Soren Johansen
Names
| first: |
Soren |
| last: |
Johansen |
Identifer
Contact
Affiliations
-
Aarhus Universitet
/ Institut for Økonomi
/ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 15%)
-
Københavns Universitet
/ Økonomisk Institut (weight: 85%)
Research profile
author of:
- Some identification problems in the cointegrated vector autoregressive model (RePEc:aah:create:2007-32)
by Søren Johansen - Likelihood inference for a nonstationary fractional autoregressive model (RePEc:aah:create:2007-33)
by Søren Johansen & Morten Ørregaard Nielsen - Correlation, regression, and cointegration of nonstationary economic time series (RePEc:aah:create:2007-35)
by Søren Johansen - Selecting a Regression Saturated by Indicators (RePEc:aah:create:2007-36)
by Søren Johansen & David F. Hendry & Carlos Santos - Exact rational expectations, cointegration, and reduced rank regression (RePEc:aah:create:2007-41)
by Søren Johansen & Anders Rygh Swensen - Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate (RePEc:aah:create:2008-03)
by Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg - An analysis of the indicator saturation estimator as a robust regression estimator (RePEc:aah:create:2008-09)
by Søren Johansen & Bent Nielsen - A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings (RePEc:aah:create:2009-01)
by Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius - On a numerical and graphical technique for evaluating some models involving rational expectations (RePEc:aah:create:2009-19)
by Søren Johansen & Anders Rygh Swensen - Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli (RePEc:aah:create:2010-06)
by Søren Johansen & Bent Nielsen - Likelihood inference for a fractionally cointegrated vector autoregressive model (RePEc:aah:create:2010-24)
by Søren Johansen & Morten Ørregaard Nielsen - The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level (RePEc:aah:create:2010-69)
by Søren Johansen - A necessary moment condition for the fractional functional central limit theorem (RePEc:aah:create:2010-70)
by Søren Johansen & Morten Ørregaard Nielsen - An invariance property of the common trends under linear transformations of the data (RePEc:aah:create:2010-72)
by Søren Johansen & Katarina Juselius - An extension of cointegration to fractional autoregressive processes (RePEc:aah:create:2011-06)
by Søren Johansen - Some econometric results for the Blanchard-Watson bubble model (RePEc:aah:create:2011-17)
by Søren Johansen & Theis Lange - The Properties of Model Selection when Retaining Theory Variables (RePEc:aah:create:2011-36)
by David F. Hendry & Søren Johansen - Statistical analysis of global surface air temperature and sea level using cointegration methods (RePEc:aah:create:2011-39)
by Torben Schmith & Søren Johansen & Peter Thejll - Asymptotic theory for iterated one-step Huber-skip estimators (RePEc:aah:create:2011-40)
by Søren Johansen & Bent Nielsen - The Selection of ARIMA Models with or without Regressors (RePEc:aah:create:2012-46)
by Søren Johansen & Marco Riani & Anthony C. Atkinson - The role of initial values in nonstationary fractional time series models (RePEc:aah:create:2012-47)
by Søren Johansen & Morten Ørregaard Nielsen - Asymptotic analysis of the Forward Search (RePEc:aah:create:2013-05)
by Søren Johansen & Bent Nielsen - Times Series: Cointegration (RePEc:aah:create:2014-38)
by Søren Johansen - Outlier detection algorithms for least squares time series regression (RePEc:aah:create:2014-39)
by Søren Johansen & Bent Nielsen - Optimal hedging with the cointegrated vector autoregressive model (RePEc:aah:create:2014-40)
by Søren Johansen & Lukasz Gatarek - Data revisions and the statistical relation of global mean sea-level and temperature (RePEc:aah:create:2015-23)
by Eric Hillebrand & Søren Johansen & Torben Schmith - Tightness of M-estimators for multiple linear regression in time series (RePEc:aah:create:2016-18)
by Søren Johansen & Bent Nielsen - The cointegrated vector autoregressive model with general deterministic terms (RePEc:aah:create:2016-22)
by Søren Johansen & Morten Ørregaard Nielsen - Cointegration between trends and their estimators in state space models and CVAR models (RePEc:aah:create:2017-11)
by Søren Johansen & Morten Nyboe Tabor - The role of cointegration for optimal hedging with heteroscedastic error term (RePEc:aah:create:2017-12)
by Lukasz Gatarek & Søren Johansen - Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles (RePEc:aah:create:2017-17)
by Massimo Franchi & Søren Johansen - The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment (RePEc:aah:create:2017-23)
by Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe Tabor - Testing the CVAR in the fractional CVAR model (RePEc:aah:create:2017-37)
by Søren Johansen & Morten Ørregaard Nielsen - Nonstationary cointegration in the fractionally cointegrated VAR model (RePEc:aah:create:2018-17)
by Søren Johansen & Morten Ørregaard Nielsen - The analysis of marked and weighted empirical processes of estimated residuals (RePEc:aah:create:2019-06)
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen - Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals (RePEc:aah:create:2019-12)
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen - Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood (RePEc:aah:create:2019-15)
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen - Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models (RePEc:aah:create:2021-10)
by Søren Johansen & Anders Ryghn Swensen - Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression (RePEc:aea:aecrev:v:98:y:2008:i:2:p:251-55)
by Kevin D. Hoover & Soren Johansen & Katarina Juselius - Unknown item RePEc:ags:quedwp:273648 (paper)
- Unknown item RePEc:ags:quedwp:273737 (paper)
- Unknown item RePEc:ags:quedwp:273743 (paper)
- Unknown item RePEc:ags:quedwp:274620 (paper)
- Unknown item RePEc:ags:quedwp:274689 (paper)
- Unknown item RePEc:ags:quedwp:274720 (paper)
- Unknown item RePEc:ags:quedwp:274731 (paper)
- Weak convergence to derivatives of fractional Brownian motion (RePEc:arx:papers:2208.02516)
by S{o}ren Johansen & Morten {O}rregaard Nielsen - Comment (RePEc:bes:jnlbes:v:22:y:2004:p:169-172)
by Johansen S. - The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model (RePEc:bla:jtsera:v:24:y:2003:i:6:p:663-678)
by Søren Johansen - Testing the CVAR in the Fractional CVAR Model (RePEc:bla:jtsera:v:39:y:2018:i:6:p:836-849)
by Søren Johansen & Morten Ørregaard Nielsen - Nonstationary Cointegration in the Fractionally Cointegrated VAR Model (RePEc:bla:jtsera:v:40:y:2019:i:4:p:519-543)
by Søren Johansen & Morten Ørregaard Nielsen - Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money (RePEc:bla:obuest:v:52:y:1990:i:2:p:169-210)
by Johansen, Soren & Juselius, Katarina - Determination of Cointegration Rank in the Presence of a Linear Trend (RePEc:bla:obuest:v:54:y:1992:i:3:p:383-97)
by Johansen, Soren - Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model (RePEc:bla:obuest:v:67:y:2005:i:1:p:93-104)
by Søren Johansen - Discussion (RePEc:bla:scjsta:v:29:y:2002:i:2:p:213-216)
by Søren Johansen - Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models (RePEc:bla:scjsta:v:43:y:2016:i:2:p:321-348)
by Søren Johansen & Bent Nielsen - Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models (RePEc:bla:scjsta:v:43:y:2016:i:2:p:374-381)
by Søren Johansen & Bent Nielsen - On a Graphical Technique for Evaluating Some Rational Expectations Models (RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:9)
by Johansen Søren & Swensen Anders R - A Stastistical Analysis of Cointegration for I(2) Variables (RePEc:cup:etheor:v:11:y:1995:i:01:p:25-59_00)
by Johansen, Søren - A Bartlett Correction Factor For Tests On The Cointegrating Relations (RePEc:cup:etheor:v:16:y:2000:i:05:p:740-778_16)
by Johansen, Søren - A Note On Testing Restrictions For The Cointegration Parameters Of A Var With I(2) Variables (RePEc:cup:etheor:v:21:y:2005:i:03:p:653-658_05)
by Johansen, Søren & Lütkepohl, Helmut - A Representation Theory For A Class Of Vector Autoregressive Models For Fractional Processes (RePEc:cup:etheor:v:24:y:2008:i:03:p:651-676_08)
by Johansen, SØren - A Necessary Moment Condition For The Fractional Functional Central Limit Theorem (RePEc:cup:etheor:v:28:y:2012:i:03:p:671-679_00)
by Johansen, Søren & Ørregaard Nielsen, Morten - Model Discovery And Trygve Haavelmo’S Legacy (RePEc:cup:etheor:v:31:y:2015:i:01:p:93-114_00)
by Hendry, David F. & Johansen, Søren - The Role Of Initial Values In Conditional Sum-Of-Squares Estimation Of Nonstationary Fractional Time Series Models (RePEc:cup:etheor:v:32:y:2016:i:05:p:1095-1139_00)
by Johansen, Søren & Nielsen, Morten Ørregaard - Boundedness Of M-Estimators For Linear Regression In Time Series (RePEc:cup:etheor:v:35:y:2019:i:03:p:653-683_00)
by Johansen, Søren & Nielsen, Bent - A Representation of Vector Autoregressive Processes Integrated of Order 2 (RePEc:cup:etheor:v:8:y:1992:i:02:p:188-202_01)
by Johansen, Søren - The Role of Ancillarity in Inference for Non-stationary Variables (RePEc:ecj:econjl:v:105:y:1995:i:429:p:302-20)
by Johansen, Soren - Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (RePEc:ecm:emetrp:v:59:y:1991:i:6:p:1551-80)
by Johansen, Soren - A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model (RePEc:ecm:emetrp:v:70:y:2002:i:5:p:1929-1961)
by Soren Johansen - Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (RePEc:ecm:emetrp:v:80:y:2012:i:6:p:2667-2732)
by Søren Johansen & Morten Ørregaard Nielsen - Some tests for parameter constancy in cointegrated VAR-models (RePEc:ect:emjrnl:v:2:y:1999:i:2:p:306-333)
by Henrik Hansen & Søren Johansen - Cointegration analysis in the presence of structural breaks in the deterministic trend (RePEc:ect:emjrnl:v:3:y:2000:i:2:p:216-249)
by Søren Johansen & Rocco Mosconi & Bent Nielsen - More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term (RePEc:ect:emjrnl:v:7:y:2004:i:2:p:389-397)
by Søren Johansen & Anders Rygh Swensen - Statistical analysis of cointegration vectors (RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:231-254)
by Johansen, Soren - Modelling of cointegration in the vector autoregressive model (RePEc:eee:ecmode:v:17:y:2000:i:3:p:359-373)
by Johansen, Soren - A small sample correction for tests of hypotheses on the cointegrating vectors (RePEc:eee:econom:v:111:y:2002:i:2:p:195-221)
by Johansen, Soren - Statistical analysis of hypotheses on the cointegrating relations in the I(2) model (RePEc:eee:econom:v:132:y:2006:i:1:p:81-115)
by Johansen, Soren - Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate (RePEc:eee:econom:v:158:y:2010:i:1:p:117-129)
by Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael - Likelihood inference for a nonstationary fractional autoregressive model (RePEc:eee:econom:v:158:y:2010:i:1:p:51-66)
by Johansen, Søren & Nielsen, Morten Ørregaard - Some identification problems in the cointegrated vector autoregressive model (RePEc:eee:econom:v:158:y:2010:i:2:p:262-273)
by Johansen, Søren - Least squares estimation in a simple random coefficient autoregressive model (RePEc:eee:econom:v:177:y:2013:i:2:p:285-288)
by Johansen, Søren & Lange, Theis - An asymptotic invariance property of the common trends under linear transformations of the data (RePEc:eee:econom:v:178:y:2014:i:p2:p:310-315)
by Johansen, Søren & Juselius, Katarina - The cointegrated vector autoregressive model with general deterministic terms (RePEc:eee:econom:v:202:y:2018:i:2:p:214-229)
by Johansen, Søren & Nielsen, Morten Ørregaard - Cointegration in partial systems and the efficiency of single-equation analysis (RePEc:eee:econom:v:52:y:1992:i:3:p:389-402)
by Johansen, Soren - Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (RePEc:eee:econom:v:53:y:1992:i:1-3:p:211-244)
by Johansen, Søren & Juselius, Katarina - Identification of the long-run and the short-run structure an application to the ISLM model (RePEc:eee:econom:v:63:y:1994:i:1:p:7-36)
by Johansen, Soren & Juselius, Katarina - Identifying restrictions of linear equations with applications to simultaneous equations and cointegration (RePEc:eee:econom:v:69:y:1995:i:1:p:111-132)
by Johansen, Soren - Likelihood analysis of seasonal cointegration (RePEc:eee:econom:v:88:y:1998:i:2:p:301-339)
by Johansen, Soren & Schaumburg, Ernst - Testing exact rational expectations in cointegrated vector autoregressive models (RePEc:eee:econom:v:93:y:1999:i:1:p:73-91)
by Johansen, Soren & Swensen, Anders Rygh - Testing weak exogeneity and the order of cointegration in UK money demand data (RePEc:eee:jpolmo:v:14:y:1992:i:3:p:313-334)
by Johansen, Soren - Estimation of proportional covariances (RePEc:eee:stapro:v:6:y:1987:i:2:p:83-85)
by Jensen, Søren Tolver & Johansen, Søren - A Small Sample Correction of the Dickey-Fuller Test (RePEc:eme:cea111:s0573-8555(04)69003-l)
by Soren Johansen & Aleksander Welfe - A Small Sample Correction of the Dickey-Fuller Test (RePEc:eme:ceazzz:s0573-8555(04)69003-l)
by Soren Johansen - A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model (RePEc:eui:euiwps:eco2000/15)
by Johansen, S. - The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model (RePEc:eui:euiwps:eco2001/01)
by Soren JOHANSEN - Controlling Inflation in a Cointergrated Vector Autoregressive Model with an Application to US Data (RePEc:eui:euiwps:eco2001/02)
by Soren JOHANSEN & Katarina JUSELIUS - Mathematical and Statistical Modelling of Cointegration (RePEc:eui:euiwps:eco97/14)
by Johansen, S. - Granger's Representation Theorem and Multicointegration (RePEc:eui:euiwps:eco97/15)
by Engsted, T. & Johansen, S. - Likelihood Analysis of Seasonal Cointegration (RePEc:eui:euiwps:eco97/16)
by Johansen, S. & Schaumburg, E. - A Bartlett Correction Factor for Tests on the Cointegrating Relations (RePEc:eui:euiwps:eco99/10)
by Johansen, S. - A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors (RePEc:eui:euiwps:eco99/9)
by Johansen, S. - An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and the United States (RePEc:fth:aunaec:231)
by Johansen, S. - Determination of Cointegration Rank in the Presence of a Linear Trend (RePEc:fth:helsin:76a)
by Johansen, S. - A Statistical Analsysis of Cointegration for I(2) Variables (RePEc:fth:helsin:77)
by Johansen, S. - Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data (RePEc:fth:helsin:78)
by Johansen, S. - Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator (RePEc:gam:jecnmx:v:1:y:2013:i:1:p:53-70:d:25659)
by Søren Johansen & Bent Nielsen - Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles (RePEc:gam:jecnmx:v:5:y:2017:i:2:p:25-:d:101429)
by Massimo Franchi & Søren Johansen - Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models (RePEc:gam:jecnmx:v:5:y:2017:i:3:p:36-:d:109242)
by Søren Johansen & Morten Nyboe Tabor - Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models (RePEc:gam:jecnmx:v:7:y:2019:i:1:p:2-:d:196454)
by Søren Johansen - Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature (RePEc:gam:jecnmx:v:8:y:2020:i:4:p:41-:d:438688)
by Eric Hillebrand & Søren Johansen & Torben Schmith - Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data (RePEc:kud:kuiedp:0103)
by Soren Johansen & Katarina Juselius - Extracting Information from the Data: A Popperian View on Empirical Macro (RePEc:kud:kuiedp:0505)
by Katarina Juselius & Søren Johansen - Some Identification Problems in the Cointegrated Vector Autoregressive Model (RePEc:kud:kuiedp:0724)
by Søren Johansen - Correlation, Regression, and Cointegration of Nonstationary Economic Time Series (RePEc:kud:kuiedp:0725)
by Søren Johansen - Selecting a Regression Saturated by Indicators (RePEc:kud:kuiedp:0726)
by David F. Hendry & Søren Johansen & Carlos Santos - Likelihood Inference for a Nonstationary Fractional Autoregressive Model (RePEc:kud:kuiedp:0727)
by Søren Johansen & Morten Ørregaard Nielsen - Exact Rational Expectations, Cointegration, and Reduced Rank Regression (RePEc:kud:kuiedp:0729)
by Soren Johansen & Anders Rygh Swensen - Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate (RePEc:kud:kuiedp:0734)
by Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg - Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression (RePEc:kud:kuiedp:0735)
by Kevin D. Hoover & Katarina Juselius & Søren Johansen - An analysis of the indicator saturation estimator as a robust regression (RePEc:kud:kuiedp:0803)
by Søren Johansen & Bent Nielsen - A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings (RePEc:kud:kuiedp:0831)
by Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius - On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations (RePEc:kud:kuiedp:0910)
by Søren Johansen & Anders Rygh Swensen - Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli (RePEc:kud:kuiedp:1006)
by Søren Johansen & Bent Nielsen - Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (RePEc:kud:kuiedp:1015)
by Søren Johansen & Morten Ørregaard Nielsen - The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level (RePEc:kud:kuiedp:1027)
by Søren Johansen - An Extension of Cointegration to Fractional Autoregressive Processes (RePEc:kud:kuiedp:1028)
by Søren Johansen - A Necessary Moment Condition for the Fractional Functional Central Limit Theorem (RePEc:kud:kuiedp:1029)
by Søren Johansen & Morten Ørregaard Nielsen - An Invariance Property of the Common Trends under Linear Transformations of the Data (RePEc:kud:kuiedp:1030)
by Søren Johansen & Katarina Juselius - Some Econometric Results for the Blanchard-Watson Bubble Model (RePEc:kud:kuiedp:1115)
by Søren Johansen & Theis Lange - The Properties of Model Selection when Retaining Theory Variables (RePEc:kud:kuiedp:1125)
by David F. Hendry & Søren Johansen - Statistical analysis of global surface air temperature and sea level using cointegration methods (RePEc:kud:kuiedp:1126)
by Torben Schmith & Søren Johansen & Peter Thejll - Asymptotic theory for iterated one-step Huber-skip estimators (RePEc:kud:kuiedp:1129)
by Søren Johansen & Bent Nielsen - The Selection of ARIMA Models with or without Regressors (RePEc:kud:kuiedp:1217)
by Søren Johansen & Marco Riani & Anthony C. Atkinson - The role of initial values in nonstationary fractional time series models (RePEc:kud:kuiedp:1218)
by Søren Johansen & Morten Ørregaard Nielsen - Asymptotic analysis of the Forward Search (RePEc:kud:kuiedp:1301)
by Søren Johansen & Bent Nielsen - Optimal hedging with the cointegrated vector autoregressive model (RePEc:kud:kuiedp:1422)
by Lukasz Gatarek & Søren Johansen - Optimal hedging with the cointegrated vector autoregressive model (RePEc:kud:kuiedp:1423)
by Søren Johansen & Bent Nielsen - Times Series: Cointegration (RePEc:kud:kuiedp:1424)
by Søren Johansen - Data Revisions And The Statistical Relation Of Global Mean Sea-Level And Temperature (RePEc:kud:kuiedp:1509)
by Eric Hillebrand & Søren Johansen & Torben Schmith - Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series (RePEc:kud:kuiedp:1605)
by Søren Johansen & Bent Nielsen - The cointegrated vector autoregressive model with general deterministic terms (RePEc:kud:kuiedp:1607)
by Søren Johansen & Morten Ørregaard Nielsen - Cointegration between trends and their estimators in state space models and CVAR models (RePEc:kud:kuiedp:1702)
by Søren Johansen & Morten Nyboe Tabor - The role of cointegration for optimal hedging with heteroscedastic error term (RePEc:kud:kuiedp:1703)
by Lukasz Gatarek & Soeren Johansen - Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles (RePEc:kud:kuiedp:1709)
by Massimo Franchi & Soeren Johansen - The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations Of Market Forecasts, And Sentiment (RePEc:kud:kuiedp:1710)
by Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe - Testing the CVAR in the fractional CVAR model (RePEc:kud:kuiedp:1723)
by Soeren Johansen & Morten Oeregaard Nielsen - Nonstationary cointegration in the fractionally cointegrated VAR model (RePEc:kud:kuiedp:1804)
by Soeren Johansen & Morten Oerregaard Nielsen - Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models (RePEc:kud:kuiedp:1805)
by Soeren Johansen - The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes (RePEc:kud:kuiedp:1902)
by Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe Tabor - The analysis of marked and weighted empirical processes of estimated residuals (RePEc:kud:kuiedp:1905)
by Vanessa Berenguer-Rico & Soeren Johansen & Bent Nielsen - Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals (RePEc:kud:kuiedp:1909)
by Vanessa Berenguer-Rico & Soeren Johansen & Bent Nielsen - Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood (RePEc:kud:kuiedp:1911)
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen - Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models (RePEc:kud:kuiedp:2107)
by Soeren Johansen & Anders Rygh Swensen - Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland (RePEc:kud:kuiedp:8805)
by Søren Johansen & Katarina Juselius - The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications (RePEc:kud:kuiedp:8911)
by Søren Johansen & Katarina Juselius - Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK (RePEc:kud:kuiedp:9005)
by Søren Johansen & Katarina Juselius - Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model (RePEc:kud:kuiedp:9204)
by Søren Johansen & Katarina Juselius - Recursive Estimation in Cointegrated VAR-Models (RePEc:kud:kuiedp:9213)
by Henrik Hansen & Søren Johansen - An analysis of the indicator saturation estimator as a robust regression estimator (RePEc:nuf:econwp:0803)
by Søren Johansen & Bent Nielsen - Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli (RePEc:nuf:econwp:1002)
by Søren Johansen & Bent Nielsen - Asymptotic analysis of the Forward Search (RePEc:nuf:econwp:1302)
by Bent Nielsen & Søren Johansen - Outlier detection algorithms for least squares time series regression (RePEc:nuf:econwp:1404)
by Søren Johansen & Bent Nielsen - The analysis of marked and weighted empirical processes of estimated residuals (RePEc:nuf:econwp:1903)
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen - Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals (RePEc:nuf:econwp:1904)
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen - Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood (RePEc:nuf:econwp:1905)
by Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen - Model Discovery and Trygve Haavelmo's Legacy (RePEc:oxf:wpaper:598)
by David Hendry & Soren Johansen - The analysis of marked and weighted empirical processes of estimated residuals (RePEc:oxf:wpaper:870)
by Vanessa Berenguer Rico & Bent Nielsen & Søren Johansen - Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals (RePEc:oxf:wpaper:871)
by Vanessa Berenguer Rico & Bent Nielsen & Søren Johansen - Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood (RePEc:oxf:wpaper:879)
by Vanessa Berenguer Rico & Bent Nielsen & Søren Johansen - Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (RePEc:oxp:obooks:9780198774501)
by Johansen, Soren - Workbook on Cointegration (RePEc:oxp:obooks:9780198776079)
by Hansen, Peter Reinhard & Johansen, Soren - Likelihood Inference For A Nonstationary Fractional Autoregressive Model (RePEc:qed:wpaper:1172)
by Morten Ø. Nielsen & S Johansen - Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model (RePEc:qed:wpaper:1237)
by Morten Ø. Nielsen & S Johansen - A Necessary Moment Condition For The Fractional Functional Central Limit Theorem (RePEc:qed:wpaper:1244)
by Morten Ø. Nielsen & S Johansen - The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models (RePEc:qed:wpaper:1300)
by Morten Ø. Nielsen & S Johansen - The Cointegrated Vector Autoregressive Model With General Deterministic Terms (RePEc:qed:wpaper:1363)
by Morten Ø. Nielsen & S Johansen - Testing The Cvar In The Fractional Cvar Model (RePEc:qed:wpaper:1394)
by Morten Ø. Nielsen & S Johansen - Nonstationary Cointegration In The Fractionally Cointegrated Var Model (RePEc:qed:wpaper:1405)
by Morten Ø. Nielsen & S Johansen - The analysis of nonstationary time series using regression, correlation and cointegration - with an application to annual mean temperature and sea level (RePEc:sas:wpaper:20114)
by Søren Johansen - Automatic selection of indicators in a fully saturated regression (RePEc:spr:compst:v:23:y:2008:i:2:p:317-335)
by Carlos Santos & David Hendry & Soren Johansen - Automatic selection of indicators in a fully saturated regression (RePEc:spr:compst:v:23:y:2008:i:2:p:337-339)
by David Hendry & Søren Johansen & Carlos Santos - Testing Rational Expectations in Vector Autoregressive Models (RePEc:ssb:dispap:129)
by Søren Johansen & Anders Rygh Swensen - More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms (RePEc:ssb:dispap:348)
by Søren Johansen & Anders Rygh Swensen - Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (RePEc:taf:emetrv:v:28:y:2009:i:1-3:p:121-145)
by Søren Johansen - The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment (RePEc:thk:wpaper:59)
by Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor - The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes (RePEc:thk:wpaper:92)
by Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor - Asset Prices Under Knightian Uncertainty (RePEc:thk:wpaper:inetwp172)
by Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor - Optimal Hedging with the Vector Autoregressive Model (RePEc:tin:wpaper:20140022)
by Lukasz Gatarek & Søren Johansen - The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration (RePEc:wyz:journl:id:239)
by Søren Johansen