Information about:
Soren Johansen

Other registered authors

Email:
Homepage: http://www.math.ku.dk/~sjo
Postal Address: Department of Applied Mathematics and Statistics University of Copenhagen Universitetsparken 5 2100 Copenhagen Denmark
Phone: 0045-35320681

Affiliation

• Center for Research in Econometric Analysis of Time Series (CREATES)
  Aarhus Universitet

  Location: Aarhus, Denmark
  Homepage: http://www.creates.au.dk/en
  Email:
  Phone:
  Fax:
  Postal: Building 1322, DK-8000 Aarhus C
  Handle: RePEc:edi:creaudk (registered authors at this institution)

• Økonomisk Institut (Department of Economics)
  Københavns Universitet

  Location: København, Denmark
  Homepage: http://www.econ.ku.dk/
  Email:
  Phone: (+45) 35 32 26 26
  Fax: (+45) 35 32 30 00
  Postal: Studiestræde 6, 1455 København K
  Handle: RePEc:edi:okokudk (registered authors at this institution)

Lists

1. Average Rank Score
2. Number of Distinct Works, Weighted by Number of Authors
3. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
4. Number of Citations
5. Number of Citations, Discounted by Citation Age
6. Number of Citations, Weighted by Simple Impact Factor
7. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
8. Number of Citations, Weighted by Recursive Impact Factor
9. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
10. Number of Citations, Weighted by Number of Authors
11. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
12. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
14. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
15. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
16. h, where author has written h papers that have each been cited at least h times.
17. Number of Registered Citing Authors
18. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
19. Number of Journal Pages
20. Number of Journal Pages, Weighted by Simple Impact Factor
21. Number of Journal Pages, Weighted by Number of Authors
22. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
23. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
24. Number of Abstract Views in RePEc Services over the past 12 months
25. Number of Downloads through RePEc Services over the past 12 months
26. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
27. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
28. Wu-Index

Working papers

1. Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression," Discussion Papers 08-03, University of Copenhagen. Department of Economics. [Downloadable!]

2. Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," Economics Papers 2008-W03, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
   Other versions:
   • Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," CREATES Research Papers 2008-09, School of Economics and Management, University of Aarhus. [Downloadable!]

3. Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007. "Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate," Discussion Papers 07-34, University of Copenhagen. Department of Economics. [Downloadable!]
   Other versions:
   • Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008. "Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate," CREATES Research Papers 2008-03, School of Economics and Management, University of Aarhus. [Downloadable!]

4. Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers 07-35, University of Copenhagen. Department of Economics. [Downloadable!]
   Published as:
   • Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," American Economic Review, American Economic Association, vol. 98(2), pages 251-55, May. [Downloadable!]

5. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics. [Downloadable!]
   Other versions:
   • Søren Johansen & David F. Hendry & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," CREATES Research Papers 2007-36, School of Economics and Management, University of Aarhus. [Downloadable!]

6. Soren Johansen & Anders Rygh Swensen, 2007. "Exact Rational Expectations, Cointegration, and Reduced Rank Regression," Discussion Papers 07-29, University of Copenhagen. Department of Economics. [Downloadable!]
   Other versions:
   • Søren Johansen & Anders Rygh Swensen, 2007. "Exact rational expectations, cointegration, and reduced rank regression," CREATES Research Papers 2007-41, School of Economics and Management, University of Aarhus. [Downloadable!]

7. Søren Johansen, 2007. "Some Identification Problems in the Cointegrated Vector Autoregressive Model," Discussion Papers 07-24, University of Copenhagen. Department of Economics. [Downloadable!]
   Other versions:
   • Søren Johansen, 2007. "Some identification problems in the cointegrated vector autoregressive model," CREATES Research Papers 2007-32, School of Economics and Management, University of Aarhus. [Downloadable!]

8. Søren Johansen, 2007. "Correlation, Regression, and Cointegration of Nonstationary Economic Time Series," Discussion Papers 07-25, University of Copenhagen. Department of Economics. [Downloadable!]
   Other versions:
   • Søren Johansen, 2007. "Correlation, regression, and cointegration of nonstationary economic time series," CREATES Research Papers 2007-35, School of Economics and Management, University of Aarhus. [Downloadable!]

9. Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics. [Downloadable!]
   Other versions:
   • Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood inference for a nonstationary fractional autoregressive model," CREATES Research Papers 2007-33, School of Economics and Management, University of Aarhus. [Downloadable!]
   • Søren Johansen & Morten Ørregaard Nielsen, 2008. "Likelihood inference for a nonstationary fractional autoregressive model," Working Papers 1172, Queen's University, Department of Economics. [Downloadable!]

10. Katarina Juselius & Søren Johansen, 2005. "Extracting Information from the Data: A Popperian View on Empirical Macro," Discussion Papers 05-05, University of Copenhagen. Department of Economics. [Downloadable!]

11. Søren Johansen and Anders Rygh Swensen, 2003. "More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms," Discussion Papers 348, Research Department of Statistics Norway. [Downloadable!]

12. Soren Johansen & Katarina Juselius, 2001. "Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data," Discussion Papers 01-03, University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:
    • Soren JOHANSEN & Katarina JUSELIUS, 2001. "Controlling Inflation in a Cointergrated Vector Autoregressive Model with an Application to US Data," Economics Working Papers ECO2001/02, European University Institute. [Downloadable!]

13. Soren JOHANSEN, 2001. "The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model," Economics Working Papers ECO2001/01, European University Institute. [Downloadable!]
    Published as:
    • Søren Johansen, 2003. "The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(6), pages 663-678, November. [Downloadable!] (restricted)

14. Johansen, S., 2000. "A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model," Economics Working Papers eco2000/15, European University Institute.

15. Johansen, S., 1999. "A Bartlett Correction Factor for Tests on the Cointegrating Relations," Economics Working Papers eco99/10, European University Institute.
    Published as:
    • Johansen, S ren, 2000. "A Bartlett Correction Factor For Tests On The Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 16(05), pages 740-778, October. [Downloadable!]

16. Johansen, S., 1999. "A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors," Economics Working Papers eco99/9, European University Institute.
    Published as:
    • Johansen, Soren, 2002. "A small sample correction for tests of hypotheses on the cointegrating vectors," Journal of Econometrics, Elsevier, vol. 111(2), pages 195-221, December. [Downloadable!] (restricted)

17. Johansen, S., 1997. "Mathematical and Statistical Modelling of Cointegration," Economics Working Papers eco97/14, European University Institute.

18. Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers eco97/16, European University Institute.
    Published as:
    • Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November. [Downloadable!] (restricted)

19. Engsted, T. & Johansen, S., 1997. "Granger's Representation Theorem and Multicointegration," Economics Working Papers eco97/15, European University Institute.

20. Søren Johansen and Anders Rygh Swensen, 1994. "Testing Rational Expectations in Vector Autoregressive Models," Discussion Papers 129, Research Department of Statistics Norway.

21. Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.
    Published as:
    • Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July. [Downloadable!] (restricted)

22. Henrik Hansen & Søren Johansen, 1992. "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers 92-13, University of Copenhagen. Department of Economics.

23. Johansen, S., 1991. "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data," Papers 78, Helsinki - Department of Economics.
    Published as:
    • Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June. [Downloadable!] (restricted)

24. Johansen, S., 1991. "A Statistical Analsysis of Cointegration for I(2) Variables," Papers 77, Helsinki - Department of Economics.

25. Johansen, S., 1991. "An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and the United States," Papers 231, Australian National University - Department of Economics.

26. Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
    Published as:
    • Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-97, August.

27. Søren Johansen & Katarina Juselius, 1990. "Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK," Discussion Papers 90-05, University of Copenhagen. Department of Economics.

28. Søren Johansen & Katarina Juselius, 1989. "The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications," Discussion Papers 89-11, University of Copenhagen. Department of Economics.

29. Søren Johansen & Katarina Juselius, 1988. "Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland," Discussion Papers 88-05, University of Copenhagen. Department of Economics.

1. Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," American Economic Review, American Economic Association, vol. 98(2), pages 251-55, May. [Downloadable!]
   Other versions:
   • Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007. "Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression," Discussion Papers 07-35, University of Copenhagen. Department of Economics. [Downloadable!]

2. David Hendry & Søren Johansen & Carlos Santos, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 337-339, April. [Downloadable!] (restricted)
   Published as:
   • Carlos Santos & David Hendry & Soren Johansen, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 317-335, April. [Downloadable!] (restricted)

3. Johansen, Soren, 2006. "Statistical analysis of hypotheses on the cointegrating relations in the I(2) model," Journal of Econometrics, Elsevier, vol. 132(1), pages 81-115, May. [Downloadable!] (restricted)

4. Søren Johansen, 2005. "Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 93-104, 02. [Downloadable!] (restricted)

5. Johansen, S ren & L tkepohl, Helmut, 2005. "A Note On Testing Restrictions For The Cointegration Parameters Of A Var With I(2) Variables," Econometric Theory, Cambridge University Press, vol. 21(03), pages 653-658, April. [Downloadable!]

6. Johansen S., 2004. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 169-172, April. [Downloadable!] (restricted)

7. Søren Johansen & Anders Rygh Swensen, 2004. "More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 389-397, December. [Downloadable!] (restricted)

8. Søren Johansen, 2003. "The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(6), pages 663-678, November. [Downloadable!] (restricted)
   Other versions:
   • Soren JOHANSEN, 2001. "The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model," Economics Working Papers ECO2001/01, European University Institute. [Downloadable!]

9. Soren Johansen, 2002. "A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model," Econometrica, Econometric Society, vol. 70(5), pages 1929-1961, September. [Downloadable!] (restricted)

10. Søren Johansen, 2002. "Discussion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 29(2), pages 213-216. [Downloadable!] (restricted)

11. Johansen, Soren, 2002. "A small sample correction for tests of hypotheses on the cointegrating vectors," Journal of Econometrics, Elsevier, vol. 111(2), pages 195-221, December. [Downloadable!] (restricted)
    Other versions:
    • Johansen, S., 1999. "A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors," Economics Working Papers eco99/9, European University Institute.

12. Johansen, S ren, 2000. "A Bartlett Correction Factor For Tests On The Cointegrating Relations," Econometric Theory, Cambridge University Press, vol. 16(05), pages 740-778, October. [Downloadable!]
    Other versions:
    • Johansen, S., 1999. "A Bartlett Correction Factor for Tests on the Cointegrating Relations," Economics Working Papers eco99/10, European University Institute.

13. Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249. [Downloadable!]
    Other versions:
    • Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society. [Downloadable!]

14. Johansen, Soren, 2000. "Modelling of cointegration in the vector autoregressive model," Economic Modelling, Elsevier, vol. 17(3), pages 359-373, August. [Downloadable!] (restricted)

15. Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.

16. Johansen, Soren & Swensen, Anders Rygh, 1999. "Testing exact rational expectations in cointegrated vector autoregressive models," Journal of Econometrics, Elsevier, vol. 93(1), pages 73-91, November. [Downloadable!] (restricted)

17. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November. [Downloadable!] (restricted)
    Other versions:
    • Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers eco97/16, European University Institute.

18. Johansen, Soren, 1995. "The Role of Ancillarity in Inference for Non-stationary Variables," Economic Journal, Royal Economic Society, vol. 105(429), pages 302-20, March. [Downloadable!] (restricted)

19. Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September. [Downloadable!] (restricted)

20. Søren Johansen, 1994. "The role of the constant and linear terms in cointegration analysis of nonstationary variables," Econometric Reviews, Taylor and Francis Journals, vol. 13(2), pages 205-229. [Downloadable!] (restricted)

21. Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July. [Downloadable!] (restricted)
    Other versions:
    • Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.

22. Søren Johansen, 1994. "Reply to somments on "estimating systems of trending variables"," Econometric Reviews, Taylor and Francis Journals, vol. 13(3), pages 423-428. [Downloadable!] (restricted)

23. Søren Johansen, 1994. "Estimating systems of trending variables," Econometric Reviews, Taylor and Francis Journals, vol. 13(3), pages 351-386. [Downloadable!] (restricted)

24. Johansen, S[empty]ren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244. [Downloadable!] (restricted)

25. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-97, August.
    Other versions:
    • Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.

26. Johansen, Soren, 1992. "Testing weak exogeneity and the order of cointegration in UK money demand data," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 313-334, June. [Downloadable!] (restricted)
    Other versions:
    • Johansen, S., 1991. "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data," Papers 78, Helsinki - Department of Economics.

27. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June. [Downloadable!] (restricted)

28. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)

29. Johansen, Soren, 1991. " A Bayesian Perspective on Inference from Macroeconomic Data: Comment," Scandinavian Journal of Economics, Blackwell Publishing, vol. 93(2), pages 249-51.

30. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.

31. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)

1. NEP-CBA: Central Banking (4) 2001-10-22 2008-01-05 2008-06-27 2008-06-27
2. NEP-ECM: Econometrics (11) 2001-10-22 2003-06-09 2007-11-17 2007-11-17 2007-11-17 2007-11-17 2007-12-15 2008-01-05 2008-01-05 2008-02-09 2008-06-27 Author is listed
3. NEP-ETS: Econometric Time Series (13) 2001-10-22 2003-06-04 2007-11-17 2007-11-17 2007-11-17 2008-01-05 2008-01-05 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-06-27 2008-07-30 Author is listed
4. NEP-HPE: History & Philosophy of Economics (1) 2005-04-16
5. NEP-IFN: International Finance (3) 2008-01-05 2008-06-27 2008-07-30
6. NEP-MAC: Macroeconomics (1) 2005-04-16
7. NEP-MON: Monetary Economics (1) 2001-10-22
8. NEP-OPM: Open MacroEconomics (1) 2008-06-27

This page was last updated on 2008-12-2.