Søren Johansen

Knowledge of languages

English, Italian, German and French

Short presentation

Research Fields: Econometrics, mathematical statistics and probability theory, time series analysis, including  cointegration and its applications, fractional processes, outlier detection, robust statistics. 

Research groups: I am currently not a member of any research groups

Most essential academic contribution: My most influential work is related to cointegration of economic time series, which has had an impact on theory and practice in the application and analysis of macro economic time series. In collaboration with Katarina Juselius we have developed the theory and applications of these concepts and methods in the framework of the vector autoregressive model. The methods have widespread use in academia and applied macro economics.

CV

orn 6 November 1939

Cand. stat. 1964, dr.phil 1974, University of Copenhagen

Employment

I have worked University of Copenhagen, Institute of Mathematical Statistics since 1964 and in the period 1989-2007 as professor. From 2007 I am part time employed as professor of econometrics, Economics Department, KU, and member of CREATES, Aarhus University. In 1996-2001 I was on leave and worked as professor of econometrics at the Department of Economics, European University Institute, Florence.

Academic Contribution

I received the Gold medal from University of Copenhagen 1967 (An application of extreme points methods in probability), dr.phil. 1974 (The embedding problem for Markov chains) and in 1997 I received an award from Dir. Ib Henriksens Fund for outstanding research. I have become the most cited researcher in economic journals in the world in the the period 1990-2000, see T. Coupé (2003), due to the collaboration on cointegration with Katarina Juselius. I received the degree of doctor oeconomicus honoris causa from Aarhus University 2017.

 Longer stays abroad

Berkeley 1965/67, Imperial College London 1971/72, Oregon State University, 1975, ETH, Zürich, spring 1975, Stanford, summer 1984, San Diego, January 1985, Baltimore, spring 1985, San Diego, fall 1989, Helsinki, spring 1991, Canberra, summer 1991, Sydney winter 1994.

International activities

Member of Institute of Mathematical Statistics (IMS) since 1964 and fellow since 1973. Member of International Statistical Institute since 1976. Fellow of Econometric Society since 2000.

Editorial work: 1974-1981 associate editor of Annals of Statistics and Annals of Probability, 1985-86 associate editor of Scandinavian Journal of Statistics and editor 1986-1990. 1990- associate editor of Econometric Theory, 1997- associate editor of Econometrica.

Conferences organized: 14th EMS, Wroclaw, 1981, Bernoulli Society Amsterdam 1985, ISI Tokyo 1987. ESEM three times.

Research interests

I have worked with mathematical statistics and probability theory as well as medical statistics and since 1983 with econometrics, in particular the theory of cointegration.

In the period 1987 to now I have been involved in various projects under the Danish Social Sciences Research Council, Nordic Research Council for the Social Sciences Natural Sciences Research Council.

Primary fields of research

Mathematical statistics and probability theory

Analysis of time series, in particular cointegration

Current research

The statistical theory for outlier detection, robust inference, inference in the cointegrated vector autoregressive model, fractional processes

Teaching

I do not have any systematic teaching and supervision responsibilities