Details about Soren Johansen

Homepage:	https://www.econ.ku.dk/ansatte/emeriti/?pure=da/persons/34220
Phone:	0045-35323071
Postal address:	Department of Economics University of Copenhagen Building 26 Øster Farimagsgade 5 DK-1353 Copenhagen K. Denmark
Workplace:	Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC) Økonomisk Institut (Department of Economics), Københavns Universitet (University of Copenhagen), (more information at EDIRC)

Access statistics for papers by Soren Johansen.

Last updated 2023-05-08. Update your information in the RePEc Author Service.

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Working Papers

2022

1. Weak convergence to derivatives of fractional Brownian motion
   Papers, arXiv.org

2021

2. Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   Also in Discussion Papers, University of Copenhagen. Department of Economics (2021)
3. Asset Prices Under Knightian Uncertainty
   Working Papers Series, Institute for New Economic Thinking

2019

4. 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 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)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2019) View citations (1)
5. 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 (2)
6. 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 (4)
7. The analysis of marked and weighted empirical processes of estimated residuals
   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 (2019) View citations (4)
   Discussion Papers, University of Copenhagen. Department of Economics (2019) View citations (4)
   Economics Series Working Papers, University of Oxford, Department of Economics (2019) View citations (4)
8. 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 Economics Papers, Economics Group, Nuffield College, University of Oxford (2019) View citations (1)
   Discussion Papers, University of Copenhagen. Department of Economics (2019) View citations (3)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2019) View citations (4)

2018

9. Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models
   Discussion Papers, University of Copenhagen. Department of Economics
10. 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 in Journal of Time Series Analysis (2019)

2017

11. Cointegration between trends and their estimators in state space models and CVAR models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2017) View citations (2)
12. 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 in Econometrics (2017)
13. 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 Working Papers Series, Institute for New Economic Thinking (2017) View citations (1)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (1)
14. 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 in Journal of Time Series Analysis (2018)
15. 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

16. The Cointegrated Vector Autoregressive Model With General Deterministic Terms
    Working Paper, Economics Department, Queen's University
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2016)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2016)
    See also Journal Article in Journal of Econometrics (2018)
17. 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
18. Tightness of M-estimators for multiple linear regression in time series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2015

19. 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

20. Optimal Hedging with the Vector Autoregressive Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute
21. Optimal hedging with the cointegrated vector autoregressive model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2014)
    Discussion Papers, University of Copenhagen. Department of Economics (2014)
22. 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)
23. Times Series: Cointegration
    Discussion Papers, University of Copenhagen. Department of Economics View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (2)

2013

24. Asymptotic analysis of the Forward Search
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2013) View citations (6)
    Discussion Papers, University of Copenhagen. Department of Economics (2013) View citations (6)

2012

25. Model Discovery and Trygve Haavelmo's Legacy
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
    See also Journal Article in Econometric Theory (2015)
26. 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 in Econometric Theory (2016)
27. The Selection of ARIMA Models with or without Regressors
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012)
28. The role of initial values in nonstationary fractional time series models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) View citations (7)

2011

29. 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)
30. Asymptotic theory for iterated one-step Huber-skip estimators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2011) View citations (5)
31. 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)
32. 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)
33. The Properties of Model Selection when Retaining Theory Variables
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2011) View citations (3)
34. 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 CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (4)
    Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (4)

2010

35. 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 in Econometric Theory (2012)
36. 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)
37. Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (2)
38. 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 in Econometrica (2012)

2009

39. 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)
40. 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 in Journal of Econometrics (2010)
41. 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

42. An analysis of the indicator saturation estimator as a robust regression
    Discussion Papers, University of Copenhagen. Department of Economics View citations (20)
43. An analysis of the indicator saturation estimator as a robust regression estimator
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2008) View citations (4)
44. 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

45. 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 in American Economic Review (2008)
46. 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)
47. 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)
48. Selecting a Regression Saturated by Indicators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2007)
49. 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 in Journal of Econometrics (2010)

2005

50. Extracting Information from the Data: A Popperian View on Empirical Macro
    Discussion Papers, University of Copenhagen. Department of Economics View citations (5)

2003

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

2001

52. 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)
53. 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 in Journal of Time Series Analysis (2003)

2000

54. 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

55. A Bartlett Correction Factor for Tests on the Cointegrating Relations
    Economics Working Papers, European University Institute View citations (15)
    See also A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS, Econometric Theory, Cambridge University Press View citations (95)
56. A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors
    Economics Working Papers, European University Institute View citations (3)
    See also A small sample correction for tests of hypotheses on the cointegrating vectors, Journal of Econometrics, Elsevier View citations (30)

1997

57. Granger's Representation Theorem and Multicointegration
    Economics Working Papers, European University Institute View citations (9)
58. Likelihood Analysis of Seasonal Cointegration
    Economics Working Papers, European University Institute View citations (4)
    See also Journal Article in Journal of Econometrics (1998)
59. Mathematical and Statistical Modelling of Cointegration
    Economics Working Papers, European University Institute View citations (1)

1994

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

1992

61. 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 in Journal of Econometrics (1994)
62. Recursive Estimation in Cointegrated VAR-Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (41)

1991

63. 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)
64. 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)
65. Determination of Cointegration Rank in the Presence of a Linear Trend
    Working Papers, Helsinki - Department of Economics View citations (32)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1992)
66. 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 in Journal of Policy Modeling (1992)

1990

67. 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 (21)

1989

68. The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications
    Discussion Papers, University of Copenhagen. Department of Economics View citations (23)

1988

69. 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

1. Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature
   Econometrics, 2020, 8, (4), 1-19 View citations (1)

2019

2. BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES
   Econometric Theory, 2019, 35, (3), 653-683 View citations (1)
3. Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
   Econometrics, 2019, 7, (1), 1-10 View citations (3)
4. Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
   Journal of Time Series Analysis, 2019, 40, (4), 519-543 View citations (12)
   See also Working Paper (2018)

2018

5. Testing the CVAR in the Fractional CVAR Model
   Journal of Time Series Analysis, 2018, 39, (6), 836-849 View citations (13)
   See also Working Paper (2017)
6. The cointegrated vector autoregressive model with general deterministic terms
   Journal of Econometrics, 2018, 202, (2), 214-229 View citations (4)
   See also Working Paper (2016)

2017

7. Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models
   Econometrics, 2017, 5, (3), 1-15 View citations (4)
8. 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 (2017)

2016

9. Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
   Scandinavian Journal of Statistics, 2016, 43, (2), 321-348 View citations (42)
10. Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
    Scandinavian Journal of Statistics, 2016, 43, (2), 374-381 View citations (43)
11. 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 (35)
    See also Working Paper (2012)

2015

12. MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
    Econometric Theory, 2015, 31, (1), 93-114 View citations (37)
    See also Working Paper (2012)

2014

13. 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

14. Least squares estimation in a simple random coefficient autoregressive model
    Journal of Econometrics, 2013, 177, (2), 285-288 View citations (1)
15. Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator
    Econometrics, 2013, 1, (1), 1-18 View citations (14)

2012

16. A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
    Econometric Theory, 2012, 28, (3), 671-679 View citations (2)
    See also Working Paper (2010)
17. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
    Econometrica, 2012, 80, (6), 2667-2732 View citations (184)
    See also Working Paper (2010)
18. The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration
    Contemporary Economics, 2012, 6, (2) View citations (6)

2011

19. On a Graphical Technique for Evaluating Some Rational Expectations Models
    Journal of Time Series Econometrics, 2011, 3, (1), 1-29 View citations (2)

2010

20. Likelihood inference for a nonstationary fractional autoregressive model
    Journal of Econometrics, 2010, 158, (1), 51-66 View citations (103)
    See also Working Paper (2009)
21. Some identification problems in the cointegrated vector autoregressive model
    Journal of Econometrics, 2010, 158, (2), 262-273 View citations (8)
    See also Working Paper (2007)
22. 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 (45)

2009

23. Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
    Econometric Reviews, 2009, 28, (1-3), 121-145 View citations (27)

2008

24. A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
    Econometric Theory, 2008, 24, (3), 651-676 View citations (156)
25. Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
    American Economic Review, 2008, 98, (2), 251-55 View citations (85)
    See also Working Paper (2007)
26. Automatic selection of indicators in a fully saturated regression
    Computational Statistics, 2008, 23, (2), 317-335 View citations (189)
    Also in Computational Statistics, 2008, 23, (2), 337-339 (2008) View citations (182)

2006

27. Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
    Journal of Econometrics, 2006, 132, (1), 81-115 View citations (36)

2005

28. A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
    Econometric Theory, 2005, 21, (3), 653-658
29. 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

30. Comment
    Journal of Business & Economic Statistics, 2004, 22, 169-172
31. 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

32. 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 (2001)

2002

33. A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
    Econometrica, 2002, 70, (5), 1929-1961 View citations (191)
34. Discussion
    Scandinavian Journal of Statistics, 2002, 29, (2), 213-216

2000

35. Cointegration analysis in the presence of structural breaks in the deterministic trend
    Econometrics Journal, 2000, 3, (2), 216-249 View citations (400)
36. Modelling of cointegration in the vector autoregressive model
    Economic Modelling, 2000, 17, (3), 359-373 View citations (54)

1999

37. Some tests for parameter constancy in cointegrated VAR-models
    Econometrics Journal, 1999, 2, (2), 306-333 View citations (423)
38. Testing exact rational expectations in cointegrated vector autoregressive models
    Journal of Econometrics, 1999, 93, (1), 73-91 View citations (46)

1998

39. Likelihood analysis of seasonal cointegration
    Journal of Econometrics, 1998, 88, (2), 301-339 View citations (40)
    See also Working Paper (1997)

1995

40. A Stastistical Analysis of Cointegration for I(2) Variables
    Econometric Theory, 1995, 11, (1), 25-59 View citations (47)
    See also Working Paper (1991)
41. Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
    Journal of Econometrics, 1995, 69, (1), 111-132 View citations (221)
42. The Role of Ancillarity in Inference for Non-stationary Variables
    Economic Journal, 1995, 105, (429), 302-20 View citations (6)

1994

43. 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 (301)
    See also Working Paper (1992)

1992

44. A Representation of Vector Autoregressive Processes Integrated of Order 2
    Econometric Theory, 1992, 8, (2), 188-202 View citations (117)
45. Cointegration in partial systems and the efficiency of single-equation analysis
    Journal of Econometrics, 1992, 52, (3), 389-402 View citations (508)
46. Determination of Cointegration Rank in the Presence of a Linear Trend
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 383-97 View citations (435)
    See also Working Paper (1991)
47. 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 (788)
48. Testing weak exogeneity and the order of cointegration in UK money demand data
    Journal of Policy Modeling, 1992, 14, (3), 313-334 View citations (268)
    See also Working Paper (1991)

1991

49. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
    Econometrica, 1991, 59, (6), 1551-80 View citations (4855)

1990

50. 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 (5509)

1988

51. Statistical analysis of cointegration vectors
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 231-254 View citations (7314)

1987

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

Books

1998

1. Workbook on Cointegration
   OUP Catalogue, Oxford University Press View citations (45)

1995

2. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
   OUP Catalogue, Oxford University Press View citations (3230)

Chapters

2004

1. A Small Sample Correction of the Dickey-Fuller Test
   A chapter in New Directions in Macromodelling, 2004, pp 49-68