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.

 

Selected publications

1. 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. 131-52

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

2. Published

   A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model

   Johansen, Søren, 2002, In: Econometrica. 70, p. 1929-1961 33 p.

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

3. 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

4. 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

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