Department of Economics and Business Economics

Søren Johansen

  1. 2021
  2. Published

    Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models. / Johansen, Søren; Swensen, Anders Ryghn.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2021.

    Research output: Working paperResearch

  3. 2020
  4. Published

    Data revisions and the statistical relation of global mean sea level and surface temperature. / Hillebrand, Eric; Johansen, Søren; Schmith, Torben.

    In: Econometrics, Vol. 8, No. 4, 41, 12.2020, p. 1-19.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. 2019
  6. Published

    Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. / Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2019.

    Research output: Working paperResearch

  7. Published

    Nonstationary Cointegration in the Fractionally Cointegrated VAR Model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Journal of Time Series Analysis, Vol. 40, No. 4, 07.2019, p. 519-543.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  8. Published

    Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. / Berenguer-Rico, Vanessa; Johansen, Søren; Nielsen, Bent.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2019.

    Research output: Working paperResearch

  9. Published

    Boundedness of M-estimators for linear regression in time series. / Johansen, Søren; Nielsen, Bent.

    In: Econometric Theory, Vol. 35, No. 3, 06.2019, p. 653-683.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. Published

    Cointegration and adjustment in the CVAR(∞) representation of some partially observed CVAR(1) models. / Johansen, Søren.

    In: Econometrics, Vol. 7, No. 1, 2, 03.2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. 2018
  12. Published

    Testing the CVAR in the Fractional CVAR Model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Journal of Time Series Analysis, Vol. 39, No. 6, 01.11.2018, p. 836-849.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  13. Published

    The cointegrated vector autoregressive model with general deterministic terms. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Journal of Econometrics, Vol. 202, No. 2, 2018, p. 214-229.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. 2017
  15. Published

    Testing the CVAR in the fractional CVAR model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  16. Published

    The Qualitative Expectations Hypothesis : Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment. / Frydman, Roman; Johansen, Søren; Rahbek, Anders; Tabor, Morten Nyboe.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  17. Published

    Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles. / Franchi, Massimo; Johansen, Søren.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  18. Published

    The role of cointegration for optimal hedging with heteroscedastic error term. / Gatarek, Lutasz; Johansen, Søren.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  19. Published

    Cointegration between trends and their estimators in state space models and CVAR models. / Johansen, Søren; Tabor, Morten Nyboe.

    In: Econometrics, Vol. 5, No. 36, 2017.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  20. Published

    Cointegration between trends and their estimators in state space models and CVAR models. / Johansen, Søren; Tabor, Morten Nyboe.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

    Research output: Working paperResearch

  21. Published

    Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles. / Franchi, Massimo; Johansen, Søren.

    In: Econometrics, Vol. 5, No. 2, 2017.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  22. 2016
  23. Published

    The cointegrated vector autoregressive model with general deterministic terms. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

    Research output: Working paperResearch

  24. Published

    Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models. / Johansen, Søren; Nielsen, Bent.

    In: Scandinavian Journal of Statistics, Vol. 43, No. 2, 01.06.2016, p. 321-348.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  25. Published

    Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models. / Johansen, Søren; Nielsen, Bent.

    In: Scandinavian Journal of Statistics, Vol. 43, No. 2, 01.06.2016, p. 374-381.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  26. Published

    Tightness of M-estimators for multiple linear regression in time series. / Johansen, Søren; Nielsen, Bent.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

    Research output: Working paperResearch

  27. Published

    Analysis of the Forward Search using some new results for martingales and empirical processes. / Johansen, Soren; Nielsen, Bent.

    In: Bernoulli, Vol. 22, No. 2, 01.05.2016, p. 1131-1183.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  28. Published

    The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Econometric Theory, Vol. 32, No. 5, 2016, p. 1095-1139.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  29. 2015
  30. Published

    Model discovery and Trygve Haavelmo's legacy. / Hendry, David F.; Johansen, Søren.

    In: Econometric Theory, Vol. 31, No. 1 (Haavelmo Memorial Issue: Part one), 2015, p. 93-114.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  31. 2014
  32. Published

    Optimal hedging with the cointegrated vector autoregressive model. / Gatarek, Lukasz; Johansen, Søren.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paperResearch

  33. Published

    Outlier detection algorithms for least squares time series regression. / Johansen, Søren; Nielsen, Bent.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paperResearch

  34. Published

    Times Series : Cointegration. / Johansen, Søren.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paperResearch

  35. Published

    An asymptotic invariance property of the common trends under linear transformations of the data. / Johansen, Søren; Juselius, Katarina.

    In: Journal of Econometrics, Vol. 178, No. Part 2, 01.01.2014, p. 310-315.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  36. 2013
  37. Published

    Least squares estimation in a simple random coefficient autoregressive model. / Johansen, Søren; Lange, Theis.

    In: Journal of Econometrics, Vol. 177, No. 2, 01.12.2013, p. 285-288.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  38. Published

    Asymptotic analysis of the Forward Search. / Johansen, Søren; Nielsen, Bent.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paperResearch

  39. Published

    Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. / Johansen, Søren; Nielsen, Bent.

    In: Econometrics, Vol. 1, No. 1, 2013, p. 53-70.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  40. 2012
  41. Published

    The Selection of ARIMA Models with or without Regressors. / Johansen, Søren; Riani, Marco; Atkinson, Anthony C.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paperResearch

  42. Published

    Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Econometrica, Vol. 80, No. 6, 01.11.2012, p. 2667-2732.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  43. Published

    A necessary moment condition for the fractional functional central limit theorem. / Johansen, Søren; Nielsen, Morten Ørregaard.

    In: Econometric Theory, Vol. 28, No. 3, 01.06.2012, p. 671-679.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  44. Published

    Statistical analysis of global surface temperature and sea level using cointegration methods. / Schmith, Torben; Johansen, Søren; Thejll, Peter.

    In: Journal of Climate, Vol. 25, No. 22, 01.01.2012, p. 7822-7833.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  45. Published

    The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration. / Johansen, Søren.

    In: Contemporary Economics, Vol. 6, No. 2, 01.01.2012, p. 40-57.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  46. 2011
  47. Published

    An extension of cointegration to fractional autoregressive processes. / Johansen, Søren.

    Aarhus : CREATES, Institut for Økonomi, Aarhus Universitet, 2011.

    Research output: Working paperResearch

  48. Published

    An extension of cointegration to fractional autoregressive processes. / Johansen, Søren.

    The Yearbook of the Finnish Statistical Society 2010. Helsinki, 2011. p. 20-34.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  49. Published

    Asymptotic Theory for Iterated One-Step Huber-Skip Estimators. / Johansen, Søren; Nielsen, Bent.

    Kbh., 2011.

    Research output: Working paperResearch

  50. Published

    On a Graphical Technique for Evaluating Some Rational Expectations Models. / Johansen, Søren; Swensen, Anders R.

    In: Journal of Time Series Econometrics, Vol. 3, No. 1, 2011, p. Article 9.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  51. Published

    Some Econometric Results for the Blanchard-Watson Bubble Model. / Johansen, Soren; Lange, Theis.

    2011.

    Research output: Working paperResearch

  52. 2010
  53. Published

    A necessary moment condition for the fractional functional central limit theorem. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  54. Published
  55. Published

    An Invariance Property of the Common Trends under Linear Transformations of the Data. / Johansen, Søren; Juselius, Katarina.

    2010.

    Research output: Working paperResearch

  56. Published

    An invariance property of the common trends under linear transformations of the data. / Johansen, Søren; Juselius, Katarina.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  57. Published
  58. Published

    Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli. / Johansen, Søren; Nielsen, Bent.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  59. Published

    Discussion: The Forward Search: Theory and Data Analysis. / Johansen, Søren; Nielsen, Bent.

    In: Journal of the Korean Statistical Society, Vol. 39, No. 2, 2010, p. 137-145.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperComment/debateResearch

  60. Published

    Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    2010.

    Research output: Working paperResearch

  61. Published

    Likelihood inference for a fractionally cointegrated vector autoregressive model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  62. Published

    Likelihood inference for a nonstationary fractional autoregressive model. / Johansen, Søren; Ørregård Nielsen, Morten.

    In: Journal of Econometrics, Vol. 158, No. 1, 2010, p. 51-66.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  63. Published

    Some Identification Problems in the Cointegrated Vector Autoregressive Model. / Johansen, Søren.

    In: Journal of Econometrics, Vol. 158, No. 2, 2010, p. 262-273.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  64. Published

    Søren Johansen and Katarina Juselius : Interview. / Johansen, Søren; Juselius, Katarina.

    European Economics at a Crossroads. ed. / J. Barkley Rosser, Jr.; Richard P.F. Holt; David Colander. Cheltenham, UK, 2010. p. 115-131.

    Research output: Contribution to book/anthology/report/proceedingBook chapterCommunication

  65. Published

    Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate. / Johansen, Søren; Juselius, Katarina; Frydman, Roman; Goldberg, Michael.

    In: Journal of Econometrics, Vol. 158, No. 1, 2010, p. 117-129.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  66. Published
  67. Published
  68. 2009
  69. Published

    A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings. / Frydman, Roman; Goldberg, Michael D.; Johansen, Søren; Juselius, Katarina.

    Aarhus, 2009.

    Research output: Working paperResearch

  70. Published

    An analysis of the indicator saturation estimator as a robust regression estimator. / Johansen, Søren; Nielsen, Bent.

    The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. ed. / Neil Shepard; Jennifer Castle. Oxford, 2009. p. 1-36.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  71. Published

    Cointegration : Overview and Development. / Johansen, Søren.

    Handbook of Financial Time Series. ed. / Torben G. Andersen; Jens-Peter Kreiss; Richard A. Davis; Thomas Mikosch. 2009. p. 671-693.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  72. Published
  73. Published

    On a numerical and graphical technique for evaluating some models involving rational expectations. / Johansen, Søren; Swensen, Anders Rygh.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Research output: Working paperResearch

  74. Published

    Representation of cointegrated autoregressive processes with application to fractional processes. / Johansen, Søren.

    In: Econometric Reviews, Vol. 28, No. 1-3, 2009, p. 121-145.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  75. 2008
  76. Published

    A Resolution of the Purchasing Power Parity Puzzle : Imperfect Knowledge and Long Swings. / Frydman, Roman; Goldberg, Michael D.; Johansen, Søren; Juselius, Katarina.

    2008.

    Research output: Working paperResearch

  77. Published

    A representation theory for a class of vector autoregressive models for fractional processes. / Johansen, Søren.

    In: Econometric Theory, Vol. 24, No. 3, 2008, p. 651-676.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  78. Published

    Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression. / Hoover, Kevin D.; Johansen, Søren; Juselius, Katarina.

    In: American Economic Review, No. 2 (Papers & Proceedings), 2008, p. 251–255.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperConference articleResearch

  79. Published

    An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator. / Johansen, Søren; Nielsen, Bent.

    2008.

    Research output: Working paperResearch

  80. Published

    Automatic selection of indicators in a fully saturated regression. / Hendry, David F.; Johansen, Søren; Santos, Carlos.

    In: Computational Statistics, Vol. 23, No. 2, 2008, p. 317-335.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  81. Published

    Correlation, regression, and cointegration of nonstationary economic time series. / Johansen, Søren.

    Bulletin of the International Statistical Institute vol. LXII: Proceedings of the 56th session of the International Statistical Institute, 22-29 August 2007, Lisboa, Portugal. ed. / M. Ivette Gomes; José Alberto Pinto Martins; José Alberto Silva. 2008. p. 19-26.

    Research output: Contribution to book/anthology/report/proceedingArticle in proceedingsResearchpeer-review

  82. Published

    Exact rational expectations, cointegration, and reduced rank regression. / Johansen, Søren; Swensen, Anders Rygh.

    In: Journal of Statistical Planning and Inference, Vol. 138, No. 9, 2008, p. 2738-2748.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  83. Published

    Reduced Rank Regression. / Johansen, Søren.

    The New Palgrave Dictionary of Economics. ed. / Steven N. Durlauf; Lawrence E. Blume. 2. ed. 2008.

    Research output: Contribution to book/anthology/report/proceedingEncyclopedia entryResearch

  84. Published

    Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate. / Johansen, Søren; Juselius, Katarina; Frydman, Roman; Goldberg, Michael.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  85. 2007
  86. Published

    Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression. / Hoover, Kevin D.; Juselius, Katarina; Johansen, Søren.

    2007.

    Research output: Working paperResearch

  87. Published

    Comment on "A Semi-Empirical Approach to Projecting Future Sea-Level Rise" / Johansen, Søren; Schmith, Torben; Thejll, Peter.

    In: Science, Vol. 317, No. 5846, 2007, p. 1866.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperLetterResearch

  88. Published
  89. Published

    Correlation, regression, and cointegration of nonstationary economic time series. / Johansen, Søren.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paperResearch

  90. Published

    Exact Rational Expectations, Cointegration, and Reduced Rank Regression. / Johansen, Søren; Swensen, Anders Rygh.

    2007.

    Research output: Working paperResearch

  91. Published

    Exact rational expectations, cointegration, and reduced rank regression. / Johansen, Søren; Swensen, Anders Rygh.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paperResearch

  92. Published

    Likelihood Inference for a Nonstationary Fractional Autoregressive Model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    2007.

    Research output: Working paperResearch

  93. Published

    Likelihood inference for a nonstationary fractional autoregressive model. / Johansen, Søren; Nielsen, Morten Ørregaard.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paperResearch

  94. Published

    Selecting a Regression Saturated by Indicators. / Hendry, David F.; Johansen, Søren; Santos, Carlos.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paperResearch

  95. Published

    Selecting a Regression Saturated by Indicators. / Hendry, David F.; Johansen, Søren; Santos, Carlos.

    2007.

    Research output: Working paperResearch

  96. Published
  97. Published

    Some identification problems in the cointegrated vector autoregressive model. / Johansen, Søren.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2007.

    Research output: Working paperResearch

  98. Published

    Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate. / Johansen, Søren; Juselius, Katarina; Frydman, Roman; Goldberg, Michael.

    2007.

    Research output: Working paperResearch

  99. 2006
  100. Published

    Cointegration. Overview and Development. / Johansen, Søren.

    Department of Applied Mathematics and Statistics / University of Copenhagen, 2006. p. 1-22.

    Research output: Working paperResearch

  101. Published

    Cointegration: a survey. / Johansen, Søren.

    Handbook of Econometrics: Vol 1 Econometric Theory. ed. / T.C. Mills; K.P. Palgrave. Vol. 1 2006. p. 540-577.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  102. Published

    Confronting the Economic Model with the Data. / Johansen, Søren.

    Post Walrasian Macroeconomics. Beyond the Dynamic Stochastic General Equilibrium Model. ed. / David Colander. 2006. p. 287-300.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  103. Published

    Extracting information from the data : a European view on empirical macro. / Juselius, Katarina; Johansen, Søren.

    Post Walrasian Macroeconomics: Beyond the Dynamic Stochastic General Equilibrium Model. ed. / David Colander. Cambridge, 2006. p. 301-333.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  104. Published

    Statistical analysis of hypotheses on the cointegrating relations in the I(2) model. / Johansen, Søren.

    In: Journal of Econometrics, Vol. 132, 2006, p. 81-115.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  105. 2005
  106. Published

    A Note on testing restrictions for the cointegration parameters of a VAR with I(2) variables. / Johansen, Søren; Lütkepohl, Helmut.

    In: Econometric Theory, No. 21, 2005, p. 653-658.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  107. Published

    A Representation Theory for a Class of Vector Autoregressive Models for Fractional Processes. / Johansen, Søren.

    Department of Applied Mathematics and Statistics, 2005. p. 1-22.

    Research output: Working paperResearch

  108. Published

    Confronting the Economic Model with the Data. / Johansen, Søren.

    Department of Applied Mathematics and Statistics, 2005. p. 1-13.

    Research output: Working paperResearch

  109. Published

    Extracting Information from the Data: A European View on Empirical Macro. / Johansen, Søren; Juselius, K.

    Department of Applied Mathematics and Statistics, 2005. p. 1-26.

    Research output: Working paperResearch

  110. Published

    Maximum Likelihood Estimation and Inference on Cointegration -with Applications to the Demand for Money. / Johansen, Søren; Juselius, Katarina.

    General-to-SpecificModelling, Vol I. ed. / Julia Campos; Neil Ericsson; David Hendry. 2005. p. 512-553.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  111. Published

    Moderne Økonometri. / Johansen, Søren; Juselius, Katarina.

    In: Samfundsoekonomen, No. 3, 2005, p. 4-7.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  112. Published

    Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes. / Johansen, Søren.

    Department of Applied Mathematics and Statistics, 2005. p. 1-23.

    Research output: Working paperResearch

  113. Published

    Testing Weak Exogeneity and the Order of Cointegration in the UK Money Demand Data. / Johansen, Søren.

    General-to-Specific Modelling, Vol II. ed. / Julia Campos; Neil Ericsson; David Hendry. 2005. p. 589-610.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  114. Published

    The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model. / Johansen, Søren.

    In: Oxford Bulletin of Economics and Statistics, Vol. 67, No. 1, 2005, p. 93-104.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  115. 2004
  116. Published

    A Small Sample Correction of the Dickey-Fuller Test. / Johansen, Søren.

    Afdeling for Anvendt Matematek og Statistik / Københavns Universitet, 2004. p. 1-18.

    Research output: Working paperResearch

  117. Published

    A Small Sample Correction of the Dickey-Fuller Test. / Johansen, Søren.

    New Directions in Macromodelling. 2004. p. 49-68.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearch

  118. Published

    Cointegration; An Overview. / Johansen, Søren.

    Afdeling for Anvendt Matematik og Statistik / Københavns Universitet, 2004. p. 1-37.

    Research output: Working paperResearch

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