Søren Johansen

Søren Johansen

Professor, emeritus

ORCID: 0000-0002-9285-8236

Publication year:
All
1 - 50 out of 170Page size: 50
Sort by: 1st author
  1. Published

    Corrigendum: Analysis of the forward search using some new results for martingales and empirical processes

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., Nov 2019, In: Bernoulli. 25, 4A, p. 3201

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

  2. Published

    The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 28 May 2019, 30 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-05).

    Research output: Working paper › Research

  3. Published

    Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 18 Jun 2019, 22 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-09).

    Research output: Working paper › Research

  4. Published

    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 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-11).

    Research output: Working paper › Research

  5. Published

    A model where the least trimmed squares estimator is maximum likelihood

    Berenguer-Rico, V., Johansen, Søren & Nielsen, B., 2023, In: Journal of The Royal Statistical Society Series B-statistical Methodology. 85, 3, p. 886-912

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

  6. 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

  7. Published

    Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles

    Franchi, M. & Johansen, Søren, 14 Jun 2017, In: Econometrics. 5, 2, p. 1-20 20 p.

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

  8. Published

    Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles

    Franchi, M. & Johansen, Søren, 2017, 19 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-09).

    Research output: Working paper › Research

  9. Published

    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 p.

    Research output: Working paper › Research

  10. Published

    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 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 19-02).

    Research output: Working paper › Research

  11. Published

    The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

    Frydman, R., Johansen, Søren, Rahbek, Anders & Tabor, M. N., 2017, 38 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-10). (Institute for New Economic Thinking Working Paper Series; No. 59).

    Research output: Working paper › Research

  12. Published

    The role of cointegration for optimal hedging with heteroscedastic error term

    Gatarek, L. & Johansen, Søren, 2017, 18 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 17-03).

    Research output: Working paper › Research

  13. Published

    Optimal hedging with the cointegrated vector autoregressive model

    Gatarek, L. & Johansen, Søren, 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 11 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 22, Vol. 2014).

    Research output: Working paper › Research

  14. 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

  15. Published

    Recursive Estimation in Cointegrated VAR-Models

    Hansen, Henrik & Johansen, Søren, 1992, Institute of Economics, University of Copenhagen, 20 p.

    Research output: Working paper › Research

  16. 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. 388-399

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

  17. Published

    Model Discovery and Trygve Haavelmo's Legacy

    Hendry, D. & Johansen, Søren, 2015, In: Econometric Theory. 31, 1, p. 93-114 22 p.

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

  18. Published

    Automatic selection of indicators in a fully saturated regression

    Hendry, D. F., Johansen, Søren & Santos, C., 2008, In: Computational Statistics. 23, 2, p. 317-335 19 p.

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

  19. Published

    Selecting a Regression Saturated by Indicators

    Hendry, D. F., Johansen, Søren & Santos, C., 2007, Department of Economics, University of Copenhagen, 17 p.

    Research output: Working paper › Research

  20. Published

    The Properties of Model Selection when Retaining Theory Variables

    Hendry, D. F. & Johansen, Søren, 2011, Department of Economics, University of Copenhagen, 4 p.

    Research output: Working paper › Research

  21. Published

    Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature

    Hillebrand, E., Johansen, Søren & Schmith, T., Dec 2020, In: Econometrics. 8, 4, 19 p., 41.

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

  22. Published

    Data Revisions and the Statistical Relation of Global Mean Sea-Level and Temperature

    Hillebrand, E. T., Johansen, Søren & Schmith, T., 2015, 14 p. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); No. 9, Vol. 2015).

    Research output: Working paper › Research

  23. Published

    Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression

    Hoover, K. D., Johansen, Søren & Juselius, Katarina, 2008, In: American Economic Review (Print Edition). 2 (Papers & Proceedings), p. 251–255 5 p.

    Research output: Contribution to journal › Conference article › Research

  24. Published

    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 p.

    Research output: Working paper › Research

  25. Published

    Globally convergent algorithms for maximizing a likelihood function

    Jensen, S. T., Johansen, Søren & Lauritzen, S. L., 1991, In: Biometrika. 78, 4, p. 867-77

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

  26. 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

  27. Published

    Some Econometric Results for the Blanchard-Watson Bubble Model

    Johansen, Søren & Lange, Theis, 2011, Department of Economics, University of Copenhagen, 9 p.

    Research output: Working paper › Research

  28. 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. 229-248

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

Previous 1 2 3 4 Next

ID: 8722