Details about Soren Johansen

Access statistics for papers by Soren Johansen.

Last updated 2009-11-04. Update your information in the RePEc Author Service.

Short-id: pjo35

Working Papers

2009

1. A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
   CREATES Research Papers, School of Economics and Management, University of Aarhus
   Also in Discussion Papers, University of Copenhagen. Department of Economics (2008)
2. Likelihood inference for a nonstationary fractional autoregressive model
   Working Papers, Queen's University, Department of Economics
   Also in Discussion Papers, University of Copenhagen. Department of Economics (2007) View citations
   CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) View citations
3. On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations
   Discussion Papers, University of Copenhagen. Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2009)

2008

4. An analysis of the indicator saturation estimator as a robust regression
   Discussion Papers, University of Copenhagen. Department of Economics
5. An analysis of the indicator saturation estimator as a robust regression estimator
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2008) View citations
6. Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
   Also in Discussion Papers, University of Copenhagen. Department of Economics (2007)

2007

7. Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
   Discussion Papers, University of Copenhagen. Department of Economics View citations
   See also Journal Article in American Economic Review (2008)
8. Correlation, Regression, and Cointegration of Nonstationary Economic Time Series
   Discussion Papers, University of Copenhagen. Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007)
9. Exact Rational Expectations, Cointegration, and Reduced Rank Regression
   Discussion Papers, University of Copenhagen. Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007)
10. Selecting a Regression Saturated by Indicators
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007)
11. Some Identification Problems in the Cointegrated Vector Autoregressive Model
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007)

2005

12. Extracting Information from the Data: A Popperian View on Empirical Macro
    Discussion Papers, University of Copenhagen. Department of Economics View citations

2003

13. More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
    Discussion Papers, Research Department of Statistics Norway View citations

2001

14. Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data
    Discussion Papers, University of Copenhagen. Department of Economics View citations
    Also in Economics Working Papers, European University Institute (2001)
15. The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model
    Economics Working Papers, European University Institute View citations
    See also Journal Article in Journal of Time Series Analysis (2003)

2000

16. A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model
    Economics Working Papers, European University Institute View citations

1999

17. A Bartlett Correction Factor for Tests on the Cointegrating Relations
    Economics Working Papers, European University Institute View citations
    See also Journal Article in Econometric Theory (2000)
18. A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
    Economics Working Papers, European University Institute View citations
    See also Journal Article in Journal of Econometrics (2002)

1997

19. Granger's Representation Theorem and Multicointegration
    Economics Working Papers, European University Institute View citations
20. Likelihood Analysis of Seasonal Cointegration
    Economics Working Papers, European University Institute View citations
    See also Journal Article in Journal of Econometrics (1998)
21. Mathematical and Statistical Modelling of Cointegration
    Economics Working Papers, European University Institute

1994

22. Testing Rational Expectations in Vector Autoregressive Models
    Discussion Papers, Research Department of Statistics Norway View citations

1992

23. Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model
    Discussion Papers, University of Copenhagen. Department of Economics View citations
    See also Journal Article in Journal of Econometrics (1994)
24. Recursive Estimation in Cointegrated VAR-Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations

1991

25. A Statistical Analsysis of Cointegration for I(2) Variables
    Working Papers, Helsinki - Department of Economics View citations
    See also Journal Article in Econometric Theory (1995)
26. An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and the United States
    Working Papers, Australian National University - Department of Economics View citations
27. Determination of Cointegration Rank in the Presence of a Linear Trend
    Working Papers, Helsinki - Department of Economics View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1992)
28. Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data
    Working Papers, Helsinki - Department of Economics View citations
    See also Journal Article in Journal of Policy Modeling (1992)

1990

29. Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK
    Discussion Papers, University of Copenhagen. Department of Economics View citations

1989

30. The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications
    Discussion Papers, University of Copenhagen. Department of Economics View citations

1988

31. Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland
    Discussion Papers, University of Copenhagen. Department of Economics View citations

Journal Articles

2009

1. Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
   Econometric Reviews, 2009, 28, (1-3), 121-145 View citations

2008

2. A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
   Econometric Theory, 2008, 24, (03), 651-676 View citations
3. Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
   American Economic Review, 2008, 98, (2), 251-55 View citations
   See also Working Paper (2007)
4. Automatic selection of indicators in a fully saturated regression
   Computational Statistics, 2008, 23, (2), 317-335 View citations
   Also in Computational Statistics, 2008, 23, (2), 337-339 (2008) View citations

2006

5. Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
   Journal of Econometrics, 2006, 132, (1), 81-115 View citations

2005

6. A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
   Econometric Theory, 2005, 21, (03), 653-658
7. Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model
   Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 93-104 View citations

2004

8. Comment
   Journal of Business & Economic Statistics, 2004, 22, 169-172
9. More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
   Econometrics Journal, 2004, 7, (2), 389-397 View citations

2003

10. The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
    Journal of Time Series Analysis, 2003, 24, (6), 663-678 View citations
    See also Working Paper (2001)

2002

11. A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
    Econometrica, 2002, 70, (5), 1929-1961 View citations
12. A small sample correction for tests of hypotheses on the cointegrating vectors
    Journal of Econometrics, 2002, 111, (2), 195-221 View citations
    See also Working Paper (1999)
13. Discussion
    Scandinavian Journal of Statistics, 2002, 29, (2), 213-216

2000

14. A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
    Econometric Theory, 2000, 16, (05), 740-778 View citations
    See also Working Paper (1999)
15. Cointegration analysis in the presence of structural breaks in the deterministic trend
    Econometrics Journal, 2000, 3, (2), 216-249 View citations
16. Modelling of cointegration in the vector autoregressive model
    Economic Modelling, 2000, 17, (3), 359-373 View citations

1999

17. Some tests for parameter constancy in cointegrated VAR-models
    Econometrics Journal, 1999, 2, (2), 306-333 View citations
18. Testing exact rational expectations in cointegrated vector autoregressive models
    Journal of Econometrics, 1999, 93, (1), 73-91 View citations

1998

19. Likelihood analysis of seasonal cointegration
    Journal of Econometrics, 1998, 88, (2), 301-339 View citations
    See also Working Paper (1997)

1995

20. A Stastistical Analysis of Cointegration for I(2) Variables
    Econometric Theory, 1995, 11, (01), 25-59
    See also Working Paper (1991)
21. Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
    Journal of Econometrics, 1995, 69, (1), 111-132 View citations
22. The Role of Ancillarity in Inference for Non-stationary Variables
    Economic Journal, 1995, 105, (429), 302-20 View citations

1994

23. Estimating systems of trending variables
    Econometric Reviews, 1994, 13, (3), 351-386 View citations
24. Identification of the long-run and the short-run structure an application to the ISLM model
    Journal of Econometrics, 1994, 63, (1), 7-36 View citations
    See also Working Paper (1992)
25. Reply to somments on "estimating systems of trending variables"
    Econometric Reviews, 1994, 13, (3), 423-428
26. The role of the constant and linear terms in cointegration analysis of nonstationary variables
    Econometric Reviews, 1994, 13, (2), 205-229 View citations

1992

27. Cointegration in partial systems and the efficiency of single-equation analysis
    Journal of Econometrics, 1992, 52, (3), 389-402 View citations
28. Determination of Cointegration Rank in the Presence of a Linear Trend
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 383-97 View citations
    See also Working Paper (1991)
29. Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
    Journal of Econometrics, 1992, 53, (1-3), 211-244 View citations
30. Testing weak exogeneity and the order of cointegration in UK money demand data
    Journal of Policy Modeling, 1992, 14, (3), 313-334 View citations
    See also Working Paper (1991)

1991

31. A Bayesian Perspective on Inference from Macroeconomic Data: Comment
    Scandinavian Journal of Economics, 1991, 93, (2), 249-51 View citations
32. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
    Econometrica, 1991, 59, (6), 1551-80 View citations

1990

33. Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money
    Oxford Bulletin of Economics and Statistics, 1990, 52, (2), 169-210 View citations

1988

34. Statistical analysis of cointegration vectors
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 231-254 View citations

1987

35. Estimation of proportional covariances
    Statistics & Probability Letters, 1987, 6, (2), 83-85