Søren Johansen

Publikation

Publikationer pr. år 1987 1991 1992 1994 1995 2002 2004 2005 2007 2008 2010 2011 2012 2016 2017 2019

• 70 Tidsskriftartikel
• 61 Working paper
• 21 Bidrag til bog/antologi
• 4 Encyclopædiartikel
• 6 Mere
  • 2 Bog
  • 1 Konferencebidrag i proceedings
  • 1 Kommentar/debat
  • 1 Konferenceartikel
  • 1 Letter

Publikationer pr. år

Publikationer pr. år

Søgeresultater

• 2019

  Boundedness of M-estimators for linear regression in time series

  Johansen, S. & Nielsen, B., 1 jun. 2019, I: Econometric Theory. 35, 3, s. 653-683

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • M-estimator 100%
  • time series 69%
  • Linear Regression 67%
  • Quantile Regression 60%
  • Sample Size 44%

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

  Johansen, S., mar. 2019, I: Econometrics. 7, 1, 10 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Cointegration 100%
  • Causal Modeling 43%
  • Weak Exogeneity 43%
  • Adjustment Coefficient 42%
  • Graph 27%
  1 Citationer (Scopus)

• Corrigendum: Analysis of the forward search using some new results for martingales and empirical processes

  Berenguer-Rico, V., Johansen, S. & Nielsen, B., nov. 2019, I: Bernoulli. 25, 4A, s. 3201

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

• Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

  Johansen, S. & Nielsen, M. Ø., jul. 2019, I: Journal of Time Series Analysis. 40, 4, s. 519-543

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Cointegration 100%
  • Vector Autoregressive Model 63%
  • VAR Model 63%
  • Moment Conditions 58%
  • Parameter Space 53%
  8 Citationer (Scopus)

• The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

  Rahbek, A., Johansen, S., Tabor, M. N. & Frydman, R., 2019.

  Publikation: Working paper › Forskning
• 2018

  Testing the CVAR in the Fractional CVAR Model

  Johansen, S. & Nielsen, M. Ø., nov. 2018, I: Journal of Time Series Analysis. 39, 6, s. 836–849

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Vector Autoregressive Model 100%
  • Vector Autoregressive 79%
  • Testing 56%
  • Fractional 48%
  • Parameter Space 21%
  5 Citationer (Scopus)

• The cointegrated vector autoregressive model with general deterministic terms

  Johansen, S. & Nielsen, M. Ø., feb. 2018, I: Journal of Econometrics. 202, 2, s. 214-229

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Additive Models 100%
  • Vector Autoregression 97%
  • Vector Autoregressive Model 82%
  • Reduced Rank Regression 43%
  • Asymptotic Properties 30%
  3 Citationer (Scopus)
• 2017

  Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models

  Johansen, S. & Tabor, M. N., sep. 2017, I: Econometrics. 5, 3, s. 1-15 15 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Cointegration 100%
  • State-space Model 99%
  • Vector Autoregressive Model 62%
  • Estimator 45%
  • Coefficients 17%
  4 Citationer (Scopus)

• Cointegration between trends and their estimators in state space models and CVAR models

  Johansen, S. & Tabor, M. N., 2017, 13 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-02).

  Publikation: Working paper › Forskning

  • Cointegration 100%
  • State-space Model 99%
  • Estimator 45%
  • Common Trends 10%
  • Vector Autoregressive Model 8%

• Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles

  Franchi, M. & Johansen, S., 14 jun. 2017, I: Econometrics. 5, 2, s. 1-20 20 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Near Unit Root 100%
  • Quantile 65%
  • Inference 52%
  • Vector Autoregression 30%
  • Cointegration 27%
  1 Citationer (Scopus)

• Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles

  Franchi, M. & Johansen, S., 2017, 19 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-09).

  Publikation: Working paper › Forskning

  • Near Unit Root 100%
  • Quantile 65%
  • Inference 52%
  • Vector Autoregression 40%
  • Cointegration 36%

• Testing the CVAR in the fractional CVAR model

  Johansen, S. & Nielsen, M. Ø., 2017, 13 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-23).

  Publikation: Working paper › Forskning

  • Vector Autoregressive Model 100%
  • Fractional 48%
  • Testing 47%
  • Parameter Space 21%
  • Chi-squared 13%

• The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

  Frydman, R., Johansen, S., Rahbek, A. & Tabor, M. N., 2017, 38 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-10). (Institute for New Economic Thinking Working Paper Series; Nr. 59).

  Publikation: Working paper › Forskning

  • Expectations Hypothesis 100%
  • Sentiment 79%
  • Statistical Model 24%
  • Rational Expectations 18%
  • Economists 16%

• The role of cointegration for optimal hedging with heteroscedastic error term

  Gatarek, L. & Johansen, S., 2017, 18 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-03).

  Publikation: Working paper › Forskning

  • Cointegration 100%
  • Conditional Variance 66%
  • Hedging 52%
  • Forward Contracts 48%
  • Heteroscedasticity 46%
• 2016

  Analysis of the Forward Search using some new results for martingales and empirical processes

  Johansen, S. & Nielsen, B., maj 2016, I: Bernoulli. 22, 2, s. 1131-1183 53 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Forward Search 100%
  • Empirical Process 66%
  • Martingale 55%
  • Regression Estimator 43%
  • Regression Analysis 39%
  13 Citationer (Scopus)

• Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models

  Johansen, S. & Nielsen, B., 1 jun. 2016, I: Scandinavian Journal of Statistics. 43, 2, s. 321-348 28 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Outlier Detection 100%
  • Asymptotic Theory 86%
  • Time Series Models 73%
  • Linear Time 56%
  • Regression Model 53%
  31 Citationer (Scopus)

• Rejoinder: Asymptotic theory of outlier detection algorithms for linear time series regression models

  Johansen, S. & Nielsen, B., 1 jun. 2016, I: Scandinavian Journal of Statistics. 43, 2, s. 374-381 8 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  5 Citationer (Scopus)

• The cointegrated vector autoregressive model with general deterministic terms

  Johansen, S. & Nielsen, M. Ø., 2016, 28 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 16-07).

  Publikation: Working paper › Forskning

• THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

  Johansen, S. & Nielsen, M. Ø., 1 okt. 2016, I: Econometric Theory. 32, s. 1095-1139 45 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  21 Citationer (Scopus)

• Tightness of M-estimators for multiple linear regression in time for multiple linear regression in time series

  Johansen, S. & Nielsen, B., 2016, 21 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 16-05).

  Publikation: Working paper › Forskning
• 2015

  Data Revisions and the Statistical Relation of Global Mean Sea-Level and Temperature

  Hillebrand, E. T., Johansen, S. & Schmith, T., 2015, 14 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 9, Bind 2015).

  Publikation: Working paper › Forskning

• Model Discovery and Trygve Haavelmo's Legacy

  Hendry, D. & Johansen, S., feb. 2015, I: Econometric Theory. 31, 1, s. 93-114 22 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  20 Citationer (Scopus)

• Time Series: Cointegration

  Johansen, S., 2015, International Encyclopedia of the Social & Behavioral Sciences. Wright, J. D. (red.). Oxford: Elsevier, Bind 24. s. 322-330 9 s.

  Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Formidling

• Times Series: Cointegration

  Johansen, S., 2015, International Encyclopedia of the Social & Behavioral Sciences. Wright, J. D. (red.). 2 udg. Oxford: Elsevier, Bind 24. s. 322--330 9 s.

  Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Formidling
• 2014

  An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data

  Johansen, S. & Juselius, K., jan. 2014, I: Journal of Econometrics. 178, Part 2, s. 310-315 6 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  6 Citationer (Scopus)

• Optimal hedging with the cointegrated vector autoregressive model

  Gatarek, L. & Johansen, S., 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 11 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 22, Bind 2014).

  Publikation: Working paper › Forskning

• Outlier detection algorithms for least squares time series regression

  Johansen, S. & Nielsen, B., 2014, Copenhagen: Økonomisk institut, Københavns Universitet, 39 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 23, Bind 2014).

  Publikation: Working paper › Forskning
• 2013

  Asymptotic analysis of the Forward Search

  Johansen, S. & Nielsen, B., 2013, Kbh.: Økonomisk institut, Københavns Universitet, 39 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 1, Bind 13).

  Publikation: Working paper › Forskning

• Least squares estimation in a simple random coefficient autoregressive model

  Johansen, S. & Lange, T., apr. 2013, I: Journal of Econometrics. 177, 2, s. 285-288 4 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Random Coefficients 100%
  • Autoregressive Model 88%
  • Least Squares 83%
  • Tail Index 23%
  • Random Variables 15%
  3 Citationer (Scopus)

• Outlier detection in regression using an iterated one-step approximation to the Huber-skip estimator

  Johansen, S. & Nielsen, B., jun. 2013, I: Econometrics. 1, 1, s. 53-70 18 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  12 Citationer (Scopus)

  1966 Downloads (Pure)
• 2012

  A Necessary Moment Condition for the Fractional Central Limit Theorem

  Johansen, S. & Nielsen, M., 2012, I: Econometric Theory. 28, s. 671-679 9 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  13 Citationer (Scopus)

• Likelihood inference for a fractionally cointegrated vector autoregressive model

  Johansen, S. & Ørregård Nielsen, M., nov. 2012, I: Econometrica. 80, 6, s. 2667-2732 66 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Limit Distribution 100%
  • Vector Autoregressive Model 74%
  • Inference 56%
  • Cointegration 39%
  • Fractional Brownian Motion 32%
  128 Citationer (Scopus)

• Statistical analysis of global surface temperature and sea level using cointegration methods

  Schmidt, T., Johansen, S. & Thejll, P., 2012, I: Journal of Climate. 25, 22, s. 7822-7833 12 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • statistical analysis 100%
  • surface temperature 99%
  • sea level 95%
  • radiative forcing 66%
  • warming 62%
  26 Citationer (Scopus)

• The analysis of nonstationary time series using regression, correlation and cointegration

  Johansen, S., 2012, I: Contemporary Economics. 6, 2, s. 40-57 18 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  9 Citationer (Scopus)

• The Role of Initial Values in Nonstationary Fractional Time Series Models

  Johansen, S. & Nielsen, M. Ø., 2012, Kbh.: Økonomisk institut, Københavns Universitet, 29 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18, Bind 12).

  Publikation: Working paper › Forskning

• The Selection of ARIMA Models with or without Regressors

  Johansen, S., Riani, M. & Atkinson, A. C., 2012, Kbh.: Økonomisk institut, Københavns Universitet, 31 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17, Bind 12).

  Publikation: Working paper › Forskning
• 2011

  An extension of cointegration to fractional autoregressive processes

  Johansen, S., 2011, The Yearbook of the Finnish Statistical Society 2010. Helsinki: Finnish Statistical Society, s. 20-34 15 s.

  Publikation: Bidrag til bog/antologi/rapport › Bidrag til bog/antologi › Forskning

• Asymptotic Theory for Iterated One-Step Huber-Skip Estimators

  Johansen, S. & Nielsen, B., 2011, Kbh.: Department of Economics, University of Copenhagen, 17 s.

  Publikation: Working paper › Forskning

• On a Graphical Technique for Evaluating Some Rational Expectations Models

  Johansen, S. & Swensen, A. R., 2011, I: Journal of Time Series Econometrics. 3, 1, s. Article 9 27 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

• Some Econometric Results for the Blanchard-Watson Bubble Model

  Johansen, S. & Lange, T., 2011, Department of Economics, University of Copenhagen, 9 s.

  Publikation: Working paper › Forskning

  2354 Downloads (Pure)

• Statistical analysis of global surface air temperature and sea level using cointegration methods

  Schmith, T., Johansen, S. & Thejll, P., 2011, Department of Economics, University of Copenhagen, 29 s.

  Publikation: Working paper › Forskning

• The Properties of Model Selection when Retaining Theory Variables

  Hendry, D. F. & Johansen, S., 2011, Department of Economics, University of Copenhagen, 4 s.

  Publikation: Working paper › Forskning
• 2010

  A Necessary Moment Condition for the Fractional Functional Central Limit Theorem

  Johansen, S. & Nielsen, M. Ø., 2010, Department of Economics, University of Copenhagen, 8 s.

  Publikation: Working paper › Forskning

  • Central Limit Theorem 100%
  • Moment Conditions 78%
  • Fractional Integration 19%
  • Integrated Process 18%
  • Innovation 10%
  3324 Downloads (Pure)

• An Extension of Cointegration to Fractional Autoregressive Processes

  Johansen, S., 2010, Department of Economics, University of Copenhagen, 15 s.

  Publikation: Working paper › Forskning

  • Cointegration 100%
  • Autoregressive Process 74%
  • Estimator 45%
  • Fractional Brownian Motion 27%
  • Asymptotic Analysis 27%
  637 Downloads (Pure)

• An Invariance Property of the Common Trends under Linear Transformations of the Data

  Johansen, S. & Juselius, K., 2010, Department of Economics, University of Copenhagen, 13 s.

  Publikation: Working paper › Forskning

  • Linear transformation 100%
  • Trends 95%
  • Cointegration 88%
  • Invariance 83%
  • Prediction Error 75%
  555 Downloads (Pure)

• Discussion: The Forward Search: Theory and Data Analysis

  Johansen, S. & Nielsen, B., jun. 2010, I: Journal of the Korean Statistical Society. 39, 2, s. 137-145 9 s.

  Publikation: Bidrag til tidsskrift › Kommentar/debat › Forskning

  • Search Theory 100%
  • Forward Search 99%
  • Data analysis 52%
  • Robust Estimators 33%
  • Empirical Process 33%
  7 Citationer (Scopus)

• Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

  Johansen, S. & Nielsen, B., 2010, Department of Economics, University of Copenhagen, 13 s.

  Publikation: Working paper › Forskning

  • data analysis 100%
  • outlier 40%
  • parameter 13%
  999 Downloads (Pure)

• Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

  Johansen, S. & Nielsen, M. Ø., 2010, Department of Economics, University of Copenhagen, 41 s.

  Publikation: Working paper › Forskning

  • Vector Autoregressive Model 100%
  • Likelihood Inference 83%
  • Model-based 40%
  • Fractional 32%
  • Cointegration 31%
  923 Downloads (Pure)

• Likelihood inference for a nonstationary fractional autoregressive model

  Johansen, S. & Ørregård Nielsen, M., sep. 2010, I: Journal of Econometrics. 158, 1, s. 51-66 16 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Autoregressive Model 100%
  • Inference 73%
  • Fractional Differencing 28%
  • Nonstationary Processes 26%
  • Limit Distribution 25%
  74 Citationer (Scopus)

• Some Identification Problems in the Cointegrated Vector Autoregressive Model

  Johansen, S., okt. 2010, I: Journal of Econometrics. 158, 2, s. 262-273 12 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Linear Restrictions 100%
  • Identification Problem 82%
  • Vector Autoregressive Model 71%
  • Permanent and Transitory Shocks 34%
  • Long-run Variance 34%
  5 Citationer (Scopus)