Søren Johansen

Søgeresultater

• 2024

  Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models

  Johansen, S. & Rygh Swensen, A., 2024, I: Journal of Time Series Analysis. 45, 2, s. 248-268 21 s.

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

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• WEAK CONVERGENCE TO DERIVATIVES OF FRACTIONAL BROWNIAN MOTION

  Johansen, S. & Nielsen, M. Ø., 2024, I: Econometric Theory. s. 1-16

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

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  23 Downloads (Pure)
• 2023

  A model where the least trimmed squares estimator is maximum likelihood

  Berenguer-Rico, V., Johansen, S. & Nielsen, B., 2023, I: Journal of The Royal Statistical Society Series B-statistical Methodology. 85, 3, s. 886-912

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

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  4 Citationer (Scopus)

  2 Downloads (Pure)
• 2020

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

  Hillebrand, E., Johansen, S. & Schmith, T., dec. 2020, I: Econometrics. 8, 4, 19 s., 41.

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

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  2 Citationer (Scopus)

  36 Downloads (Pure)
• 2019

  Boundedness of M-estimators for linear regression in time series

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

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

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  2 Citationer (Scopus)

  22 Downloads (Pure)

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

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

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

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  4 Citationer (Scopus)

  47 Downloads (Pure)

• 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

• Models Where the Least Trimmed Squares and Least Median of Squares Estimators Are Maximum Likelihood

  Berenguer-Rico, V., Johansen, S. & Nielsen, B., 27 sep. 2019, 39 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-11).

  Publikation: Working paper › Forskning

• Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

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

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
  19 Citationer (Scopus)

• The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals

  Berenguer-Rico, V., Johansen, S. & Nielsen, B., 28 maj 2019, 30 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-05).

  Publikation: Working paper › Forskning

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

  Frydman, R., Johansen, S., Rahbek, A. & Tabor, M. N., 15 mar. 2019, 55 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-02).

  Publikation: Working paper › Forskning

• Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

  Berenguer-Rico, V., Johansen, S. & Nielsen, B., 18 jun. 2019, 22 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 19-09).

  Publikation: Working paper › Forskning
• 2018

  Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models

  Johansen, S., 29 maj 2018, 9 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18-05).

  Publikation: Working paper › Forskning

• Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

  Johansen, S. & Nielsen, M. Ø., 29 maj 2018, 27 s. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 18-04).

  Publikation: Working paper › Forskning

• Testing the CVAR in the Fractional CVAR Model

  Johansen, S. & Nielsen, M. Ø., 19 apr. 2018, I: Journal of Time Series Analysis. 39, 6, s. 836–849

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

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  15 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
  6 Citationer (Scopus)
• 2017

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

  Johansen, S. & Tabor, M. N., 22 aug. 2017, I: Econometrics. 5, 3, s. 1-15 15 s.

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

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  6 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

• 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

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  3 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

• 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

• 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

• 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
• 2016

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

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

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
  20 Citationer (Scopus)

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

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

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
  53 Citationer (Scopus)

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

  Johansen, S. & Nielsen, B., 15 jun. 2016, I: Scandinavian Journal of Statistics. 43, 2, s. 374-381 8 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
  6 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

• 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

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• Model Discovery and Trygve Haavelmo's Legacy

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

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
  35 Citationer (Scopus)

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

  Johansen, S. & Nielsen, M. Ø., 11 maj 2015, I: Econometric Theory. 32, s. 1095-1139 45 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
  45 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., 2014, I: Journal of Econometrics. 178, Part 2, s. 310-315 6 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
  7 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

• 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
• 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

• 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
  3 Citationer (Scopus)

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

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

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  20 Citationer (Scopus)

  2170 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
  17 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
  218 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
  37 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
  18 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.

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• 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

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  2757 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