Soren Johansen
Names
first: 
Soren 
last: 
Johansen 
Contact
email: 

homepage: 
http://www.math.ku.dk/~sjo 
phone: 
004535323071 
postal address: 
Department of Economics
University of Copenhagen
Building 26
Øster Farimagsgade 5
DK1353 Copenhagen K.
Denmark 
Affiliations

Københavns Universitet
→ Økonomisk Institut (weight: 85%)
 website
 location: København, Denmark

Aarhus Universitet
→ Institut for Økonomi
→ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 15%)
Research profile
author of:

Testing exact rational expectations in cointegrated vector autoregressive models
by Johansen, Soren & Swensen, Anders Rygh

Testing weak exogeneity and the order of cointegration in UK money demand data
by Johansen, Soren

Determination of Cointegration Rank in the Presence of a Linear Trend.
by Johansen, Soren

The Role of Ancillarity in Inference for Nonstationary Variables.
by Johansen, Soren

Modelling of cointegration in the vector autoregressive model
by Johansen, Soren

Cointegration in partial systems and the efficiency of singleequation analysis
by Johansen, Soren

Likelihood analysis of seasonal cointegration
by Johansen, Soren & Schaumburg, Ernst

Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
by Johansen, Soren

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.
by Johansen, Soren

A small sample correction for tests of hypotheses on the cointegrating vectors
by Johansen, Soren

Maximum Likelihood Estimation and Inference on CointegrationWith Applications to the Demand for Money.
by Johansen, Soren & Juselius, Katarina

The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model
by Soren JOHANSEN

Identification of the longrun and the shortrun structure an application to the ISLM model
by Johansen, Soren & Juselius, Katarina

Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data
by Soren Johansen & Katarina Juselius

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

A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
by Soren Johansen

Controlling Inflation in a Cointergrated Vector Autoregressive Model with an Application to US Data
by Soren JOHANSEN & Katarina JUSELIUS

An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and the United States.
by Johansen, S.

A Statistical Analsysis of Cointegration for I(2) Variables.
by Johansen, S.

Determination of Cointegration Rank in the Presence of a Linear Trend.
by Johansen, S.

More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
by Søren Johansen & Anders Rygh Swensen

Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model
by Søren Johansen

More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms
by Søren Johansen & Anders Rygh Swensen

Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
by Johansen, Søren & Juselius, Katarina

Some tests for parameter constancy in cointegrated VARmodels
by HENRIK HANSEN & SØREN JOHANSEN

Cointegration analysis in the presence of structural breaks in the deterministic trend
by SØREN JOHANSEN & ROCCO MOSCONI & BENT NIELSEN

Testing Rational Expectations in Vector Autoregressive Models
by Søren Johansen & Anders Rygh Swensen

Extracting Information from the Data: A Popperian View on Empirical Macro
by Katarina Juselius & Søren Johansen

Likelihood Analysis of Seasonal Cointegration
by Johansen, S. & Schaumburg, E.

A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors.
by Johansen, S.

Mathematical and Statistical Modelling of Cointegration
by Johansen, S.

A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model.
by Johansen, S.

Granger's Representation Theorem and Multicointegration
by Engsted, T. & Johansen, S.

A Bartlett Correction Factor for Tests on the Cointegrating Relations.
by Johansen, S.

The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
by Søren Johansen

Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
by Johansen, Soren

Comment
by Johansen S.

Statistical analysis of cointegration vectors
by Johansen, Soren

Recursive Estimation in Cointegrated VARModels
by Henrik Hansen & Søren Johansen

Identification of the LongRun and the ShortRun Structure: An Application to the ISLM Model
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
by Søren Johansen & Katarina Juselius

The Full Information Maximum Likelihood Procedure for Inference on Cointegration  with Applications
by Søren Johansen & Katarina Juselius

Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland
by Søren Johansen & Katarina Juselius

Discussion
by SØREN JOHANSEN

Some Identification Problems in the Cointegrated Vector Autoregressive Model
by Søren Johansen

Correlation, Regression, and Cointegration of Nonstationary Economic Time Series
by Søren Johansen

Selecting a Regression Saturated by Indicators
by David F. Hendry & Søren Johansen & Carlos Santos

Likelihood Inference for a Nonstationary Fractional Autoregressive Model
by Søren Johansen & Morten Ørregaard Nielsen

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

Exact Rational Expectations, Cointegration, and Reduced Rank Regression
by Soren Johansen & Anders Rygh Swensen

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

An analysis of the indicator saturation estimator as a robust regression estimator
by Søren Johansen & Bent Nielsen

An analysis of the indicator saturation estimator as a robust regression
by Søren Johansen & Bent Nielsen

Automatic selection of indicators in a fully saturated regression
by David Hendry & Søren Johansen & Carlos Santos

Automatic selection of indicators in a fully saturated regression
by Carlos Santos & David Hendry & Soren Johansen

Likelihood Inference For A Nonstationary Fractional Autoregressive Model
by Morten Ã. Nielsen & S. Johansen

Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate
by Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg

Selecting a Regression Saturated by Indicators
by Søren Johansen & David F. Hendry & Carlos Santos

Exact rational expectations, cointegration, and reduced rank regression
by Søren Johansen & Anders Rygh Swensen

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

An analysis of the indicator saturation estimator as a robust regression estimator
by Søren Johansen & Bent Nielsen

Likelihood inference for a nonstationary fractional autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen

Some identification problems in the cointegrated vector autoregressive model
by Søren Johansen

Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
by Kevin D. Hoover & Soren Johansen & Katarina Juselius

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

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

A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
by Johansen, SÃren

Estimation of proportional covariances
by Jensen, Søren Tolver & Johansen, Søren

A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
by Johansen, SÃren & LÃ¼tkepohl, Helmut

A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
by Johansen, SÃren

A Stastistical Analysis of Cointegration for I(2) Variables
by Johansen, SÃren

On a numerical and graphical technique for evaluating some models involving rational expectations
by Søren Johansen & Anders Rygh Swensen

On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations
by Søren Johansen & Anders Rygh Swensen

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

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

Likelihood inference for a fractionally cointegrated vector autoregressive model
by Søren Johansen & Morten Ørregaard Nielsen

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
by Søren Johansen & Morten Ørregaard Nielsen

Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model
by Morten Ã. Nielsen & S. Johansen

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

On a Graphical Technique for Evaluating Some Rational Expectations Models
by Johansen Søren & Swensen Anders R.

A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
by Søren Johansen & Morten Ørregaard Nielsen

Likelihood inference for a nonstationary fractional autoregressive model
by Johansen, Søren & Nielsen, Morten Ørregaard

The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level
by Søren Johansen

An extension of cointegration to fractional autoregressive processes
by Søren Johansen

A Necessary Moment Condition For The Fractional Functional Central Limit Theorem
by Morten Ã. Nielsen & S. Johansen

An invariance property of the common trends under linear transformations of the data
by Søren Johansen & Katarina Juselius

A necessary moment condition for the fractional functional central limit theorem
by Søren Johansen & Morten Ørregaard Nielsen

An Extension of Cointegration to Fractional Autoregressive Processes
by Søren Johansen

The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level
by Søren Johansen

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

An Invariance Property of the Common Trends under Linear Transformations of the Data
by Søren Johansen & Katarina Juselius

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

A Representation of Vector Autoregressive Processes Integrated of Order 2
by Johansen, SÃren

LikelihoodBased Inference in Cointegrated Vector Autoregressive Models
by Johansen, Soren

Workbook on Cointegration
by Hansen, Peter Reinhard & Johansen, Soren

Some econometric results for the BlanchardWatson bubble model
by Søren Johansen & Theis Lange

Some Econometric Results for the BlanchardWatson Bubble Model
by Søren Johansen & Theis Lange

The analysis of nonstationary time series using regression, correlation and cointegration  with an application to annual mean temperature and sea level
by Søren Johansen

The Properties of Model Selection when Retaining Theory Variables
by David F. Hendry & Søren Johansen

Asymptotic theory for iterated onestep Huberskip estimators
by Søren Johansen & Bent Nielsen

Statistical analysis of global surface air temperature and sea level using cointegration methods
by Torben Schmith & Søren Johansen & Peter Thejll

Statistical analysis of global surface air temperature and sea level using cointegration methods
by Torben Schmith & Søren Johansen & Peter Thejll

The Properties of Model Selection when Retaining Theory Variables
by David F. Hendry & Søren Johansen

Asymptotic theory for iterated onestep Huberskip estimators
by Søren Johansen & Bent Nielsen

Model Discovery and Trygve Haavelmo's Legacy
by David Hendry & Soren Johansen

The Role Of Initial Values In Conditional Sumofsquares Estimation Of Nonstationary Fractional Time Series Models
by Morten Ã. Nielsen & S. Johansen

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
by Søren Johansen & Morten Ørregaard Nielsen

The role of initial values in nonstationary fractional time series models
by Søren Johansen & Morten Ørregaard Nielsen

The Selection of ARIMA Models with or without Regressors
by Søren Johansen & Marco Riani & Anthony C. Atkinson

The Selection of ARIMA Models with or without Regressors
by Søren Johansen & Marco Riani & Anthony C. Atkinson

The role of initial values in nonstationary fractional time series models
by Søren Johansen & Morten Ørregaard Nielsen

Asymptotic analysis of the Forward Search
by Bent Nielsen & Søren Johansen

Asymptotic analysis of the Forward Search
by Søren Johansen & Bent Nielsen

Asymptotic analysis of the Forward Search
by Søren Johansen & Bent Nielsen

Outlier Detection in Regression Using an Iterated OneStep Approximation to the HuberSkip Estimator
by Søren Johansen & Bent Nielsen

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

An asymptotic invariance property of the common trends under linear transformations of the data
by Johansen, Søren & Juselius, Katarina

Least squares estimation in a simple random coefficient autoregressive model
by Johansen, Søren & Lange, Theis

Outlier detection algorithms for least squares time series regression
by Søren Johansen & Bent Nielsen

Times Series: Cointegration
by Søren Johansen

Optimal hedging with the cointegrated vector autoregressive model
by Lukasz Gatarek & Søren Johansen

Optimal hedging with the cointegrated vector autoregressive model
by Søren Johansen & Bent Nielsen

Optimal hedging with the cointegrated vector autoregressive model
by Søren Johansen & Lukasz Gatarek

Outlier detection algorithms for least squares time series regression
by Søren Johansen & Bent Nielsen

Times Series: Cointegration
by Søren Johansen

Optimal Hedging with the Vector Autoregressive Model
by Lukasz Gatarek & Søren Johansen

MODEL DISCOVERY AND TRYGVE HAAVELMOâ€™S LEGACY
by Hendry, David F. & Johansen, SÃren

DATA REVISIONS AND THE STATISTICAL RELATION OF GLOBAL MEAN SEALEVEL AND TEMPERATURE
by Eric Hillebrand & Søren Johansen & Torben Schmith

Data revisions and the statistical relation of global mean sealevel and temperature
by Eric Hillebrand & Søren Johansen & Torben Schmith

Tightness of Mestimators for multiple linear regression in time series
by Søren Johansen & Bent Nielsen

The cointegrated vector autoregressive model with general deterministic terms
by Søren Johansen & Morten Ørregaard Nielsen

Tightness of Mestimators for multiple linear regression in time for multiple linear regression in time series
by Søren Johansen & Bent Nielsen

The Cointegrated Vector Autoregressive Model With General Deterministic Terms
by Morten Ã. Nielsen & S. Johansen

Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
by Søren Johansen & Bent Nielsen

THE ROLE OF INITIAL VALUES IN CONDITIONAL SUMOFSQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
by Johansen, SÃren & Nielsen, Morten Ãrregaard

Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
by Søren Johansen & Bent Nielsen

The cointegrated vector autoregressive model with general deterministic terms
by Søren Johansen & Morten Ørregaard Nielsen

Cointegration between trends and their estimators in state space models and CVAR models
by Søren Johansen & Morten Nyboe Tabor

The role of cointegration for optimal hedging with heteroscedastic error term
by Lukasz Gatarek & Søren Johansen

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

The role of cointegration for optimal hedging with heteroscedastic error term
by Lukasz Gatarek & Soeren Johansen

Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
by Massimo Franchi & Soeren Johansen

THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT
by Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe

Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
by Massimo Franchi & Søren Johansen

Cointegration between trends and their estimators in state space models and CVAR models
by Søren Johansen & Morten Nyboe Tabor

Testing the CVAR in the fractional CVAR model
by Søren Johansen & Morten Ørregaard Nielsen

Testing the CVAR in the fractional CVAR model
by Soeren Johansen & Morten Oeregaard Nielsen

Testing The Cvar In The Fractional Cvar Model
by Morten Ã. Nielsen & S. Johansen

Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models
by Søren Johansen & Morten Nyboe Tabor

Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
by Massimo Franchi & Søren Johansen

The cointegrated vector autoregressive model with general deterministic terms
by Johansen, Søren & Nielsen, Morten Ørregaard

Nonstationary Cointegration In The Fractionally Cointegrated Var Model
by Morten Ã. Nielsen & S. Johansen

Nonstationary cointegration in the fractionally cointegrated VAR model
by Soeren Johansen & Morten Oerregaard Nielsen

Nonstationary cointegration in the fractionally cointegrated VAR model
by Søren Johansen & Morten Ørregaard Nielsen

Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models
by Soeren Johansen

The role of initial values in conditional sumofsquares estimation of nonstationary fractional time series models
by Johansen, SÃÿren & ÃŸrregaard Nielsen, Morten

Likelihood inference for a fractionally cointegrated vector autoregressive model
by Johansen, SÃÿren & ÃŸrregaard Nielsen, Morten

The cointegrated vector autoregressive model with general deterministic terms
by Johansen, Soren & Orregaard Nielsen, Morten

Nonstationary cointegration in the fractionally cointegrated VAR model
by Johansen, SÃÿren & ÃŸrregaard Nielsen, Morten

Testing the CVAR in the fractional CVAR model
by Johansen, SÃÿren & ÃŸrregaard Nielsen, Morten

A necessary moment condition for the fractional functional central limit theorem
by Johansen, Soren & Orregaard Nielsen, Morten

Likelihood inference for a nonstationary fractional autoregressive model
by Johansen, Soren & Orregaard Nielsen, Morten

Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
by Søren Johansen

Testing the CVAR in the Fractional CVAR Model
by Søren Johansen & Morten Ørregaard Nielsen

Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
by Søren Johansen

The analysis of marked and weighted empirical processes of estimated residuals
by Vanessa BerenguerRico & Søren Johansen & Bent Nielsen

BOUNDEDNESS OF MESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES
by Johansen, SÃren & Nielsen, Bent

The analysis of marked and weighted empirical processes of estimated residuals
by Vanessa BerenguerRico & Soeren Johansen & Bent Nielsen

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muthï¿½s Consistency Constraint in Modeling Aggregate Outcomes
by Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe Tabor

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
by Søren Johansen & Morten Ørregaard Nielsen

Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals
by Vanessa BerenguerRico & Soeren Johansen & Bent Nielsen

Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals
by Vanessa BerenguerRico & Søren Johansen & Bent Nielsen

Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals
by Vanessa Berenguer Rico & Bent Nielsen & SÃren Johansen

Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood
by Vanessa BerenguerRico & Søren Johansen & Bent Nielsen

Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood
by Vanessa Berenguer Rico & Bent Nielsen & SÃren Johansen

The analysis of marked and weighted empirical processes of estimated residuals
by Vanessa Berenguer Rico & Bent Nielsen & SÃren Johansen

Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood
by Vanessa BerenguerRico & Søren Johansen & Bent Nielsen

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment
by Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes
by Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor