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

• 2010

  Søren Johansen and Katarina Juselius: Interview

  Johansen, S. & Juselius, K., 2010, European Economics at a Crossroads. Rosser, Jr., J. B., Holt, R. P. F. & Colander, D. (red.). Cheltenham, UK: Edward Elgar Publishing, s. 115-131 16 s.

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

• Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate

  Johansen, S., Juselius, K., Frydman, R. & Goldberg, M., sep. 2010, I: Journal of Econometrics. 158, 1, s. 117-129 13 s.

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

  • Hypothesis Testing 100%
  • Interest Rates 69%
  • Exchange Rates 68%
  • Floating Exchange Rates 59%
  • Likelihood Ratio Test 59%
  34 Citationer (Scopus)

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

  Johansen, S., 2010, Department of Economics, University of Copenhagen, 26 s.

  Publikation: Working paper › Forskning

  • Nonstationarity 100%
  • Cointegration 93%
  • Non-stationary Time Series 75%
  • Temperature 51%
  • Inference 44%
  474 Downloads (Pure)
• 2009

  An analysis of the indicator saturation estimator as a robust regression estimator

  Johansen, S. & Nielsen, B., 2009, The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. Shepard, N. & Castle, J. (red.). Oxford: Oxford University Press, s. 1-36 36 s.

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

  57 Citationer (Scopus)

• Cointegration: Overview and Development

  Johansen, S., 2009, Handbook of Financial Time Series. Andersen, T. G., Kreiss, J-P., Davis, R. A. & Mikosch, T. (red.). Springer, s. 671-693 23 s.

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

• On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations

  Johansen, S. & Swensen, A. R., 2009, Department of Economics, University of Copenhagen, 30 s.

  Publikation: Working paper › Forskning

  • Rational Expectations 100%
  • Numerical Techniques 69%
  • Graphics 56%
  • Model 21%
  • Vector Autoregressive Model 16%
  642 Downloads (Pure)

• Representation of cointegrated autoregressive processes with application to fractional processes

  Johansen, S., 2009, I: Econometric Reviews. 28, 1-3, s. 121-145 25 s.

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

  • Autoregressive Process 100%
  • Polynomials 74%
  • Matrix 67%
  • Vector Autoregressive Process 60%
  • Integrated Process 48%
  30 Citationer (Scopus)
• 2008

  Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression

  Hoover, K. D., Johansen, S. & Juselius, K., 2008, I: American Economic Review (Print Edition). 2 (Papers & Proceedings), s. 251–255 5 s.

  Publikation: Bidrag til tidsskrift › Konferenceartikel › Forskning

  91 Citationer (Scopus)

• An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

  Johansen, S. & Nielsen, B., 2008, Department of Economics, University of Copenhagen, 35 s.

  Publikation: Working paper › Forskning

  • Robust Regression 100%
  • Outliers 95%
  • Structural Breaks 70%
  • Empirical Process 60%
  • Estimator 55%
  1936 Downloads (Pure)

• A representation theory for a class of vector autoregressive models for fractional processes

  Johansen, S., 2008, I: Econometric Theory. 24, 3, s. 651-676 26 s.

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

  • Vector Autoregressive Model 100%
  • Unit Root 47%
  • Lag 41%
  • Operator 40%
  • Coefficients 33%
  107 Citationer (Scopus)

• A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings

  Frydman, R., Goldberg, M. D., Johansen, S. & Juselius, K., 2008, Department of Economics, University of Copenhagen, 37 s.

  Publikation: Working paper › Forskning

  • Purchasing Power Parity 100%
  • Exchange Rates 86%
  • Expectations Hypothesis 38%
  • Currency Market 37%
  • Rational Expectations 32%
  3338 Downloads (Pure)

• Automatic selection of indicators in a fully saturated regression

  Hendry, D. F., Johansen, S. & Santos, C., 2008, I: Computational Statistics. 23, 2, s. 317-335 19 s.

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

  • Impulse 100%
  • Monte Carlo Simulation 69%
  • Finite Sample Distribution 68%
  • Regression 68%
  • Location-scale Model 64%
  95 Citationer (Scopus)

• Correlation, regression, and cointegration of nonstationary economic time series

  Johansen, S., 2008, Bulletin of the International Statistical Institute vol. LXII: Proceedings of the 56th session of the International Statistical Institute, 22-29 August 2007, Lisboa, Portugal. Gomes, M. I., Martins, J. A. P. & Silva, J. A. (red.). Instituto Nacional de Estatística, s. 19-26 8 s.

  Publikation: Bidrag til bog/antologi/rapport › Konferencebidrag i proceedings › Forskning › peer review

• Exact rational expectations, cointegration, and reduced rank regression

  Johansen, S. & Swensen, A. R., 2008, I: Journal of Statistical Planning and Inference. 138, 9, s. 2738-2748 11 s.

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

  • Cointegration 100%
  • Reduced Rank Regression 99%
  • Rational Expectations 86%
  • Maximum Likelihood Estimation 52%
  • Vector Autoregressive Model 42%
  3 Citationer (Scopus)

• Reduced Rank Regression

  Johansen, S., 2008, The New Palgrave Dictionary of Economics. Durlauf, S. N. & Blume, L. E. (red.). 2 udg. Palgrave Macmillan, 7 s.

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

  • Reduced Rank Regression 100%
  • Regression Model 40%
  • Reduced Rank 22%
  • Canonical Correlation 21%
  • Multivariate Regression 19%
• 2007

  Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression

  Hoover, K. D., Juselius, K. & Johansen, S., 2007, Department of Economics, University of Copenhagen, 10 s.

  Publikation: Working paper › Forskning

  • Vector Autoregression 100%
  • Macroeconometrics 78%
  • Cointegration 12%
  • Econometrics 12%
  • General-to-specific 10%
  3048 Downloads (Pure)

• Comment on "A Semi-Empirical Approach to Projecting Future Sea-Level Rise"

  Johansen, S., Schmith, T. & Thejll, P., 2007, I: Science. 317, 5846, s. 1866

  Publikation: Bidrag til tidsskrift › Letter

  14 Citationer (Scopus)

• Correlation, Regression, and Cointegration of Nonstationary Economic Time Series

  Johansen, S., 2007, Department of Economics, University of Copenhagen, 9 s.

  Publikation: Working paper › Forskning

  • Cointegration 100%
  • Correlation Coefficient 60%
  • Economics 29%
  • Nonstationary Processes 29%
  • Spurious Correlation 28%
  1052 Downloads (Pure)

• Exact Rational Expectations, Cointegration, and Reduced Rank Regression

  Johansen, S. & Swensen, A. R., 2007, Department of Economics, University of Copenhagen, 10 s.

  Publikation: Working paper › Forskning

  • Cointegration 100%
  • Reduced Rank Regression 99%
  • Rational Expectations 61%
  • Maximum Likelihood Estimation 52%
  • Statistical Model 39%
  428 Downloads (Pure)

• Likelihood Inference for a Nonstationary Fractional Autoregressive Model

  Johansen, S. & Nielsen, M. Ø., 2007, Department of Economics, University of Copenhagen, 45 s.

  Publikation: Working paper › Forskning

  • Likelihood Inference 100%
  • Autoregressive Model 88%
  • Fractional 58%
  • Likelihood 47%
  • Local Likelihood 38%
  664 Downloads (Pure)

• Selecting a Regression Saturated by Indicators

  Hendry, D. F., Johansen, S. & Santos, C., 2007, Department of Economics, University of Copenhagen, 17 s.

  Publikation: Working paper › Forskning

  • Impulse 100%
  • Monte Carlo Simulation 69%
  • Finite Sample Distribution 68%
  • Regression Model 36%
  • Estimator 35%
  916 Downloads (Pure)

• Some Identification Problems in the Cointegrated Vector Autoregressive Model

  Johansen, S., 2007, Department of Economics, University of Copenhagen, 26 s.

  Publikation: Working paper › Forskning

  • Linear Restrictions 100%
  • Identification Problem 82%
  • Vector Autoregressive Model 71%
  • Permanent and Transitory Shocks 34%
  • Long-run Variance 34%
  921 Downloads (Pure)

• Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate

  Johansen, S., Juselius, K., Frydman, R. & Goldberg, M., 2007, Department of Economics, University of Copenhagen, 33 s.

  Publikation: Working paper › Forskning

  • Nominal Exchange Rate 100%
  • Hypothesis Testing 86%
  • Asymptotic Variance 57%
  • Stochastic Trend 56%
  • Long-term Interest Rates 52%
  1127 Downloads (Pure)
• 2006

  Cointegration: a survey

  Johansen, S., 2006, Handbook of Econometrics: Vol 1 Econometric Theory. Mills, T. C. & Palgrave, K. P. (red.). Palgrave Macmillan, Bind 1. s. 540-577

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

• Cointegration. Overview and Development

  Johansen, S., 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, s. 1-22.

  Publikation: Working paper › Forskning

• Confronting the Economic Model with the Data

  Johansen, S., 2006, Post Walrasian Macroeconomics. Beyond the Dynamic Stochastic General Equilibrium Model. Colander, D. (red.). Cambridge University Press, s. 287-300

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

  • Statistical Model 100%
  • Inference 39%
  • Stationary Process 32%
  • Data Generating Process 14%
  • DSGE Models 14%
  33 Citationer (Scopus)

• Extracting information from the data: a European view on empirical macro

  Juselius, K. & Johansen, S., 2006, Post Walrasian Macroeconomics: Beyond the Dynamic Stochastic General Equilibrium Model. Colander, D. (red.). Cambridge: Cambridge University Press, s. 301-333

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

  12 Citationer (Scopus)

• Statistical analysis of hypotheses on the cointegrating relations in the I(2) model

  Johansen, S., 2006, I: Journal of Econometrics. 132, s. 81-115

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

  • Statistical Analysis 100%
  • Likelihood Ratio 68%
  • Local Alternatives 62%
  • Maximum Likelihood Estimator 52%
  • Asymptotic Distribution 51%
  27 Citationer (Scopus)
• 2005

  A Note on testing restrictions for the cointegration parameters of a VAR with I(2) variables

  Johansen, S. & Lütkepohl, H., 2005, I: Econometric Theory. 21, s. 653-658

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

  3 Citationer (Scopus)

• A Representation Theory for a Class of Vector Autoregressive Models for Fractional Processes

  Johansen, S., 2005, Department of Applied Mathematics and Statistics, s. 1-22.

  Publikation: Working paper › Forskning

• Confronting the Economic Model with the Data

  Johansen, S., 2005, Department of Applied Mathematics and Statistics, s. 1-13.

  Publikation: Working paper › Forskning

• Extracting Information from the Data: A European View on Empirical Macro

  Johansen, S. & Juselius, K., 2005, Department of Applied Mathematics and Statistics, s. 1-26.

  Publikation: Working paper › Forskning

• Maximum Likelihood Estimation and Inference on Cointegration -with Applications to the Demand for Money

  Johansen, S. & Juselius, K., 2005, General-to-SpecificModelling, Vol I. Campos, J., Ericsson, N. & Hendry, D. (red.). Edward Elgar Publishing, s. 512-553

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

• Moderne Økonometri

  Johansen, S. & Juselius, K., 2005, I: Samfundsøkonomen. 3, s. 4-7

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

• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

  Johansen, S., 2005, Department of Applied Mathematics and Statistics, s. 1-23.

  Publikation: Working paper › Forskning

• Testing Weak Exogeneity and the Order of Cointegration in the UK Money Demand Data

  Johansen, S., 2005, General-to-Specific Modelling, Vol II. Campos, J., Ericsson, N. & Hendry, D. (red.). Edward Elgar Publishing, s. 589-610

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

• The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model

  Johansen, S., 2005, I: Oxford Bulletin of Economics and Statistics. 67, 1, s. 93-104

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

  38 Citationer (Scopus)
• 2004

  A Small Sample Correction of the Dickey-Fuller Test

  Johansen, S., 2004, Afdeling for Anvendt Matematek og Statistik / Københavns Universitet, s. 1-18.

  Publikation: Working paper › Forskning

• A Small Sample Correction of the Dickey-Fuller Test

  Johansen, S., 2004, New Directions in Macromodelling. Elsevier, s. 49-68

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

• Cointegration; An Overview

  Johansen, S., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet, s. 1-37.

  Publikation: Working paper › Forskning

• Cointegration; a survey

  Johansen, S., 2004, Palgrave Handbook of Econometrics: Volume 1. Bind 1, Chapter 15 udg. Palgrave Macmillan: Palgrave Macmillan, s. 1-37

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

• Discussion of: Pesaran, M.H., Schuermann T., and Weiner S. M., Modeling regional interdependencies using a global error-correcting macroeconometric model

  Johansen, S., 2004, I: Journal of Business and Economic Statistics. 22, 2, s. 169-172

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

  1 Citationer (Scopus)

• Erik Sparre Andersen

  Johansen, S., 2004, Det Kongelige Danske Videnskabernes Selskab: oversigt over Selskabets virksomhed 2002-2003. Det Kongelige Danske Videnskabernes Selskab, s. 231-239 9 s.

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

• Kointegration og fælles stokastiske trende

  Johansen, S., 2004, I: mat Matilde. 19, s. 11-13

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

• More on testing exact rational expectations in vector autoregressive models: Restricted constant and linear term

  Johansen, S. & Swensen, A. R., 2004, I: Econometrics Journal. 7, s. 389-397

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
• 2003

  Likelihood analysis of the I(2) model

  Johansen, S., 2003, Recent Developments in Time Series, Vol I. Newbold, P. & Leyborne, S. (red.). Edward Elgar Publishing, s. 243-272

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

• More on testing exact rational expectations in vector autoregressive models: Restricted drift term

  Johansen, S. & Swensen, A. R., 2003, Københavns Universitet, s. 1-11.

  Publikation: Working paper › Forskning

• 'The variance of the estimated roots in a cointegrated vector autoregressive model

  Johansen, S., 2003, I: Journal of Time Series Analysis. 24, 6, s. 663-678

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

  3 Citationer (Scopus)
• 2002

  A simulation study of some functionals of random walk

  Johansen, S., Hansen, H. & Fachin, S., 2002, Københavns Universitet.

  Publikation: Working paper › Forskning

• A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors

  Johansen, S., 2002, I: Journal of Econometrics. 111, 2, s. 195-221

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

  18 Citationer (Scopus)