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My authors Follow this authorSoren Johansen
Personal Details
First Name: | Soren |
Middle Name: | |
Last Name: | Johansen |
Suffix: | |
RePEc Short-ID: | pjo35 |
[This author has chosen not to make the email address public] | |
https://www.econ.ku.dk/ansatte/emeriti/?pure=da/persons/34220 | |
Department of Economics University of Copenhagen Building 26 Øster Farimagsgade 5 DK-1353 Copenhagen K. Denmark | |
0045-35323071 | |
Terminal Degree: | 1974 (from RePEc Genealogy) |
Affiliation
(15%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Aarhus, Denmarkhttp://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)
(85%) Økonomisk Institut
Københavns Universitet
København, Denmarkhttp://www.econ.ku.dk/
RePEc:edi:okokudk (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- S{o}ren Johansen & Morten {O}rregaard Nielsen, 2022. "Weak convergence to derivatives of fractional Brownian motion," Papers 2208.02516, arXiv.org, revised Oct 2022.
- Søren Johansen & Anders Ryghn Swensen, 2021.
"Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models,"
CREATES Research Papers
2021-10, Department of Economics and Business Economics, Aarhus University.
- Soeren Johansen & Anders Rygh Swensen, 2021. "Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models," Discussion Papers 21-07, University of Copenhagen. Department of Economics.
- Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021. "Asset Prices Under Knightian Uncertainty," Working Papers Series inetwp172, Institute for New Economic Thinking.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019.
"The analysis of marked and weighted empirical processes of estimated residuals,"
CREATES Research Papers
2019-06, Department of Economics and Business Economics, Aarhus University.
- Vanessa Berenguer Rico & Bent Nielsen & Søren Johansen, 2019. "The analysis of marked and weighted empirical processes of estimated residuals," Economics Series Working Papers 870, University of Oxford, Department of Economics.
- Vanessa Berenguer-Rico & Soeren Johansen & Bent Nielsen, 2019. "The analysis of marked and weighted empirical processes of estimated residuals," Discussion Papers 19-05, University of Copenhagen. Department of Economics.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "The analysis of marked and weighted empirical processes of estimated residuals," Economics Papers 2019-W03, Economics Group, Nuffield College, University of Oxford.
- Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2019. "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes," Working Papers Series 92, Institute for New Economic Thinking.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019.
"Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood,"
CREATES Research Papers
2019-15, Department of Economics and Business Economics, Aarhus University.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," Economics Papers 2019-W05, Economics Group, Nuffield College, University of Oxford.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," Discussion Papers 19-11, University of Copenhagen. Department of Economics.
- Vanessa Berenguer Rico & Bent Nielsen & Søren Johansen, 2019. "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," Economics Series Working Papers 879, University of Oxford, Department of Economics.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019.
"Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals,"
CREATES Research Papers
2019-12, Department of Economics and Business Economics, Aarhus University.
- Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals," Economics Papers 2019-W04, Economics Group, Nuffield College, University of Oxford.
- Vanessa Berenguer Rico & Bent Nielsen & Søren Johansen, 2019. "Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals," Economics Series Working Papers 871, University of Oxford, Department of Economics.
- Vanessa Berenguer-Rico & Soeren Johansen & Bent Nielsen, 2019. "Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals," Discussion Papers 19-09, University of Copenhagen. Department of Economics.
- Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2019. "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes," Discussion Papers 19-02, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2018.
"Nonstationary cointegration in the fractionally cointegrated VAR model,"
CREATES Research Papers
2018-17, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Morten Ørregaard Nielsen, 2019. "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 519-543, July.
- Morten Ø. Nielsen & S Johansen, 2018. "Nonstationary Cointegration In The Fractionally Cointegrated Var Model," Working Paper 1405, Economics Department, Queen's University.
- Soeren Johansen & Morten Oerregaard Nielsen, 2018. "Nonstationary cointegration in the fractionally cointegrated VAR model," Discussion Papers 18-04, University of Copenhagen. Department of Economics.
- Soeren Johansen, 2018. "Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models," Discussion Papers 18-05, University of Copenhagen. Department of Economics.
- Massimo Franchi & Søren Johansen, 2017.
"Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles,"
CREATES Research Papers
2017-17, Department of Economics and Business Economics, Aarhus University.
- Massimo Franchi & Søren Johansen, 2017. "Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles," Econometrics, MDPI, vol. 5(2), pages 1-20, June.
- Massimo Franchi & Soeren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2017.
"Testing the CVAR in the fractional CVAR model,"
CREATES Research Papers
2017-37, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Morten Ørregaard Nielsen, 2018. "Testing the CVAR in the Fractional CVAR Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 836-849, November.
- Soeren Johansen & Morten Oeregaard Nielsen, 2017. "Testing the CVAR in the fractional CVAR model," Discussion Papers 17-23, University of Copenhagen. Department of Economics.
- Morten Ø. Nielsen & S Johansen, 2017. "Testing The Cvar In The Fractional Cvar Model," Working Paper 1394, Economics Department, Queen's University.
- Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2017.
"The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment,"
CREATES Research Papers
2017-23, Department of Economics and Business Economics, Aarhus University.
- Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2017. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment," Working Papers Series 59, Institute for New Economic Thinking.
- Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe, 2017. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations Of Market Forecasts, And Sentiment," Discussion Papers 17-10, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Nyboe Tabor, 2017.
"Cointegration between trends and their estimators in state space models and CVAR models,"
CREATES Research Papers
2017-11, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Morten Nyboe Tabor, 2017. "Cointegration between trends and their estimators in state space models and CVAR models," Discussion Papers 17-02, University of Copenhagen. Department of Economics.
- Lukasz Gatarek & Søren Johansen, 2017.
"The role of cointegration for optimal hedging with heteroscedastic error term,"
CREATES Research Papers
2017-12, Department of Economics and Business Economics, Aarhus University.
- Lukasz Gatarek & Soeren Johansen, 2017. "The role of cointegration for optimal hedging with heteroscedastic error term," Discussion Papers 17-03, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2016. "Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series," Discussion Papers 16-05, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2016.
"The cointegrated vector autoregressive model with general deterministic terms,"
CREATES Research Papers
2016-22, Department of Economics and Business Economics, Aarhus University.
- Johansen, Søren & Nielsen, Morten Ørregaard, 2018. "The cointegrated vector autoregressive model with general deterministic terms," Journal of Econometrics, Elsevier, vol. 202(2), pages 214-229.
- Morten Ø. Nielsen & S Johansen, 2016. "The Cointegrated Vector Autoregressive Model With General Deterministic Terms," Working Paper 1363, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2016. "The cointegrated vector autoregressive model with general deterministic terms," Discussion Papers 16-07, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2016. "Tightness of M-estimators for multiple linear regression in time series," CREATES Research Papers 2016-18, Department of Economics and Business Economics, Aarhus University.
- Eric Hillebrand & Søren Johansen & Torben Schmith, 2015.
"Data revisions and the statistical relation of global mean sea-level and temperature,"
CREATES Research Papers
2015-23, Department of Economics and Business Economics, Aarhus University.
- Eric Hillebrand & Søren Johansen & Torben Schmith, 2015. "Data Revisions And The Statistical Relation Of Global Mean Sea-Level And Temperature," Discussion Papers 15-09, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2014.
"Outlier detection algorithms for least squares time series regression,"
CREATES Research Papers
2014-39, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Bent Nielsen, 2014. "Outlier detection algorithms for least squares time series regression," Economics Papers 2014-W04, Economics Group, Nuffield College, University of Oxford.
- Søren Johansen, 2014.
"Times Series: Cointegration,"
CREATES Research Papers
2014-38, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen, 2014. "Times Series: Cointegration," Discussion Papers 14-24, University of Copenhagen. Department of Economics.
- Lukasz Gatarek & Søren Johansen, 2014. "Optimal Hedging with the Vector Autoregressive Model," Tinbergen Institute Discussion Papers 14-022/III, Tinbergen Institute.
- Søren Johansen & Lukasz Gatarek, 2014.
"Optimal hedging with the cointegrated vector autoregressive model,"
CREATES Research Papers
2014-40, Department of Economics and Business Economics, Aarhus University.
- Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-23, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2013.
"Asymptotic analysis of the Forward Search,"
CREATES Research Papers
2013-05, Department of Economics and Business Economics, Aarhus University.
- Bent Nielsen & Søren Johansen, 2013. "Asymptotic analysis of the Forward Search," Economics Papers 2013-W02, Economics Group, Nuffield College, University of Oxford.
- Søren Johansen & Bent Nielsen, 2013. "Asymptotic analysis of the Forward Search," Discussion Papers 13-01, University of Copenhagen. Department of Economics.
- David Hendry & Soren Johansen, 2012.
"Model Discovery and Trygve Haavelmo's Legacy,"
Economics Series Working Papers
598, University of Oxford, Department of Economics.
- Hendry, David F. & Johansen, Søren, 2015. "Model Discovery And Trygve Haavelmo’S Legacy," Econometric Theory, Cambridge University Press, vol. 31(1), pages 93-114, February.
- Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012.
"The Selection of ARIMA Models with or without Regressors,"
CREATES Research Papers
2012-46, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012. "The Selection of ARIMA Models with or without Regressors," Discussion Papers 12-17, University of Copenhagen. Department of Economics.
- Morten Ø. Nielsen & S Johansen, 2012.
"The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models,"
Working Paper
1300, Economics Department, Queen's University.
- Johansen, Søren & Nielsen, Morten Ørregaard, 2016. "The Role Of Initial Values In Conditional Sum-Of-Squares Estimation Of Nonstationary Fractional Time Series Models," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1095-1139, October.
- Søren Johansen & Morten Ørregaard Nielsen, 2012.
"The role of initial values in nonstationary fractional time series models,"
CREATES Research Papers
2012-47, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Morten Ørregaard Nielsen, 2012. "The role of initial values in nonstationary fractional time series models," Discussion Papers 12-18, University of Copenhagen. Department of Economics.
- Torben Schmith & Søren Johansen & Peter Thejll, 2011.
"Statistical analysis of global surface air temperature and sea level using cointegration methods,"
CREATES Research Papers
2011-39, Department of Economics and Business Economics, Aarhus University.
- Torben Schmith & Søren Johansen & Peter Thejll, 2011. "Statistical analysis of global surface air temperature and sea level using cointegration methods," Discussion Papers 11-26, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2011.
"Asymptotic theory for iterated one-step Huber-skip estimators,"
CREATES Research Papers
2011-40, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Bent Nielsen, 2011. "Asymptotic theory for iterated one-step Huber-skip estimators," Discussion Papers 11-29, University of Copenhagen. Department of Economics.
- Søren Johansen & Theis Lange, 2011.
"Some econometric results for the Blanchard-Watson bubble model,"
CREATES Research Papers
2011-17, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Theis Lange, 2011. "Some Econometric Results for the Blanchard-Watson Bubble Model," Discussion Papers 11-15, University of Copenhagen. Department of Economics.
- Søren Johansen, 2011.
"An extension of cointegration to fractional autoregressive processes,"
CREATES Research Papers
2011-06, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
- David F. Hendry & Søren Johansen, 2011.
"The Properties of Model Selection when Retaining Theory Variables,"
CREATES Research Papers
2011-36, Department of Economics and Business Economics, Aarhus University.
- David F. Hendry & Søren Johansen, 2011. "The Properties of Model Selection when Retaining Theory Variables," Discussion Papers 11-25, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"A necessary moment condition for the fractional functional central limit theorem,"
CREATES Research Papers
2010-70, Department of Economics and Business Economics, Aarhus University.
- Johansen, Søren & Ørregaard Nielsen, Morten, 2012. "A Necessary Moment Condition For The Fractional Functional Central Limit Theorem," Econometric Theory, Cambridge University Press, vol. 28(3), pages 671-679, June.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "A Necessary Moment Condition for the Fractional Functional Central Limit Theorem," Discussion Papers 10-29, University of Copenhagen. Department of Economics.
- Morten Ø. Nielsen & S Johansen, 2010. "A Necessary Moment Condition For The Fractional Functional Central Limit Theorem," Working Paper 1244, Economics Department, Queen's University.
- Søren Johansen & Bent Nielsen, 2010.
"Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli,"
CREATES Research Papers
2010-06, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Bent Nielsen, 2010. "Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli," Discussion Papers 10-06, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2010. "Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli," Economics Papers 2010-W02, Economics Group, Nuffield College, University of Oxford.
- Søren Johansen, 2010.
"The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level,"
CREATES Research Papers
2010-69, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen, 2010. "The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level," Discussion Papers 10-27, University of Copenhagen. Department of Economics.
- Søren Johansen, 2011. "The analysis of nonstationary time series using regression, correlation and cointegration - with an application to annual mean temperature and sea level," DSS Empirical Economics and Econometrics Working Papers Series 2011/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Søren Johansen & Katarina Juselius, 2010.
"An invariance property of the common trends under linear transformations of the data,"
CREATES Research Papers
2010-72, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Katarina Juselius, 2010. "An Invariance Property of the Common Trends under Linear Transformations of the Data," Discussion Papers 10-30, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"Likelihood inference for a fractionally cointegrated vector autoregressive model,"
CREATES Research Papers
2010-24, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Morten Ørregaard Nielsen, 2012. "Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model," Econometrica, Econometric Society, vol. 80(6), pages 2667-2732, November.
- Morten Ø. Nielsen & S Johansen, 2010. "Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model," Working Paper 1237, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model," Discussion Papers 10-15, University of Copenhagen. Department of Economics.
- Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2009.
"A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings,"
CREATES Research Papers
2009-01, Department of Economics and Business Economics, Aarhus University.
- Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008. "A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings," Discussion Papers 08-31, University of Copenhagen. Department of Economics.
- Søren Johansen & Anders Rygh Swensen, 2009.
"On a numerical and graphical technique for evaluating some models involving rational expectations,"
CREATES Research Papers
2009-19, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Anders Rygh Swensen, 2009. "On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations," Discussion Papers 09-10, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression," Discussion Papers 08-03, University of Copenhagen. Department of Economics.
- Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008.
"Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate,"
CREATES Research Papers
2008-03, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007. "Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate," Discussion Papers 07-34, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2008.
"An analysis of the indicator saturation estimator as a robust regression estimator,"
CREATES Research Papers
2008-09, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," Economics Papers 2008-W03, Economics Group, Nuffield College, University of Oxford.
- Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007.
"Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression,"
Discussion Papers
07-35, University of Copenhagen. Department of Economics.
- Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," American Economic Review, American Economic Association, vol. 98(2), pages 251-255, May.
- Søren Johansen & David F. Hendry & Carlos Santos, 2007.
"Selecting a Regression Saturated by Indicators,"
CREATES Research Papers
2007-36, Department of Economics and Business Economics, Aarhus University.
- David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics.
- Søren Johansen, 2007.
"Some identification problems in the cointegrated vector autoregressive model,"
CREATES Research Papers
2007-32, Department of Economics and Business Economics, Aarhus University.
- Johansen, Søren, 2010. "Some identification problems in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 158(2), pages 262-273, October.
- Søren Johansen, 2007. "Some Identification Problems in the Cointegrated Vector Autoregressive Model," Discussion Papers 07-24, University of Copenhagen. Department of Economics.
- Søren Johansen & Anders Rygh Swensen, 2007.
"Exact rational expectations, cointegration, and reduced rank regression,"
CREATES Research Papers
2007-41, Department of Economics and Business Economics, Aarhus University.
- Soren Johansen & Anders Rygh Swensen, 2007. "Exact Rational Expectations, Cointegration, and Reduced Rank Regression," Discussion Papers 07-29, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2007.
"Likelihood inference for a nonstationary fractional autoregressive model,"
CREATES Research Papers
2007-33, Department of Economics and Business Economics, Aarhus University.
- Johansen, Søren & Nielsen, Morten Ørregaard, 2010. "Likelihood inference for a nonstationary fractional autoregressive model," Journal of Econometrics, Elsevier, vol. 158(1), pages 51-66, September.
- Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics.
- Morten Ø. Nielsen & S Johansen, 2009. "Likelihood Inference For A Nonstationary Fractional Autoregressive Model," Working Paper 1172, Economics Department, Queen's University.
- Søren Johansen, 2007.
"Correlation, regression, and cointegration of nonstationary economic time series,"
CREATES Research Papers
2007-35, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen, 2007. "Correlation, Regression, and Cointegration of Nonstationary Economic Time Series," Discussion Papers 07-25, University of Copenhagen. Department of Economics.
- Katarina Juselius & Søren Johansen, 2005. "Extracting Information from the Data: A Popperian View on Empirical Macro," Discussion Papers 05-05, University of Copenhagen. Department of Economics.
- Søren Johansen & Anders Rygh Swensen, 2003. "More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms," Discussion Papers 348, Statistics Norway, Research Department.
- Soren JOHANSEN & Katarina JUSELIUS, 2001.
"Controlling Inflation in a Cointergrated Vector Autoregressive Model with an Application to US Data,"
Economics Working Papers
ECO2001/02, European University Institute.
- Soren Johansen & Katarina Juselius, 2001. "Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data," Discussion Papers 01-03, University of Copenhagen. Department of Economics.
- Soren JOHANSEN, 2001.
"The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model,"
Economics Working Papers
ECO2001/01, European University Institute.
- Søren Johansen, 2003. "The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 663-678, November.
- Johansen, S., 2000. "A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model," Economics Working Papers eco2000/15, European University Institute.
- Johansen, S., 1999.
"A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors,"
Economics Working Papers
eco99/9, European University Institute.
- Johansen, Soren, 2002. "A small sample correction for tests of hypotheses on the cointegrating vectors," Journal of Econometrics, Elsevier, vol. 111(2), pages 195-221, December.
- Johansen, S., 1999.
"A Bartlett Correction Factor for Tests on the Cointegrating Relations,"
Economics Working Papers
eco99/10, European University Institute.
- Johansen, Søren, 2000. "A Bartlett Correction Factor For Tests On The Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 16(5), pages 740-778, October.
- Johansen, S. & Schaumburg, E., 1997.
"Likelihood Analysis of Seasonal Cointegration,"
Economics Working Papers
eco97/16, European University Institute.
- Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November.
- Johansen, S., 1997. "Mathematical and Statistical Modelling of Cointegration," Economics Working Papers eco97/14, European University Institute.
- Engsted, T. & Johansen, S., 1997. "Granger's Representation Theorem and Multicointegration," Economics Working Papers eco97/15, European University Institute.
- Søren Johansen & Anders Rygh Swensen, 1994. "Testing Rational Expectations in Vector Autoregressive Models," Discussion Papers 129, Statistics Norway, Research Department.
- Søren Johansen & Katarina Juselius, 1992.
"Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model,"
Discussion Papers
92-04, University of Copenhagen. Department of Economics.
- Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
- Henrik Hansen & Søren Johansen, 1992. "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers 92-13, University of Copenhagen. Department of Economics.
- Johansen, S., 1991. "An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and the United States," Papers 231, Australian National University - Department of Economics.
- Johansen, S., 1991.
"Determination of Cointegration Rank in the Presence of a Linear Trend,"
Papers
76a, Helsinki - Department of Economics.
- Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-397, August.
- Johansen, S., 1991.
"Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data,"
Papers
78, Helsinki - Department of Economics.
- Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
- Johansen, S., 1991.
"A Statistical Analsysis of Cointegration for I(2) Variables,"
Papers
77, Helsinki - Department of Economics.
- Johansen, Søren, 1995. "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, vol. 11(1), pages 25-59, February.
- Søren Johansen & Katarina Juselius, 1990. "Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK," Discussion Papers 90-05, University of Copenhagen. Department of Economics.
- Søren Johansen & Katarina Juselius, 1989. "The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications," Discussion Papers 89-11, University of Copenhagen. Department of Economics.
- Søren Johansen & Katarina Juselius, 1988.
"Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland,"
Discussion Papers
88-05, University of Copenhagen. Department of Economics.
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repec:ags:quedwp:274731 is not listed on IDEAS
repec:ags:quedwp:274689 is not listed on IDEAS
repec:ags:quedwp:274620 is not listed on IDEAS
repec:ags:quedwp:273648 is not listed on IDEAS
repec:ags:quedwp:273743 is not listed on IDEAS
Articles
- Eric Hillebrand & Søren Johansen & Torben Schmith, 2020. "Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature," Econometrics, MDPI, vol. 8(4), pages 1-19, November.
- Søren Johansen & Morten Ørregaard Nielsen, 2019.
"Nonstationary Cointegration in the Fractionally Cointegrated VAR Model,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 519-543, July.
- Morten Ø. Nielsen & S Johansen, 2018. "Nonstationary Cointegration In The Fractionally Cointegrated Var Model," Working Paper 1405, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2018. "Nonstationary cointegration in the fractionally cointegrated VAR model," CREATES Research Papers 2018-17, Department of Economics and Business Economics, Aarhus University.
- Soeren Johansen & Morten Oerregaard Nielsen, 2018. "Nonstationary cointegration in the fractionally cointegrated VAR model," Discussion Papers 18-04, University of Copenhagen. Department of Economics.
- Johansen, Søren & Nielsen, Bent, 2019. "Boundedness Of M-Estimators For Linear Regression In Time Series," Econometric Theory, Cambridge University Press, vol. 35(3), pages 653-683, June.
- Søren Johansen, 2019. "Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models," Econometrics, MDPI, vol. 7(1), pages 1-10, January.
- Søren Johansen & Morten Ørregaard Nielsen, 2018.
"Testing the CVAR in the Fractional CVAR Model,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 836-849, November.
- Soeren Johansen & Morten Oeregaard Nielsen, 2017. "Testing the CVAR in the fractional CVAR model," Discussion Papers 17-23, University of Copenhagen. Department of Economics.
- Morten Ø. Nielsen & S Johansen, 2017. "Testing The Cvar In The Fractional Cvar Model," Working Paper 1394, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2017. "Testing the CVAR in the fractional CVAR model," CREATES Research Papers 2017-37, Department of Economics and Business Economics, Aarhus University.
- Johansen, Søren & Nielsen, Morten Ørregaard, 2018.
"The cointegrated vector autoregressive model with general deterministic terms,"
Journal of Econometrics, Elsevier, vol. 202(2), pages 214-229.
- Søren Johansen & Morten Ørregaard Nielsen, 2016. "The cointegrated vector autoregressive model with general deterministic terms," CREATES Research Papers 2016-22, Department of Economics and Business Economics, Aarhus University.
- Morten Ø. Nielsen & S Johansen, 2016. "The Cointegrated Vector Autoregressive Model With General Deterministic Terms," Working Paper 1363, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2016. "The cointegrated vector autoregressive model with general deterministic terms," Discussion Papers 16-07, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Nyboe Tabor, 2017. "Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models," Econometrics, MDPI, vol. 5(3), pages 1-15, August.
- Massimo Franchi & Søren Johansen, 2017.
"Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles,"
Econometrics, MDPI, vol. 5(2), pages 1-20, June.
- Massimo Franchi & Soeren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
- Massimo Franchi & Søren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," CREATES Research Papers 2017-17, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Bent Nielsen, 2016. "Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 374-381, June.
- Johansen, Søren & Nielsen, Morten Ørregaard, 2016.
"The Role Of Initial Values In Conditional Sum-Of-Squares Estimation Of Nonstationary Fractional Time Series Models,"
Econometric Theory, Cambridge University Press, vol. 32(5), pages 1095-1139, October.
- Morten Ø. Nielsen & S Johansen, 2012. "The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models," Working Paper 1300, Economics Department, Queen's University.
- Søren Johansen & Bent Nielsen, 2016. "Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 321-348, June.
- Hendry, David F. & Johansen, Søren, 2015.
"Model Discovery And Trygve Haavelmo’S Legacy,"
Econometric Theory, Cambridge University Press, vol. 31(1), pages 93-114, February.
- David Hendry & Soren Johansen, 2012. "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers 598, University of Oxford, Department of Economics.
- Johansen, Søren & Juselius, Katarina, 2014. "An asymptotic invariance property of the common trends under linear transformations of the data," Journal of Econometrics, Elsevier, vol. 178(P2), pages 310-315.
- Søren Johansen & Bent Nielsen, 2013. "Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator," Econometrics, MDPI, vol. 1(1), pages 1-18, May.
- Johansen, Søren & Lange, Theis, 2013. "Least squares estimation in a simple random coefficient autoregressive model," Journal of Econometrics, Elsevier, vol. 177(2), pages 285-288.
- Søren Johansen, 2012. "The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 6(2), June.
- Søren Johansen & Morten Ørregaard Nielsen, 2012.
"Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model,"
Econometrica, Econometric Society, vol. 80(6), pages 2667-2732, November.
- Morten Ø. Nielsen & S Johansen, 2010. "Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model," Working Paper 1237, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model," Discussion Papers 10-15, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "Likelihood inference for a fractionally cointegrated vector autoregressive model," CREATES Research Papers 2010-24, Department of Economics and Business Economics, Aarhus University.
- Johansen, Søren & Ørregaard Nielsen, Morten, 2012.
"A Necessary Moment Condition For The Fractional Functional Central Limit Theorem,"
Econometric Theory, Cambridge University Press, vol. 28(3), pages 671-679, June.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "A necessary moment condition for the fractional functional central limit theorem," CREATES Research Papers 2010-70, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "A Necessary Moment Condition for the Fractional Functional Central Limit Theorem," Discussion Papers 10-29, University of Copenhagen. Department of Economics.
- Morten Ø. Nielsen & S Johansen, 2010. "A Necessary Moment Condition For The Fractional Functional Central Limit Theorem," Working Paper 1244, Economics Department, Queen's University.
- Johansen Søren & Swensen Anders R, 2011. "On a Graphical Technique for Evaluating Some Rational Expectations Models," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-29, February.
- Johansen, Søren, 2010.
"Some identification problems in the cointegrated vector autoregressive model,"
Journal of Econometrics, Elsevier, vol. 158(2), pages 262-273, October.
- Søren Johansen, 2007. "Some Identification Problems in the Cointegrated Vector Autoregressive Model," Discussion Papers 07-24, University of Copenhagen. Department of Economics.
- Søren Johansen, 2007. "Some identification problems in the cointegrated vector autoregressive model," CREATES Research Papers 2007-32, Department of Economics and Business Economics, Aarhus University.
- Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael, 2010. "Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate," Journal of Econometrics, Elsevier, vol. 158(1), pages 117-129, September.
- Johansen, Søren & Nielsen, Morten Ørregaard, 2010.
"Likelihood inference for a nonstationary fractional autoregressive model,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 51-66, September.
- Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics.
- Morten Ø. Nielsen & S Johansen, 2009. "Likelihood Inference For A Nonstationary Fractional Autoregressive Model," Working Paper 1172, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood inference for a nonstationary fractional autoregressive model," CREATES Research Papers 2007-33, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen, 2009. "Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 121-145.
- Johansen, SØren, 2008. "A Representation Theory For A Class Of Vector Autoregressive Models For Fractional Processes," Econometric Theory, Cambridge University Press, vol. 24(3), pages 651-676, June.
- Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008.
"Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression,"
American Economic Review, American Economic Association, vol. 98(2), pages 251-255, May.
- Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers 07-35, University of Copenhagen. Department of Economics.
- Carlos Santos & David Hendry & Soren Johansen, 2008.
"Automatic selection of indicators in a fully saturated regression,"
Computational Statistics, Springer, vol. 23(2), pages 317-335, April.
- David Hendry & Søren Johansen & Carlos Santos, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 337-339, April.
- Johansen, Soren, 2006. "Statistical analysis of hypotheses on the cointegrating relations in the I(2) model," Journal of Econometrics, Elsevier, vol. 132(1), pages 81-115, May.
- Søren Johansen, 2005. "Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 93-104, February.
- Johansen, Søren & Lütkepohl, Helmut, 2005. "A Note On Testing Restrictions For The Cointegration Parameters Of A Var With I(2) Variables," Econometric Theory, Cambridge University Press, vol. 21(3), pages 653-658, June.
- Johansen S., 2004. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 169-172, April.
- Søren Johansen & Anders Rygh Swensen, 2004. "More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 389-397, December.
- Søren Johansen, 2003.
"The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 663-678, November.
- Soren JOHANSEN, 2001. "The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model," Economics Working Papers ECO2001/01, European University Institute.
- Soren Johansen, 2002. "A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model," Econometrica, Econometric Society, vol. 70(5), pages 1929-1961, September.
- Søren Johansen, 2002. "Discussion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(2), pages 213-216, June.
- Johansen, Soren, 2002.
"A small sample correction for tests of hypotheses on the cointegrating vectors,"
Journal of Econometrics, Elsevier, vol. 111(2), pages 195-221, December.
- Johansen, S., 1999. "A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors," Economics Working Papers eco99/9, European University Institute.
- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
"Cointegration analysis in the presence of structural breaks in the deterministic trend,"
Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.
- Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
- Johansen, Søren, 2000.
"A Bartlett Correction Factor For Tests On The Cointegrating Relations,"
Econometric Theory, Cambridge University Press, vol. 16(5), pages 740-778, October.
- Johansen, S., 1999. "A Bartlett Correction Factor for Tests on the Cointegrating Relations," Economics Working Papers eco99/10, European University Institute.
- Johansen, Soren, 2000. "Modelling of cointegration in the vector autoregressive model," Economic Modelling, Elsevier, vol. 17(3), pages 359-373, August.
- Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
- Johansen, Soren & Swensen, Anders Rygh, 1999. "Testing exact rational expectations in cointegrated vector autoregressive models," Journal of Econometrics, Elsevier, vol. 93(1), pages 73-91, November.
- Johansen, Soren & Schaumburg, Ernst, 1998.
"Likelihood analysis of seasonal cointegration,"
Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November.
- Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers eco97/16, European University Institute.
- Johansen, Søren, 1995.
"A Stastistical Analysis of Cointegration for I(2) Variables,"
Econometric Theory, Cambridge University Press, vol. 11(1), pages 25-59, February.
- Johansen, S., 1991. "A Statistical Analsysis of Cointegration for I(2) Variables," Papers 77, Helsinki - Department of Economics.
- Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
- Johansen, Soren, 1995. "The Role of Ancillarity in Inference for Non-stationary Variables," Economic Journal, Royal Economic Society, vol. 105(429), pages 302-320, March.
- Johansen, Soren & Juselius, Katarina, 1994.
"Identification of the long-run and the short-run structure an application to the ISLM model,"
Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
- Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.
- Johansen, Soren, 1992.
"Testing weak exogeneity and the order of cointegration in UK money demand data,"
Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June.
- Johansen, S., 1991. "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data," Papers 78, Helsinki - Department of Economics.
- Johansen, Soren, 1992.
"Determination of Cointegration Rank in the Presence of a Linear Trend,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-397, August.
- Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
- Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(2), pages 188-202, June.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Jensen, Søren Tolver & Johansen, Søren, 1987. "Estimation of proportional covariances," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 83-85, November.
Chapters
- Soren Johansen, 2004.
"A Small Sample Correction of the Dickey-Fuller Test,"
Contributions to Economic Analysis, in: New Directions in Macromodelling, pages 49-68,
Emerald Group Publishing Limited.
RePEc:eme:cea111:s0573-8555(04)69003-l is not listed on IDEAS
Books
- Hansen, Peter Reinhard & Johansen, Soren, 1998. "Workbook on Cointegration," OUP Catalogue, Oxford University Press, number 9780198776079, Decembrie.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, Decembrie.
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Featured entries
This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:- Søren Johansen in Wikipedia (German)
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 75 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (44) 2001-10-22 2003-06-04 2007-11-17 2007-11-17 2007-11-17 2008-01-05 2008-01-05 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-07-30 2010-05-29 2010-06-11 2010-10-30 2010-10-30 2010-10-30 2010-11-06 2010-11-06 2010-11-13 2011-02-19 2011-05-24 2011-11-21 2011-12-13 2012-11-24 2012-12-06 2012-12-06 2014-09-29 2014-11-12 2014-11-22 2016-06-14 2016-06-25 2016-07-30 2016-08-14 2017-03-26 2017-11-05 2017-11-19 2018-05-07 2018-05-21 2018-05-21 2019-05-13 2019-06-24 2021-07-12. Author is listed
- NEP-ECM: Econometrics (39) 2001-10-22 2003-06-09 2007-11-17 2007-11-17 2007-11-17 2007-11-17 2007-12-15 2008-01-05 2008-01-05 2008-02-09 2008-06-27 2010-02-20 2010-05-29 2010-06-11 2010-10-30 2010-10-30 2010-10-30 2010-11-13 2011-05-24 2011-11-07 2011-11-28 2012-04-03 2012-11-17 2012-11-24 2013-03-09 2014-09-29 2014-11-12 2016-06-14 2016-06-25 2016-08-14 2017-03-26 2017-05-14 2017-11-05 2018-05-07 2018-05-21 2019-05-13 2019-06-24 2019-09-23 2021-07-12. Author is listed
- NEP-ORE: Operations Research (22) 2010-05-29 2010-06-11 2010-10-30 2010-10-30 2011-02-19 2012-11-24 2014-11-22 2016-06-14 2017-03-26 2017-07-16 2017-11-05 2019-05-13 2019-06-24 2019-09-09 2019-09-09 2019-09-23 2019-09-23 2019-09-23 2019-09-30 2021-07-12 2021-07-12 2022-02-28. Author is listed
- NEP-CBA: Central Banking (6) 2001-10-22 2008-01-05 2008-06-27 2008-06-27 2008-12-21 2009-01-17. Author is listed
- NEP-UPT: Utility Models and Prospect Theory (5) 2017-07-16 2019-03-04 2019-12-09 2019-12-09 2022-02-28. Author is listed
- NEP-IFN: International Finance (4) 2008-01-05 2008-06-27 2008-12-21 2009-01-17
- NEP-MAC: Macroeconomics (4) 2005-04-16 2019-03-04 2019-12-09 2022-02-28
- NEP-OPM: Open Economy Macroeconomics (3) 2008-06-27 2008-12-21 2009-01-17
- NEP-RMG: Risk Management (3) 2014-11-22 2015-04-25 2017-03-26
- NEP-FOR: Forecasting (2) 2012-11-24 2012-12-06
- NEP-HPE: History and Philosophy of Economics (2) 2005-04-16 2019-03-04
- NEP-MON: Monetary Economics (2) 2001-10-22 2008-12-21
- NEP-CIS: Confederation of Independent States (1) 2011-02-19
- NEP-CMP: Computational Economics (1) 2013-03-09
- NEP-CWA: Central and Western Asia (1) 2022-02-28
- NEP-ENV: Environmental Economics (1) 2011-11-28
- NEP-GER: German Papers (1) 2014-09-29
- NEP-ISF: Islamic Finance (1) 2022-02-28
- NEP-KNM: Knowledge Management and Knowledge Economy (1) 2008-12-21
- NEP-NET: Network Economics (1) 2016-06-25
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