← All authors Søren Johansen University of Copenhagen (from arXiv:2208.02516, 2022) · ORCID · OpenAlex
80 papers in scope · 80 published · 1 on the econ.EM arXiv · 54,890 citations · h-index 42 (over the papers listed here)
Papers (1 of 80)
Optimal Portfolio Hedging With Cointegration
published 2026 · Oxford Bulletin of Economics and Statistics
with Lukasz Teofil Gatarek
Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models
published 2023 · Journal of Time Series Analysis · 1 citations · first circulated 2021
with Anders Rygh Swensen
A model where the least trimmed squares estimator is maximum likelihood
published 2023 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 12 citations · first circulated 2019
published 2022 · Econometric Theory
Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature
published 2020 · Econometrics · 3 citations · first circulated 2015
Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
published 2019 · Econometrics · 8 citations · first circulated 2018
Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
published 2018 · Journal of Time Series Analysis · 27 citations
BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES
published 2018 · Econometric Theory · 5 citations
The cointegrated vector autoregressive model with general deterministic terms
published 2017 · Journal of Econometrics · 1 citations · first circulated 2016
Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models
published 2017 · Econometrics · 6 citations
with Morten Nyboe Tabor
Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles
published 2017 · Econometrics · 7 citations
Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models
published 2016 · Scandinavian Journal of Statistics · 92 citations
Analysis of the Forward Search using some new results for martingales and empirical processes
published 2015 · Bernoulli · 34 citations
THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
published 2015 · Econometric Theory · 68 citations · first circulated 2012
MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
published 2014 · Econometric Theory · 66 citations · first circulated 2012
with David F. Hendry
Outlier detection algorithms for least squares time series regression
published 2014 · CREATES Research Papers · 10 citations
An asymptotic invariance property of the common trends under linear transformations of the data
published 2013 · Journal of Econometrics · 15 citations · first circulated 2010
with Katarina Jusélius
Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator
published 2013 · Econometrics · 31 citations
Least squares estimation in a simple random coefficient autoregressive model
published 2013 · Journal of Econometrics · 4 citations
with Theis Lange
The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration
published 2012 · Contemporary Economics · 25 citations · first circulated 2010
Statistical Analysis of Global Surface Temperature and Sea Level Using Cointegration Methods
published 2012 · Journal of Climate · 51 citations · first circulated 2011
with Torben Schmith, Peter Thejll, Torben Schmidt
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
published 2012 · Econometrica · 307 citations · first circulated 2010
A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM
published 2011 · Econometric Theory · 6 citations · first circulated 2010
On a Graphical Technique for Evaluating Some Rational Expectations Models
published 2011 · Journal of Time Series Econometrics · 5 citations · first circulated 2009
with Anders Rygh Swensen
Testing hypotheses in an model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate
published 2010 · Journal of Econometrics · 94 citations
with Katarina Jusélius, Roman Frydman, Michael Goldberg
Likelihood inference for a nonstationary fractional autoregressive model
published 2010 · Journal of Econometrics · 171 citations · first circulated 2007
Discussion: The forward search: Theory and data analysis
published 2010 · Journal of the Korean Statistical Society · 15 citations
Some identification problems in the cointegrated vector autoregressive model
published 2010 · Journal of Econometrics · 14 citations · first circulated 2007
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
published 2008 · Econometric Reviews · 65 citations
Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
published 2008 · American Economic Review · 187 citations
with Kevin D. Hoover, Katarina Jusélius
Exact rational expectations, cointegration, and reduced rank regression
published 2008 · Journal of Statistical Planning and Inference · 12 citations · first circulated 2007
with Anders Rygh Swensen
A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
published 2008 · Econometric Theory · 255 citations
Automatic selection of indicators in a fully saturated regression
published 2007 · Computational Statistics · 225 citations
with Carlos Santos, David F. Hendry
Selecting a Regression Saturated by Indicators
published 2007 · CREATES Research Papers · 34 citations
with David F. Hendry, Carlos Santos
A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES
published 2005 · Econometric Theory · 4 citations
Statistical analysis of hypotheses on the cointegrating relations in the model
published 2005 · Journal of Econometrics · 60 citations
Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model*
published 2005 · Oxford Bulletin of Economics and Statistics · 22 citations
More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
published 2004 · Econometrics Journal · 5 citations
with Anders Rygh Swensen, A.R. Swensen
Comment
published 2004 · Journal of Business and Economic Statistics · 1 citations
The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
published 2003 · Journal of Time Series Analysis · 9 citations · first circulated 2001
A small sample correction for tests of hypotheses on the cointegrating vectors
published 2002 · Journal of Econometrics · 59 citations · first circulated 1999
A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
published 2002 · Econometrica · 372 citations · first circulated 2000
Discussion
published 2002 · Scandinavian Journal of Statistics
Cointegration analysis in the presence of structural breaks in the deterministic trend
published 2000 · Econometrics Journal · 721 citations
A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
published 2000 · Econometric Theory · 175 citations · first circulated 1999
Modelling of cointegration in the vector autoregressive model
published 2000 · Economic Modelling · 116 citations
Some tests for parameter constancy in cointegrated VAR‐models
published 1999 · Econometrics Journal · 620 citations
with Henrik Hansen
Testing exact rational expectations in cointegrated vector autoregressive models
published 1999 · Journal of Econometrics · 71 citations
with Anders Rygh Swensen
Likelihood analysis of seasonal cointegration
published 1999 · Journal of Econometrics · 163 citations · first circulated 1997
with Ernst Schaumburg
Asymptotic Inference on Cointegrating Rank in Partial Systems
published 1998 · Journal of Business and Economic Statistics · 231 citations
Likelihood Analysis of the I (2) Model
published 1997 · Scandinavian Journal of Statistics · 152 citations · first circulated 1994
Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
published 1995 · Journal of Econometrics · 569 citations
The Role of Ancillarity in Inference for Non-Stationary Variables
published 1995 · The Economic Journal · 41 citations
A Stastistical Analysis of Cointegration for I(2) Variables
published 1995 · Econometric Theory · 352 citations
A personal overview of non-linear time series analysis from a chaos perspective. Commentary
published 1995 · Scandinavian Journal of Statistics · 33 citations
no link
Identification of the long-run and the short-run structure an application to the ISLM model
published 1994 · Journal of Econometrics · 663 citations · first circulated 1992
with Katarina Jusélius
The role of the constant and linear terms in cointegration analysis of nonstationary variables
published 1994 · Econometric Reviews · 450 citations
Estimating systems of trending variables
published 1994 · Econometric Reviews · 18 citations
DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND
published 1992 · Oxford Bulletin of Economics and Statistics · 1022 citations · first circulated 1991
Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
published 1992 · Journal of Econometrics · 1700 citations
with Katarina Jusélius
Cointegration in partial systems and the efficiency of single-equation analysis
published 1992 · Journal of Econometrics · 994 citations
Testing weak exogeneity and the order of cointegration in UK money demand data
published 1992 · Journal of Policy Modeling · 691 citations
A Representation of Vector Autoregressive Processes Integrated of Order 2
published 1992 · Econometric Theory · 334 citations
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
published 1991 · Econometrica · 11182 citations
Comment on E. E. Leamer, "A Bayesian Perspective on Inference from Macroeconomic Data"
published 1991 · Scandinavian Journal of Economics · 4 citations
Globally convergent algorithms for maximizing a likelihood function
published 1991 · Biometrika · 44 citations
with Søren Jensen, Steffen L. Lauritzen
A Survey of Product-Integration with a View Toward Application in Survival Analysis
published 1990 · The Annals of Statistics · 384 citations
with Richard D. Gill
Hotelling's Theorem on the Volume of Tubes: Some Illustrations in Simultaneous Inference and Data Analysis
published 1990 · The Annals of Statistics · 93 citations
with Iain M. Johnstone
MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY
published 1990 · Oxford Bulletin of Economics and Statistics · 14141 citations
with Katarina Jusélius, Katarina Juselius
Statistical analysis of cointegration vectors
published 1988 · Journal of Economic Dynamics and Control · 16832 citations
The mathematical structure of error correction models
published 1988 · Contemporary mathematics - American Mathematical Society · 100 citations
Estimation of proportional covariances
published 1987 · Statistics & Probability Letters · 12 citations
with Søren Jensen, Søren Tolver Jensen
The asymptotic properties of the Cornish-Bowden-Eisenthal median estimator
published 1986 · Journal of Statistical Planning and Inference · 2 citations
with Peter Dalgaard
Functional Relations, Random Coefficients, and Nonlinear Regression With Application to Kinetic Data.
published 1985 · Journal of the American Statistical Association · 48 citations · first circulated 1984
with Yasuo Amemiya
On de Moivre's Recursion Formulae for the Duration of Play
published 1983 · International Statistical Review · 2 citations
with A. Hald
An Extension of Cox's Regression Model
published 1983 · International Statistical Review · 218 citations
Amendments and Corrections: The Welch--James Approximation to the Distribution of the Residual Sum of Squares in a Weighted Linear Regression
published 1980 · Biometrika · 198 citations
The product limit estimator as maximum likelihood estimator
published 1978 · Scandinavian Journal of Statistics · 112 citations
no link
Asymptotic Properties of the Restricted Bayesian Double Sampling Plan
published 1970 · Technometrics · 3 citations
On the Semimartingale Convergence Theorem
published 1966 · The Annals of Mathematical Statistics · 11 citations
with J. Karush
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