and Inference. 15, p. 279-299 21 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 1988
- Published
Statistical Analysis of Cointegration Vectors.
Johansen, Søren, 1988, In: Journal of Economic Dynamics and Control. 12, p. 231-254 24 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Mathematical Structure of Error Correction Models
Johansen, Søren, 1988, In: Contemporary Mathematics. 80, p. 359--386 28 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 1990
- Published
A Survey of Product-Integration with a View Towards Applications in Survival Analysis.
Johansen, Søren & Gill, R. D., 1990, In: Annals of Statistics. 18, p. 1501-1555 55 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Hotelling's Theorem on the Volume of Tubes: some Illustrations in Simultaneous Inference and Data Analysis.
Johansen, Søren & Johnstone, I., 1990, In: Annals of Statistics. 2, p. 652-684 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Maximum Likelihood Estimation and Inference on Cointegration — with Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics 52, 169–210 (1990). (With K. Juselius)
Johansen, Søren & Juselius, Katarina, 1990, In: Oxford Bulletin of Economics and Statistics. 52, p. 169-210 42 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 1991
- Published
A Statistical Analysis of Cointegration for I(2) Variables
Johansen, Søren, 1991, Københavns Universitet, p. 26.Research output: Working paper
- Published
An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and USA
Johansen, Søren, 1991, København, Kbh.Univ., p. 25.Research output: Working paper
- Published
Comments on E.E. Leamer: A Baysian perspective in inference from macroeconomic data
Johansen, Søren, 1991, In: Scandinavian Journal of Economics. 93, p. 249-51Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Determination of Cointegration Rank in the Presence of Linear Trend
Johansen, Søren, 1991, Københavns Universitet, p. 15.Research output: Working paper
- Published
Estimating Systems of Trending Variables
Johansen, Søren, 1991, Københavns Univiversitet, p. 35.Research output: Working paper
- Published
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Johansen, Søren, 1991, In: Econometrica. 59, 6, p. 1551-80Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Globally Convergent Algorithms for Maximizing Likelihood Function
Jensen, S. T., Johansen, Søren & Lauritzen, Steffen, 1991, In: Biometrika. 78, 4, p. 867-877 11 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Globally convergent algorithms for maximizing a likelihood function
Jensen, S. T., Johansen, Søren & Lauritzen, S. L., 1991, In: Biometrika. 78, 4, p. 867-77Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Statistical Analysis of Cointegration Vectors
Johansen, Søren, 1991, Long-Run Economic Relationships-Readings in Cointegration. Granger, C. & Engle, R. (eds.). Oxford University Press, p. 131-52Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data
Johansen, Søren, 1991, Københavns Universitet, p. 31.Research output: Working paper
- Published
The Power Function of the Likelihood Ratio Test for Cointegration
Johansen, Søren, 1991, Econometric Decision Models: New Methods of Modeling and Applications: Proceedings of the 2nd International Conference on Econometric Decision Models. Gruber, J. (ed.). Springer, p. 324-335 23 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- 1992
- Published
A Representation of Vector Autoregressive Processes Integrated of Order 2.
Johansen, Søren, 1992, In: Econometric Theory. 8, p. 188-202Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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. (ed.). England: Elgar, p. 229-248Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Cointegration in partial systems and the efficiency of single-equation analysis
Johansen, Søren, 1992, In: Journal of Econometrics. 52, p. 389-402Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Determination of Cointegration Rank in the Presense of a Linear Trend
Johansen, Søren, 1992, In: Oxford Bulletin of Economics and Statistics. 54, 3, p. 384-97Research output: Contribution to journal › Journal article › Research › peer-review
- Published
- Published
Identifying Restrictions of Linear Equations
Johansen, Søren, 1992, København, p. 18.Research output: Working paper
- Published
Recursive Estimation in Cointegrated VAR-Models
Hansen, Henrik & Johansen, Søren, 1992, Institute of Economics, University of Copenhagen, 20 p.Research output: Working paper
- Published
Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK
Johansen, Søren & Juselius, Katarina, 1992, In: Journal of Econometrics. 53, 1-3, p. 211-244Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data
Johansen, Søren, 1992, In: Journal of Policy Modeling. 14, 3, p. 313-334Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Role of the Constant Term in Cointegration Analysis of Nonstationary Variables
Johansen, Søren, 1992, Københavns Universitet, p. 26.Research output: Working paper
- 1993
- Published
Likelihood based inference for cointegration of non stationary time series
Johansen, Søren, 1993, København, p. 30.Research output: Working paper
- Published
Recursive Estimation in Cointegrated VAR-Models
Johansen, Søren & Hansen, Henrik, 1993, København, p. 20.Research output: Working paper
- 1994
- Published
A Likelihood Analysis of The I(2) Model
Johansen, Søren, 1994, København, p. 26.Research output: Working paper
- Published
Estimating Systems of Trending Variables
Johansen, Søren, 1994, In: Econometric Reviews. 13, 3, p. 351-386Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Identification of the long-run and the short-run structure: an application to the ISLM model
Johansen, Søren & Juselius, Katarina, 1994, In: Journal of Econometrics. 63, 1, p. 7-36Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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. (eds.). Oxford: Oxford University Press, p. 121-143Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Testing Rational Expectations in Vector Autoregressive Models
Johansen, Søren & Swensen, A. R., 1994, Copenhagen, p. 12.Research output: Working paper
- Published
The Role of Ancillarity in Inference for Non-Stationary Variables
Johansen, Søren, 1994, København, p. 21.Research output: Working paper
- Published
The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables
Johansen, Søren, 1994, In: Econometric Reviews. 13, 2, p. 205-229Research output: Contribution to journal › Journal article › Research › peer-review
- 1995
- Published
A Statistical Analysis of Cointegration for I(2) Variables
Johansen, Søren, 1995, In: Econometric Theory. 11, 1, p. 25-59 35 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Diskussion of Tong, H.: A personal overview of non-linear time series analysis from a chaos perspective
Johansen, Søren, 1995, In: Scandinavian Journal of Statistics. 22, p. 428-430Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
Johansen, Søren, 1995, In: Journal of Econometrics. 69, 1, p. 111-132Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Likelihood-based inference in cointegrated vector auto-regressive models
Johansen, Søren, 1995, Great Britain: Oxford University Press. 267 p.Research output: Book/Report › Book › Research › peer-review
- Published
Test for cointegration rank in partial systems
Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, p. 32.Research output: Working paper
- Published
The Role of Ancillarity in Inference for Non-stationary Variables
Johansen, Søren, 1995, In: Economic Journal. 105, 429, p. 302-320Research output: Contribution to journal › Journal article › Research › peer-review
- 1996
- Published
Likelihood Based Inference for Cointegration of Non-Stationary Time Series
Johansen, Søren, Cox, D. R. (ed.), Barndorff-Nielsen, O. E. (ed.) & Hinkley, D. (ed.), 1996, Likelihood, Time Series with Econometric and other Applications. Cox, D. R., Hinkley, D. & Barndorff-Nielsen, O. E. (eds.). Taylor & FrancisResearch output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- 1997
- Published
Likelihood analysis of the I(2) model
Johansen, Søren, 1997, In: Scandinavian Journal of Statistics. 24, 4, p. 433-462 30 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 1998
- Published
Asymptotic inference on cointegrating rank in partial systems
Harbo, I. S., Johansen, Søren, Nielsen, B. & Rahbek, Anders, 1998, In: Journal of Business and Economic Statistics. 16, p. 388-399Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Workbook on Cointegration
Johansen, Søren & Hansen, P. R., 1998, Oxford University Press. 176 p.Research output: Book/Report › Book › Research › peer-review
- 1999
- Published
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. (eds.). Oxford University Press, p. 200-212 12 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Likelihood Analysis of Seasonal Cointegration
Johansen, Søren & Schaumburg, E., 1999, In: Journal of Econometrics. 88, 2, p. 301-339 39 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Some tests for parameter constancy in cointegrated VAR-models
Hansen, Henrik & Johansen, Søren, 1999, In: Econometrics Journal. 2, 2, p. 306-333 28 p.Research output: Contribution to journal › Journal article › Research › peer-review
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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