Details about Soren Johansen
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Short-id: pjo35
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Working Papers
2022
- Weak convergence to derivatives of fractional Brownian motion
Papers, arXiv.org 
2021
- Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
Discussion Papers, University of Copenhagen. Department of Economics
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2021)
- Asset Prices Under Knightian Uncertainty
Working Papers Series, Institute for New Economic Thinking
2019
- Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood
Discussion Papers, University of Copenhagen. Department of Economics
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2019) View citations (1)
Economics Series Working Papers, University of Oxford, Department of Economics (2019) View citations (1)
Economics Papers, Economics Group, Nuffield College, University of Oxford (2019) View citations (2)
- The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes
Working Papers Series, Institute for New Economic Thinking View citations (4)
- The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes
Discussion Papers, University of Copenhagen. Department of Economics View citations (5)
- The analysis of marked and weighted empirical processes of estimated residuals
Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (5)
Also in Economics Series Working Papers, University of Oxford, Department of Economics (2019) View citations (5)
Discussion Papers, University of Copenhagen. Department of Economics (2019) View citations (5)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2019) View citations (5)
- Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals
Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2019) View citations (3)
Economics Papers, Economics Group, Nuffield College, University of Oxford (2019) View citations (1)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2019) View citations (4)
2018
- Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models
Discussion Papers, University of Copenhagen. Department of Economics
- Nonstationary Cointegration In The Fractionally Cointegrated Var Model
Working Paper, Economics Department, Queen's University View citations (6)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2018) View citations (6)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) View citations (6)
See also Journal Article Nonstationary Cointegration in the Fractionally Cointegrated VAR Model, Journal of Time Series Analysis, Wiley Blackwell (2019) View citations (14) (2019)
2017
- Cointegration between trends and their estimators in state space models and CVAR models
Discussion Papers, University of Copenhagen. Department of Economics View citations (4)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (4)
- Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2017) View citations (5)
See also Journal Article Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles, Econometrics, MDPI (2017) View citations (4) (2017)
- THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT
Discussion Papers, University of Copenhagen. Department of Economics View citations (1)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (1)
Working Papers Series, Institute for New Economic Thinking (2017) View citations (1)
- Testing The Cvar In The Fractional Cvar Model
Working Paper, Economics Department, Queen's University View citations (2)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2017) View citations (1)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (1)
See also Journal Article Testing the CVAR in the Fractional CVAR Model, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (14) (2018)
- The role of cointegration for optimal hedging with heteroscedastic error term
Discussion Papers, University of Copenhagen. Department of Economics
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017)
2016
- The Cointegrated Vector Autoregressive Model With General Deterministic Terms
Working Paper, Economics Department, Queen's University
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2016)
Discussion Papers, University of Copenhagen. Department of Economics (2016)
See also Journal Article The cointegrated vector autoregressive model with general deterministic terms, Journal of Econometrics, Elsevier (2018) View citations (4) (2018)
- 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
- Tightness of M-estimators for multiple linear regression in time series
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
2015
- DATA REVISIONS AND THE STATISTICAL RELATION OF GLOBAL MEAN SEA-LEVEL AND TEMPERATURE
Discussion Papers, University of Copenhagen. Department of Economics
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
2014
- Optimal Hedging with the Vector Autoregressive Model
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Optimal hedging with the cointegrated vector autoregressive model
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2014) View citations (1)
Discussion Papers, University of Copenhagen. Department of Economics (2014) View citations (1)
- Outlier detection algorithms for least squares time series regression
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2014) View citations (2)
- Times Series: Cointegration
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2014) View citations (2)
2013
- Asymptotic analysis of the Forward Search
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2013) View citations (6)
Economics Papers, Economics Group, Nuffield College, University of Oxford (2013) View citations (6)
2012
- Model Discovery and Trygve Haavelmo's Legacy
Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
See also Journal Article MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY, Econometric Theory, Cambridge University Press (2015) View citations (41) (2015)
- The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models
Working Paper, Economics Department, Queen's University View citations (5)
See also Journal Article THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS, Econometric Theory, Cambridge University Press (2016) View citations (38) (2016)
- The Selection of ARIMA Models with or without Regressors
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Also in Discussion Papers, University of Copenhagen. Department of Economics (2012)
- The role of initial values in nonstationary fractional time series models
Discussion Papers, University of Copenhagen. Department of Economics View citations (7)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (2)
2011
- An extension of cointegration to fractional autoregressive processes
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (5)
- Asymptotic theory for iterated one-step Huber-skip estimators
Discussion Papers, University of Copenhagen. Department of Economics View citations (5)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (5)
- Some Econometric Results for the Blanchard-Watson Bubble Model
Discussion Papers, University of Copenhagen. Department of Economics
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011)
- Statistical analysis of global surface air temperature and sea level using cointegration methods
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
Also in Discussion Papers, University of Copenhagen. Department of Economics (2011)
- The Properties of Model Selection when Retaining Theory Variables
Discussion Papers, University of Copenhagen. Department of Economics View citations (3)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (3)
- 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 View citations (1)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (4)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (4)
2010
- A Necessary Moment Condition For The Fractional Functional Central Limit Theorem
Working Paper, Economics Department, Queen's University View citations (1)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (5)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (1)
See also Journal Article A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM, Econometric Theory, Cambridge University Press (2012) View citations (3) (2012)
- An Invariance Property of the Common Trends under Linear Transformations of the Data
Discussion Papers, University of Copenhagen. Department of Economics View citations (2)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (2)
- Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2010) View citations (2)
Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (2)
- Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model
Working Paper, Economics Department, Queen's University View citations (8)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (6)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (15)
See also Journal Article Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model, Econometrica, Econometric Society (2012) View citations (203) (2012)
2009
- A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2008) View citations (9)
- Likelihood Inference For A Nonstationary Fractional Autoregressive Model
Working Paper, Economics Department, Queen's University View citations (46)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2007) View citations (4)
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (5)
See also Journal Article Likelihood inference for a nonstationary fractional autoregressive model, Journal of Econometrics, Elsevier (2010) View citations (111) (2010)
- 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, Department of Economics and Business Economics, Aarhus University (2009)
2008
- An analysis of the indicator saturation estimator as a robust regression
Discussion Papers, University of Copenhagen. Department of Economics View citations (20)
- An analysis of the indicator saturation estimator as a robust regression estimator
Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2008) View citations (4)
- 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 View citations (5)
Also in Discussion Papers, University of Copenhagen. Department of Economics (2007) View citations (5)
2007
- Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
Discussion Papers, University of Copenhagen. Department of Economics View citations (7)
See also Journal Article Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression, American Economic Review, American Economic Association (2008) View citations (86) (2008)
- Correlation, Regression, and Cointegration of Nonstationary Economic Time Series
Discussion Papers, University of Copenhagen. Department of Economics View citations (13)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (13)
- Exact Rational Expectations, Cointegration, and Reduced Rank Regression
Discussion Papers, University of Copenhagen. Department of Economics
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007)
- Selecting a Regression Saturated by Indicators
Discussion Papers, University of Copenhagen. Department of Economics
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (2)
- Some Identification Problems in the Cointegrated Vector Autoregressive Model
Discussion Papers, University of Copenhagen. Department of Economics View citations (2)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (2)
See also Journal Article Some identification problems in the cointegrated vector autoregressive model, Journal of Econometrics, Elsevier (2010) View citations (8) (2010)
2005
- Extracting Information from the Data: A Popperian View on Empirical Macro
Discussion Papers, University of Copenhagen. Department of Economics View citations (5)
2003
- More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
Discussion Papers, Statistics Norway, Research Department View citations (2)
2001
- Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data
Discussion Papers, University of Copenhagen. Department of Economics View citations (25)
Also in Economics Working Papers, European University Institute (2001) View citations (12)
- The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model
Economics Working Papers, European University Institute View citations (2)
See also Journal Article The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model, Journal of Time Series Analysis, Wiley Blackwell (2003) View citations (4) (2003)
2000
- A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model
Economics Working Papers, European University Institute View citations (8)
1999
- A Bartlett Correction Factor for Tests on the Cointegrating Relations
Economics Working Papers, European University Institute View citations (15)
See also Journal Article A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS, Econometric Theory, Cambridge University Press (2000) View citations (95) (2000)
- A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
Economics Working Papers, European University Institute View citations (3)
See also Journal Article A small sample correction for tests of hypotheses on the cointegrating vectors, Journal of Econometrics, Elsevier (2002) View citations (31) (2002)
1997
- Granger's Representation Theorem and Multicointegration
Economics Working Papers, European University Institute View citations (9)
- Likelihood Analysis of Seasonal Cointegration
Economics Working Papers, European University Institute View citations (4)
See also Journal Article Likelihood analysis of seasonal cointegration, Journal of Econometrics, Elsevier (1998) View citations (40) (1998)
- Mathematical and Statistical Modelling of Cointegration
Economics Working Papers, European University Institute View citations (1)
1994
- Testing Rational Expectations in Vector Autoregressive Models
Discussion Papers, Statistics Norway, Research Department
1992
- 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 (5)
See also Journal Article Identification of the long-run and the short-run structure an application to the ISLM model, Journal of Econometrics, Elsevier (1994) View citations (304) (1994)
- Recursive Estimation in Cointegrated VAR-Models
Discussion Papers, University of Copenhagen. Department of Economics View citations (40)
1991
- A Statistical Analsysis of Cointegration for I(2) Variables
Working Papers, Helsinki - Department of Economics View citations (24)
See also Journal Article A Stastistical Analysis of Cointegration for I(2) Variables, Econometric Theory, Cambridge University Press (1995) View citations (49) (1995)
- 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 (5)
- Determination of Cointegration Rank in the Presence of a Linear Trend
Working Papers, Helsinki - Department of Economics View citations (31)
See also Journal Article Determination of Cointegration Rank in the Presence of a Linear Trend, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1992) View citations (439) (1992)
- Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data
Working Papers, Helsinki - Department of Economics View citations (25)
See also Journal Article Testing weak exogeneity and the order of cointegration in UK money demand data, Journal of Policy Modeling, Elsevier (1992) View citations (274) (1992)
1990
- 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 (25)
1989
- The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications
Discussion Papers, University of Copenhagen. Department of Economics View citations (23)
1988
- 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 (21)
Journal Articles
2020
- Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature
Econometrics, 2020, 8, (4), 1-19 View citations (1)
2019
- BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES
Econometric Theory, 2019, 35, (3), 653-683 View citations (2)
- Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
Econometrics, 2019, 7, (1), 1-10 View citations (3)
- Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
Journal of Time Series Analysis, 2019, 40, (4), 519-543 View citations (14)
See also Working Paper Nonstationary Cointegration In The Fractionally Cointegrated Var Model, Working Paper (2018) View citations (6) (2018)
2018
- Testing the CVAR in the Fractional CVAR Model
Journal of Time Series Analysis, 2018, 39, (6), 836-849 View citations (14)
See also Working Paper Testing The Cvar In The Fractional Cvar Model, Working Paper (2017) View citations (2) (2017)
- The cointegrated vector autoregressive model with general deterministic terms
Journal of Econometrics, 2018, 202, (2), 214-229 View citations (4)
See also Working Paper The Cointegrated Vector Autoregressive Model With General Deterministic Terms, Working Paper (2016) (2016)
2017
- Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models
Econometrics, 2017, 5, (3), 1-15 View citations (4)
- Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
Econometrics, 2017, 5, (2), 1-20 View citations (4)
See also Working Paper Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles, CREATES Research Papers (2017) View citations (5) (2017)
2016
- Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
Scandinavian Journal of Statistics, 2016, 43, (2), 321-348 View citations (45)
- Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
Scandinavian Journal of Statistics, 2016, 43, (2), 374-381 View citations (46)
- THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
Econometric Theory, 2016, 32, (5), 1095-1139 View citations (38)
See also Working Paper The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models, Working Paper (2012) View citations (5) (2012)
2015
- MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
Econometric Theory, 2015, 31, (1), 93-114 View citations (41)
See also Working Paper Model Discovery and Trygve Haavelmo's Legacy, Economics Series Working Papers (2012) View citations (1) (2012)
2014
- An asymptotic invariance property of the common trends under linear transformations of the data
Journal of Econometrics, 2014, 178, (P2), 310-315 View citations (10)
2013
- Least squares estimation in a simple random coefficient autoregressive model
Journal of Econometrics, 2013, 177, (2), 285-288 View citations (2)
- Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator
Econometrics, 2013, 1, (1), 1-18 View citations (15)
2012
- A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
Econometric Theory, 2012, 28, (3), 671-679 View citations (3)
See also Working Paper A Necessary Moment Condition For The Fractional Functional Central Limit Theorem, Working Paper (2010) View citations (1) (2010)
- Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
Econometrica, 2012, 80, (6), 2667-2732 View citations (203)
See also Working Paper Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model, Working Paper (2010) View citations (8) (2010)
- The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration
Contemporary Economics, 2012, 6, (2) View citations (7)
2011
- On a Graphical Technique for Evaluating Some Rational Expectations Models
Journal of Time Series Econometrics, 2011, 3, (1), 29 View citations (2)
2010
- Likelihood inference for a nonstationary fractional autoregressive model
Journal of Econometrics, 2010, 158, (1), 51-66 View citations (111)
See also Working Paper Likelihood Inference For A Nonstationary Fractional Autoregressive Model, Working Paper (2009) View citations (46) (2009)
- Some identification problems in the cointegrated vector autoregressive model
Journal of Econometrics, 2010, 158, (2), 262-273 View citations (8)
See also Working Paper Some Identification Problems in the Cointegrated Vector Autoregressive Model, Discussion Papers (2007) View citations (2) (2007)
- 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 View citations (46)
2009
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
Econometric Reviews, 2009, 28, (1-3), 121-145 View citations (28)
2008
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
Econometric Theory, 2008, 24, (3), 651-676 View citations (170)
- Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
American Economic Review, 2008, 98, (2), 251-55 View citations (86)
See also Working Paper Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression, Discussion Papers (2007) View citations (7) (2007)
- Automatic selection of indicators in a fully saturated regression
Computational Statistics, 2008, 23, (2), 337-339 View citations (193)
Also in Computational Statistics, 2008, 23, (2), 317-335 (2008) View citations (200)
2006
- Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
Journal of Econometrics, 2006, 132, (1), 81-115 View citations (37)
2005
- A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
Econometric Theory, 2005, 21, (3), 653-658
- Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model
Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 93-104 View citations (56)
2004
- Comment
Journal of Business & Economic Statistics, 2004, 22, 169-172
- 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 (21)
2003
- 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 (4)
See also Working Paper The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model, Economics Working Papers (2001) View citations (2) (2001)
2002
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
Econometrica, 2002, 70, (5), 1929-1961 View citations (193)
- A small sample correction for tests of hypotheses on the cointegrating vectors
Journal of Econometrics, 2002, 111, (2), 195-221 View citations (31)
See also Working Paper A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors, Economics Working Papers (1999) View citations (3) (1999)
- Discussion
Scandinavian Journal of Statistics, 2002, 29, (2), 213-216
2000
- A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
Econometric Theory, 2000, 16, (5), 740-778 View citations (95)
See also Working Paper A Bartlett Correction Factor for Tests on the Cointegrating Relations, Economics Working Papers (1999) View citations (15) (1999)
- Cointegration analysis in the presence of structural breaks in the deterministic trend
Econometrics Journal, 2000, 3, (2), 216-249 View citations (409)
- Modelling of cointegration in the vector autoregressive model
Economic Modelling, 2000, 17, (3), 359-373 View citations (56)
1999
- Some tests for parameter constancy in cointegrated VAR-models
Econometrics Journal, 1999, 2, (2), 306-333 View citations (424)
- Testing exact rational expectations in cointegrated vector autoregressive models
Journal of Econometrics, 1999, 93, (1), 73-91 View citations (46)
1998
- Likelihood analysis of seasonal cointegration
Journal of Econometrics, 1998, 88, (2), 301-339 View citations (40)
See also Working Paper Likelihood Analysis of Seasonal Cointegration, Economics Working Papers (1997) View citations (4) (1997)
1995
- A Stastistical Analysis of Cointegration for I(2) Variables
Econometric Theory, 1995, 11, (1), 25-59 View citations (49)
See also Working Paper A Statistical Analsysis of Cointegration for I(2) Variables, Working Papers (1991) View citations (24) (1991)
- Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
Journal of Econometrics, 1995, 69, (1), 111-132 View citations (230)
- The Role of Ancillarity in Inference for Non-stationary Variables
Economic Journal, 1995, 105, (429), 302-20 View citations (6)
1994
- 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 (304)
See also Working Paper Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model, Discussion Papers (1992) View citations (5) (1992)
1992
- A Representation of Vector Autoregressive Processes Integrated of Order 2
Econometric Theory, 1992, 8, (2), 188-202 View citations (119)
- Cointegration in partial systems and the efficiency of single-equation analysis
Journal of Econometrics, 1992, 52, (3), 389-402 View citations (518)
- Determination of Cointegration Rank in the Presence of a Linear Trend
Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 383-97 View citations (439)
See also Working Paper Determination of Cointegration Rank in the Presence of a Linear Trend, Working Papers (1991) View citations (31) (1991)
- 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 (797)
- Testing weak exogeneity and the order of cointegration in UK money demand data
Journal of Policy Modeling, 1992, 14, (3), 313-334 View citations (274)
See also Working Paper Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data, Working Papers (1991) View citations (25) (1991)
1991
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
Econometrica, 1991, 59, (6), 1551-80 View citations (5094)
1990
- 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 (5656)
1988
- Statistical analysis of cointegration vectors
Journal of Economic Dynamics and Control, 1988, 12, (2-3), 231-254 View citations (7581)
1987
- Estimation of proportional covariances
Statistics & Probability Letters, 1987, 6, (2), 83-85 View citations (1)
Books
1998
- Workbook on Cointegration
OUP Catalogue, Oxford University Press View citations (46)
1995
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
OUP Catalogue, Oxford University Press View citations (3345)
Chapters
2004
- A Small Sample Correction of the Dickey-Fuller Test
A chapter in New Directions in Macromodelling, 2004, pp 49-68
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