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Details about Soren Johansen

E-mail:
Homepage:http://www.math.ku.dk/~sjo
Phone:0045-35323071
Postal address:Department of Economics University of Copenhagen Building 26 Øster Farimagsgade 5 DK-1353 Copenhagen K. Denmark
Workplace:Økonomisk Institut (Department of Economics), Københavns Universitet (University of Copenhagen), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

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Short-id: pjo35


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Working Papers

2016

  1. Data revisions and the statistical relation of global mean sea-level and temperature
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2015) Downloads
  2. The cointegrated vector autoregressive model with general deterministic terms
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in Working Papers, Queen's University, Department of Economics (2016) Downloads
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2016) Downloads
  3. Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
  4. Tightness of M-estimators for multiple linear regression in time series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2014

  1. Optimal Hedging with the Vector Autoregressive Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Optimal hedging with the cointegrated vector autoregressive model
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads
    Discussion Papers, University of Copenhagen. Department of Economics (2014) Downloads
  3. Outlier detection algorithms for least squares time series regression
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2014) Downloads View citations (1)
  4. Times Series: Cointegration
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads

2013

  1. Asymptotic analysis of the Forward Search
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2013) Downloads
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2013) Downloads

2012

  1. Model Discovery and Trygve Haavelmo's Legacy
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
    See also Journal Article in Econometric Theory (2015)
  2. The Selection of ARIMA Models with or without Regressors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) Downloads
  3. The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
    Working Papers, Queen's University, Department of Economics Downloads View citations (1)
    See also Journal Article in Econometric Theory (2016)
  4. The role of initial values in nonstationary fractional time series models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) Downloads View citations (4)

2011

  1. An extension of cointegration to fractional autoregressive processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) Downloads View citations (2)
  2. Asymptotic theory for iterated one-step Huber-skip estimators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2011) Downloads View citations (1)
  3. Some Econometric Results for the Blanchard-Watson Bubble Model
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads
  4. Statistical analysis of global surface air temperature and sea level using cointegration methods
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads
  5. The Properties of Model Selection when Retaining Theory Variables
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2011) Downloads
  6. 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, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) Downloads
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads

2010

  1. A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (1)
    Working Papers, Queen's University, Department of Economics (2010) Downloads View citations (1)

    See also Journal Article in Econometric Theory (2012)
  2. An Invariance Property of the Common Trends under Linear Transformations of the Data
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads
  3. Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (2)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2010) Downloads View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (2)
  4. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (8)
    Working Papers, Queen's University, Department of Economics (2010) Downloads View citations (3)

    See also Journal Article in Econometrica (2012)
  5. Likelihood inference for a nonstationary fractional autoregressive model
    Working Papers, Queen's University, Department of Economics Downloads View citations (27)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2007) Downloads View citations (1)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2010)

2009

  1. A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2008) Downloads View citations (4)
  2. On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads

2008

  1. An analysis of the indicator saturation estimator as a robust regression
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (16)
  2. An analysis of the indicator saturation estimator as a robust regression estimator
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) Downloads View citations (4)
  3. Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2007) Downloads

2007

  1. Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (4)
    See also Journal Article in American Economic Review (2008)
  2. Correlation, Regression, and Cointegration of Nonstationary Economic Time Series
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (6)
  3. Exact Rational Expectations, Cointegration, and Reduced Rank Regression
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads
  4. Selecting a Regression Saturated by Indicators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2007) Downloads
  5. Some Identification Problems in the Cointegrated Vector Autoregressive Model
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)

2005

  1. Extracting Information from the Data: A Popperian View on Empirical Macro
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (4)

2003

  1. More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
    Discussion Papers, Statistics Norway, Research Department Downloads View citations (2)

2001

  1. Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (11)
    Also in Economics Working Papers, European University Institute (2001) Downloads View citations (4)
  2. The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model
    Economics Working Papers, European University Institute Downloads View citations (1)
    See also Journal Article in Journal of Time Series Analysis (2003)

2000

  1. A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model
    Economics Working Papers, European University Institute View citations (5)

1999

  1. A Bartlett Correction Factor for Tests on the Cointegrating Relations
    Economics Working Papers, European University Institute View citations (6)
    See also Journal Article in Econometric Theory (2000)
  2. A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
    Economics Working Papers, European University Institute View citations (2)
    See also Journal Article in Journal of Econometrics (2002)

1997

  1. Granger's Representation Theorem and Multicointegration
    Economics Working Papers, European University Institute View citations (5)
  2. Likelihood Analysis of Seasonal Cointegration
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article in Journal of Econometrics (1998)
  3. Mathematical and Statistical Modelling of Cointegration
    Economics Working Papers, European University Institute

1994

  1. Testing Rational Expectations in Vector Autoregressive Models
    Discussion Papers, Statistics Norway, Research Department Downloads

1992

  1. 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 (1)
    See also Journal Article in Journal of Econometrics (1994)
  2. Recursive Estimation in Cointegrated VAR-Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (36)

1991

  1. A Statistical Analsysis of Cointegration for I(2) Variables
    Working Papers, Helsinki - Department of Economics View citations (24)
    See also Journal Article in Econometric Theory (1995)
  2. 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 (4)
  3. Determination of Cointegration Rank in the Presence of a Linear Trend
    Working Papers, Helsinki - Department of Economics View citations (22)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1992)
  4. Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data
    Working Papers, Helsinki - Department of Economics View citations (20)
    See also Journal Article in Journal of Policy Modeling (1992)

1990

  1. 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 (9)

1989

  1. The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications
    Discussion Papers, University of Copenhagen. Department of Economics View citations (14)

1988

  1. 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 (8)

0703

  1. Cointegration between trends and their estimators in state space models and CVAR models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

Journal Articles

2016

  1. Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
    Scandinavian Journal of Statistics, 2016, 43, (2), 321-348 Downloads View citations (2)
  2. Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
    Scandinavian Journal of Statistics, 2016, 43, (2), 374-381 Downloads View citations (2)
  3. THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
    Econometric Theory, 2016, 32, (05), 1095-1139 Downloads View citations (2)
    See also Working Paper (2012)

2015

  1. MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
    Econometric Theory, 2015, 31, (01), 93-114 Downloads View citations (11)
    See also Working Paper (2012)

2014

  1. An asymptotic invariance property of the common trends under linear transformations of the data
    Journal of Econometrics, 2014, 178, (P2), 310-315 Downloads View citations (2)

2013

  1. Least squares estimation in a simple random coefficient autoregressive model
    Journal of Econometrics, 2013, 177, (2), 285-288 Downloads
  2. Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator
    Econometrics, 2013, 1, (1), 1-18 Downloads View citations (6)

2012

  1. A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
    Econometric Theory, 2012, 28, (03), 671-679 Downloads
    See also Working Paper (2010)
  2. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
    Econometrica, 2012, 80, (6), 2667-2732 Downloads View citations (47)
    See also Working Paper (2010)
  3. Paul Johansen, The First Chairman of Astin has Died
    ASTIN Bulletin: The Journal of the International Actuarial Association, 2012, 42, (01), 385-387 Downloads
  4. The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration
    Contemporary Economics, 2012, 6, (2) Downloads View citations (1)

2011

  1. On a Graphical Technique for Evaluating Some Rational Expectations Models
    Journal of Time Series Econometrics, 2011, 3, (1), 1-29 Downloads

2010

  1. Likelihood inference for a nonstationary fractional autoregressive model
    Journal of Econometrics, 2010, 158, (1), 51-66 Downloads View citations (26)
    See also Working Paper (2010)
  2. Some identification problems in the cointegrated vector autoregressive model
    Journal of Econometrics, 2010, 158, (2), 262-273 Downloads View citations (3)
    See also Working Paper (2007)
  3. 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, 2010, 158, (1), 117-129 Downloads View citations (22)

2009

  1. Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
    Econometric Reviews, 2009, 28, (1-3), 121-145 Downloads View citations (15)

2008

  1. A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
    Econometric Theory, 2008, 24, (03), 651-676 Downloads View citations (66)
  2. Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
    American Economic Review, 2008, 98, (2), 251-55 Downloads View citations (42)
    See also Working Paper (2007)
  3. Automatic selection of indicators in a fully saturated regression
    Computational Statistics, 2008, 23, (2), 317-335 Downloads View citations (112)
    Also in Computational Statistics, 2008, 23, (2), 337-339 (2008) Downloads View citations (99)

2006

  1. Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
    Journal of Econometrics, 2006, 132, (1), 81-115 Downloads View citations (14)

2005

  1. A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
    Econometric Theory, 2005, 21, (03), 653-658 Downloads
  2. Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model
    Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 93-104 Downloads View citations (26)

2004

  1. Comment
    Journal of Business & Economic Statistics, 2004, 22, 169-172 Downloads
  2. More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
    Econometrics Journal, 2004, 7, (2), 389-397 Downloads View citations (11)

2003

  1. The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
    Journal of Time Series Analysis, 2003, 24, (6), 663-678 Downloads View citations (3)
    See also Working Paper (2001)

2002

  1. A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
    Econometrica, 2002, 70, (5), 1929-1961 Downloads View citations (101)
  2. A small sample correction for tests of hypotheses on the cointegrating vectors
    Journal of Econometrics, 2002, 111, (2), 195-221 Downloads View citations (19)
    See also Working Paper (1999)
  3. Discussion
    Scandinavian Journal of Statistics, 2002, 29, (2), 213-216 Downloads

2000

  1. A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
    Econometric Theory, 2000, 16, (05), 740-778 Downloads View citations (65)
    See also Working Paper (1999)
  2. Cointegration analysis in the presence of structural breaks in the deterministic trend
    Econometrics Journal, 2000, 3, (2), 216-249 Downloads View citations (223)
  3. Modelling of cointegration in the vector autoregressive model
    Economic Modelling, 2000, 17, (3), 359-373 Downloads View citations (32)

1999

  1. Some tests for parameter constancy in cointegrated VAR-models
    Econometrics Journal, 1999, 2, (2), 306-333 View citations (302)
  2. Testing exact rational expectations in cointegrated vector autoregressive models
    Journal of Econometrics, 1999, 93, (1), 73-91 Downloads View citations (36)

1998

  1. Likelihood analysis of seasonal cointegration
    Journal of Econometrics, 1998, 88, (2), 301-339 Downloads View citations (33)
    See also Working Paper (1997)

1995

  1. A Stastistical Analysis of Cointegration for I(2) Variables
    Econometric Theory, 1995, 11, (01), 25-59 Downloads View citations (39)
    See also Working Paper (1991)
  2. Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
    Journal of Econometrics, 1995, 69, (1), 111-132 Downloads View citations (133)
  3. The Role of Ancillarity in Inference for Non-stationary Variables
    Economic Journal, 1995, 105, (429), 302-20 Downloads View citations (2)

1994

  1. Identification of the long-run and the short-run structure an application to the ISLM model
    Journal of Econometrics, 1994, 63, (1), 7-36 Downloads View citations (224)
    See also Working Paper (1992)

1992

  1. A Representation of Vector Autoregressive Processes Integrated of Order 2
    Econometric Theory, 1992, 8, (02), 188-202 Downloads View citations (74)
  2. Cointegration in partial systems and the efficiency of single-equation analysis
    Journal of Econometrics, 1992, 52, (3), 389-402 Downloads View citations (362)
  3. Determination of Cointegration Rank in the Presence of a Linear Trend
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 383-97 View citations (317)
    See also Working Paper (1991)
  4. 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 Downloads View citations (581)
  5. Testing weak exogeneity and the order of cointegration in UK money demand data
    Journal of Policy Modeling, 1992, 14, (3), 313-334 Downloads View citations (184)
    See also Working Paper (1991)

1991

  1. A Bayesian Perspective on Inference from Macroeconomic Data: Comment
    Scandinavian Journal of Economics, 1991, 93, (2), 249-51 View citations (2)
  2. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
    Econometrica, 1991, 59, (6), 1551-80 Downloads View citations (2711)

1990

  1. 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 (2771)

1988

  1. Statistical analysis of cointegration vectors
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 231-254 Downloads View citations (4679)

1987

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

Books

1998

  1. Workbook on Cointegration
    OUP Catalogue, Oxford University Press View citations (26)

1995

  1. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
    OUP Catalogue, Oxford University Press View citations (1948)
 
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