Søren Johansen

Søgeresultater

• 2019

  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

• 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
• 2017

  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., 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

  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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• 2014

  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
• 2012

  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

  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

• 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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• 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

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• An Extension of Cointegration to Fractional Autoregressive Processes

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

  Publikation: Working paper › Forskning

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• 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

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• 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

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• 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

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• 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

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• 2009

  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

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• 2008

  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

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• 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

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• 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

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

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

  Publikation: Working paper › Forskning

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• 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

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• 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

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• 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

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• Some Identification Problems in the Cointegrated Vector Autoregressive Model

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

  Publikation: Working paper › Forskning

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• 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

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• 2006

  Cointegration. Overview and Development

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

  Publikation: Working paper › Forskning
• 2005

  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

• 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
• 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

• Cointegration; An Overview

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

  Publikation: Working paper › Forskning
• 2003

  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
• 2002

  A simulation study of some functionals of random walk

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

  Publikation: Working paper › Forskning

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

  Johansen, S., 2002, Københavns Universitet, s. 1-27.

  Publikation: Working paper › Forskning

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

  Johansen, S., 2002, Københavns Universitet, s. 1-11.

  Publikation: Working paper › Forskning