Søren Johansen

Søren Johansen

Professor, emeritus

ORCID: 0000-0002-9285-8236

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  1. Published

    Asymptotic analysis of the Forward Search

    Johansen, Søren & Nielsen, B., 2013, Kbh.: Økonomisk institut, Københavns Universitet, 39 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 1, Vol. 13).

    Research output: Working paper › Research

  2. Published

    'The variance of the estimated roots in a cointegrated vector autoregressive model

    Johansen, Søren, 2003, In: Journal of Time Series Analysis. 24, 6, p. 663-678

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. Published

    A Necessary Moment Condition for the Fractional Functional Central Limit Theorem

    Johansen, Søren & Nielsen, M. Ø., 2010, Department of Economics, University of Copenhagen, 8 p.

    Research output: Working paper › Research

  4. Published

    Outlier detection in regression using an iterated one-step approximation to the Huber-skip estimator

    Johansen, Søren & Nielsen, B., 2013, In: Econometrics. 1, 1, p. 53-70 18 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  5. Published

    Likelihood inference for a fractionally cointegrated vector autoregressive model

    Johansen, Søren & Ørregård Nielsen, M., Nov 2012, In: Econometrica. 80, 6, p. 2667-2732 66 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  6. Published

    Some Identification Problems in the Cointegrated Vector Autoregressive Model

    Johansen, Søren, 2010, In: Journal of Econometrics. 158, 2, p. 262-273 12 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  7. Published

    Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models

    Johansen, Søren & Nielsen, B., Jun 2016, In: Scandinavian Journal of Statistics. 43, 2, p. 321-348 28 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  8. Published

    Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

    Johansen, Søren & Nielsen, B., 2010, Department of Economics, University of Copenhagen, 13 p.

    Research output: Working paper › Research

  9. Published

    Rejoinder: Asymptotic theory of outlier detection algorithms for linear time series regression models

    Johansen, Søren & Nielsen, B., 15 Jun 2016, In: Scandinavian Journal of Statistics. 43, 2, p. 374-381 8 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  10. Published

    The cointegrated vector autoregressive model with general deterministic terms

    Johansen, Søren & Nielsen, M. Ø., 2016, 28 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 16-07).

    Research output: Working paper › Research

  11. Published

    THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

    Johansen, Søren & Nielsen, M. Ø., 11 May 2015, In: Econometric Theory. 32, p. 1095-1139 45 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  12. Published

    Discussion: The Forward Search: Theory and Data Analysis

    Johansen, Søren & Nielsen, B., 2010, In: Journal of the Korean Statistical Society. 39, 2, p. 137-145 9 p.

    Research output: Contribution to journal › Comment/debate › Research

  13. Published

    Cointegration: Overview and Development

    Johansen, Søren, 2009, Handbook of Financial Time Series. Andersen, T. G., Kreiss, J-P., Davis, R. A. & Mikosch, T. (eds.). Springer, p. 671-693 23 p.

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  14. Published

    Cointegration; a survey

    Johansen, Søren, 2004, Palgrave Handbook of Econometrics: Volume 1. Bind 1, Chapter 15 ed. Palgrave Macmillan: Palgrave Macmillan, p. 1-37

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  15. Published

    An analysis of the indicator saturation estimator as a robust regression estimator

    Johansen, Søren & Nielsen, B., 2009, The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Shepard, N. & Castle, J. (eds.). Oxford: Oxford University Press, p. 1-36 36 p.

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  16. Published

    A Likelihood Analysis of The I(2) Model

    Johansen, Søren, 1994, København, p. 26.

    Research output: Working paper › Research

  17. Published

    Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate

    Johansen, Søren, Juselius, Katarina, Frydman, R. & Goldberg, M., 2007, Department of Economics, University of Copenhagen, 33 p.

    Research output: Working paper › Research

  18. Published

    Identification of the Long-Run and the Short-Run Structure. An Application to the ISLM Model

    Johansen, Søren & Juselius, Katarina, 1992, Københavns Universitet, p. 35.

    Research output: Working paper › Research

  19. 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. 428-430

    Research output: Contribution to journal › Journal article › Research › peer-review

  20. Published

    Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

    Johansen, Søren & Nielsen, M. Ø., 2010, Department of Economics, University of Copenhagen, 41 p.

    Research output: Working paper › Research

  21. Published

    A Statistical Analysis of Cointegration for I(2) Variables

    Johansen, Søren, 1991, Københavns Universitet, p. 26.

    Research output: Working paper › Research

  22. 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

  23. Published

    Statistical analysis of hypotheses on the cointegrating relations in the I(2) model

    Johansen, Søren, 2006, In: Journal of Econometrics. 132, p. 81-115

    Research output: Contribution to journal › Journal article › Research › peer-review

  24. Published

    WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION

    Johansen, Søren & Nielsen, M. Ø., 2024, In: Econometric Theory. p. 1-16

    Research output: Contribution to journal › Journal article › Research › peer-review

  25. Published

    Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models

    Johansen, Søren & Tabor, M. N., 22 Aug 2017, In: Econometrics. 5, 3, p. 1-15 15 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  26. Published

    Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models

    Johansen, Søren, 10 Jan 2019, In: Econometrics. 7, 1, 10 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  27. Published

    Testing Weak Exogeneity and the Order of Cointegration in the UK Money Demand Data

    Johansen, Søren, 2005, General-to-Specific Modelling, Vol II. Campos, J., Ericsson, N. & Hendry, D. (eds.). Edward Elgar Publishing, p. 589-610

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  28. Published

    The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level

    Johansen, Søren, 2010, Department of Economics, University of Copenhagen, 26 p.

    Research output: Working paper › Research

  29. Published

    Determination of Cointegration Rank in the Presence of Linear Trend

    Johansen, Søren, 1991, Københavns Universitet, p. 15.

    Research output: Working paper › Research

  30. Published

    Cointegration analysis in the presence of structural breaks in the deterministic trend

    Johansen, Søren, Nielsen, B. & Mosconi, R., 2000, In: Econometrics Journal. 3, 2, p. 216-249 34 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  31. Published

    An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data

    Johansen, Søren & Juselius, Katarina, 2014, In: Journal of Econometrics. 178, Part 2, p. 310-315 6 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  32. 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 › Research

  33. Published

    Estimating Systems of Trending Variables

    Johansen, Søren, 1994, In: Econometric Reviews. 13, 3, p. 351-386

    Research output: Contribution to journal › Journal article › Research › peer-review

  34. 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

  35. 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

  36. 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

  37. Published

    More on testing exact rational expectations in vector autoregressive models: Restricted drift term

    Johansen, Søren & Swensen, A. R., 2003, Københavns Universitet, p. 1-11.

    Research output: Working paper › Research

  38. Published

    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. (eds.). Edward Elgar Publishing, p. 512-553

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  39. 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

  40. 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 & Francis

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  41. Published

    The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables

    Johansen, Søren, 1994, In: Econometric Reviews. 13, 2, p. 205-229

    Research output: Contribution to journal › Journal article › Research › peer-review

  42. 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

  43. Published

    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. (eds.). Cheltenham, UK: Edward Elgar Publishing, p. 115-131 16 p.

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Communication

  44. Published

    Least squares estimation in a simple random coefficient autoregressive model

    Johansen, Søren & Lange, Theis, Apr 2013, In: Journal of Econometrics. 177, 2, p. 285-288 4 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  45. Published

    Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

    Johansen, Søren, 1991, In: Econometrica. 59, 6, p. 1551-80

    Research output: Contribution to journal › Journal article › Research › peer-review

  46. Published

    Test for cointegration rank in partial systems

    Johansen, Søren, Harboe, I., Nielsen, B. & Rahbek, Anders, 1995, København, p. 32.

    Research output: Working paper › Research

  47. Published

    Times Series: Cointegration

    Johansen, Søren, 2015, International Encyclopedia of the Social & Behavioral Sciences. Wright, J. D. (ed.). 2 ed. Oxford: Elsevier, Vol. 24. p. 322--330 9 p.

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Communication

  48. 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. 121-143

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  49. 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. 384-97

    Research output: Contribution to journal › Journal article › Research › peer-review

  50. Published

    The Role of the Constant Term in Cointegration Analysis of Nonstationary Variables

    Johansen, Søren, 1992, Københavns Universitet, p. 26.

    Research output: Working paper › Research

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