Search Results

Times Series: Cointegration,
Soren Johansen, from Department of Economics and Business Economics, Aarhus University (2014)
Keywords: adjustment coefficients, cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution, nonstationarity

The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration,
Soren Johansen, in Contemporary Economics (2012)

Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models,
Soren Johansen, in Econometrics (2019)
Keywords: adjustment coefficients; cointegrating coefficients; CVAR; causal models

Some identification problems in the cointegrated vector autoregressive model,
Soren Johansen, in Journal of Econometrics (2010)
Keywords: Identification Cointegration Common trends Asymptotic distribution

Statistical analysis of hypotheses on the cointegrating relations in the I(2) model,
Soren Johansen, in Journal of Econometrics (2006)

Modelling of cointegration in the vector autoregressive model,
Soren Johansen, in Economic Modelling (2000)

The Role of Ancillarity in Inference for Non-stationary Variables,
Soren Johansen, in Economic Journal (1995)

Comment,
Soren Johansen, in Journal of Business & Economic Statistics (2004)

A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model,
Soren Johansen, in Econometrica (2002)

A small sample correction for tests of hypotheses on the cointegrating vectors,
Soren Johansen, in Journal of Econometrics (2002)

A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES,
Soren Johansen, in Econometric Theory (2008)

A Representation of Vector Autoregressive Processes Integrated of Order 2,
Soren Johansen, in Econometric Theory (1992)

Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes,
Soren Johansen, in Econometric Reviews (2009)
Keywords: Error correction models, Fractional autoregressive model, Granger representation, Integration of order 1 and 2,

Discussion,
Soren Johansen, in Scandinavian Journal of Statistics (2002)

Cointegration in partial systems and the efficiency of single-equation analysis,
Soren Johansen, in Journal of Econometrics (1992)

Testing weak exogeneity and the order of cointegration in UK money demand data,
Soren Johansen, in Journal of Policy Modeling (1992)

Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model,
Soren Johansen, in Oxford Bulletin of Economics and Statistics (2005)

The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model,
Soren Johansen, in Journal of Time Series Analysis (2003)

Determination of Cointegration Rank in the Presence of a Linear Trend,
Soren Johansen, in Oxford Bulletin of Economics and Statistics (1992)

Statistical analysis of cointegration vectors,
Soren Johansen, in Journal of Economic Dynamics and Control (1988)

Mathematical and Statistical Modelling of Cointegration,
Soren Johansen, from European University Institute (1997)
Keywords: ECONOMETRICS ; STATISTICS ; MATHEMATICS

A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors,
Soren Johansen, from European University Institute (1999)
Keywords: TESTING ; REGRESSION ANALYSIS ; ECONOMETRICS

A Bartlett Correction Factor for Tests on the Cointegrating Relations,
Soren Johansen, from European University Institute (1999)
Keywords: TESTING ; REGRESSION ANALYSIS ; ECONOMETRICS

A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model,
Soren Johansen, from European University Institute (2000)
Keywords: TESTS ; MODELS ; MATHEMATICS

The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model,
Soren Johansen, from European University Institute (2001)

Some Identification Problems in the Cointegrated Vector Autoregressive Model,
Soren Johansen, from University of Copenhagen. Department of Economics (2007)
Keywords: identification; cointegration; common trends

Correlation, Regression, and Cointegration of Nonstationary Economic Time Series,
Soren Johansen, from University of Copenhagen. Department of Economics (2007)

The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level,
Soren Johansen, from University of Copenhagen. Department of Economics (2010)
Keywords: regression correlation cointegration; model based inference; likelihood inference; annual mean temperature; sea level

An Extension of Cointegration to Fractional Autoregressive Processes,
Soren Johansen, from University of Copenhagen. Department of Economics (2010)
Keywords: cofractional processes; cointegration rank; fractional cointegration; likelihood inference; vector autoregressive model

Times Series: Cointegration,
Soren Johansen, from University of Copenhagen. Department of Economics (2014)
Keywords: adjustment coefficients, cointegrating relations, cointegration, cointegrated vector autoregressive model, Dickey-Fuller distributions, error correction models, econometric analysis of macroeconomic data, likelihood inference, mixed Gaussian distribution, nonstationarity

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models,
Soren Johansen, from Oxford University Press (1995)

Identifying restrictions of linear equations with applications to simultaneous equations and cointegration,
Soren Johansen, in Journal of Econometrics (1995)

A Small Sample Correction of the Dickey-Fuller Test,
Soren Johansen, from Emerald Group Publishing Limited (2004)

The analysis of nonstationary time series using regression, correlation and cointegration - with an application to annual mean temperature and sea level,
Soren Johansen, from Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome (2011)
Keywords: Regression correlation cointegration, model based inference, likelihood inference, annual mean temperature, sea level

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,
Soren Johansen, in Econometrica (1991)

Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models,
Soren Johansen, from University of Copenhagen. Department of Economics (2018)
Keywords: Adjustment coefficients, cointegrating coefficients, CVAR, causal models

Registered author: Soren Johansen

Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models,
Soren Johansen and Soeren Johansen, from University of Copenhagen. Department of Economics (2021)
Keywords: Abstract, Exact rational expectations; Cointegrated VAR model; Reduced rank regression; Adjustment coefficients

Optimal Prices of an M/G/1 Jobshop,
Søren Glud Johansen, in Operations Research (1994)
Keywords: cost analysis: opportunity costs of a jobshop, transfer pricing, dynamic programming/optimal control, semi-Markov: infinite state space, infinite decision set, α-optimal, queues, optimization: input control by charging prices

Base-stock policies for the lost sales inventory system with Poisson demand and Erlangian lead times,
Soren Glud Johansen, in International Journal of Production Economics (2005)

Pure and modified base-stock policies for the lost sales inventory system with negligible set-up costs and constant lead times,
Soren Glud Johansen, in International Journal of Production Economics (2001)

Lot sizing for varying degrees of demand uncertainty,
Soren Glud Johansen, in International Journal of Production Economics (1999)

Transfer pricing of a service department facing random demand,
Soren Glud Johansen, in International Journal of Production Economics (1996)

Modified base-stock policies for continuous-review, lost-sales inventory models with Poisson demand and a fixed lead time,
Søren Glud Johansen, in International Journal of Production Economics (2013)
Keywords: Base-stock policy; Lost sales; Continuous review; Simulation; Optimization;

Emergency orders in the periodic-review inventory system with fixed ordering costs and stochastic lead times for normal orders,
Søren Glud Johansen, in International Journal of Production Economics (2019)
Keywords: Backlogging; Emergency order; Markov decision model; Policy iteration; Reorder-point policy; Stochastic lead times;

Optimal prices of a job shop with a single work station: a discrete time model,
Soren Glud Johansen, in International Journal of Production Economics (1991)

The Markov model for base-stock control of an inventory system with Poisson demand, non-crossing lead times and lost sales,
Søren Glud Johansen, in International Journal of Production Economics (2021)
Keywords: Base-stock policy; Non-crossing lead times; Generalized Erlangian; Hypo-exponential; Lost sales;

Estimation of proportional covariances,
Søren Tolver Jensen and Soren Johansen, in Statistics & Probability Letters (1987)
Keywords: maximum likelihood estimation convexity exponential families

BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES,
Soren Johansen and Bent Nielsen, in Econometric Theory (2019)

An analysis of the indicator saturation estimator as a robust regression estimator,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2008)
Keywords: Empirical processes, Huber's skip, indicator saturation, M-estimator, outlier robustness, vector autoregressive process

Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Empirical processes, Huber's skip, least trimmed squares estimator, one-step estimator, outlier robustness

Some econometric results for the Blanchard-Watson bubble model,
Soren Johansen and Theis Lange, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: Time series, explosive processes, bubble models.

Asymptotic theory for iterated one-step Huber-skip estimators,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: Huber-skip, iteration, one-step M-estimators, unit roots.

Asymptotic analysis of the Forward Search,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2013)
Keywords: Fixed point result, Forward Search, quantile process, weighted and marked empirical process

Outlier detection algorithms for least squares time series regression,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2014)
Keywords: Huber-skip M-estimators, 1-step Huber-skip M-estimators, iteration, Forward Search, Impulse Indicator Saturation, Robusti?ed Least Squares, weighted and marked empirical processes, iterated martingale inequality, gauge

Tightness of M-estimators for multiple linear regression in time series,
Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2016)
Keywords: M-estimator, robust statistics, martingales, Huber-skip, quantile estimation.

Cointegration between trends and their estimators in state space models and CVAR models,
Soren Johansen and Morten Tabor, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: Cointegration of trends, State space models, CVAR models

Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator,
Soren Johansen and Bent Nielsen, in Econometrics (2013)
Keywords: Huber-skip; iteration; one-step M-estimators; unit roots

Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models,
Soren Johansen and Morten Tabor, in Econometrics (2017)
Keywords: cointegration of trends; state space models; cointegrated vector autoregressive models

Optimal hedging with the cointegrated vector autoregressive model,
Soren Johansen and Lukasz Gatarek, from Department of Economics and Business Economics, Aarhus University (2014)
Keywords: hedging, cointegration, minimum variance portfolio

MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY,
David Hendry and Soren Johansen, in Econometric Theory (2015)

The Properties of Model Selection when Retaining Theory Variables,
David Hendry and Soren Johansen, from Department of Economics and Business Economics, Aarhus University (2011)
Keywords: Model selection, theory retention.

Least squares estimation in a simple random coefficient autoregressive model,
Soren Johansen and Theis Lange, in Journal of Econometrics (2013)
Keywords: Time series; Explosive processes; Bubble models; Stable limits;

Some tests for parameter constancy in cointegrated VAR-models,
Henrik Hansen and Soren Johansen, in Econometrics Journal (1999)
Keywords: Cointegration, Eigenvalues, Fluctuation test, Parameter constancy.

Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models,
Soren Johansen and Bent Nielsen, in Scandinavian Journal of Statistics (2016)

Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models,
Soren Johansen and Bent Nielsen, in Scandinavian Journal of Statistics (2016)

An invariance property of the common trends under linear transformations of the data,
Soren Johansen and Katarina Juselius, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Cointegration vectors, common trends, prediction errors.

Identification of the long-run and the short-run structure an application to the ISLM model,
Soren Johansen and Katarina Juselius, in Journal of Econometrics (1994)

Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK,
Soren Johansen and Katarina Juselius, in Journal of Econometrics (1992)

An asymptotic invariance property of the common trends under linear transformations of the data,
Soren Johansen and Katarina Juselius, in Journal of Econometrics (2014)
Keywords: Cointegration vectors; Common trends; Prediction errors;

The role of cointegration for optimal hedging with heteroscedastic error term,
Lukasz Gatarek and Soren Johansen, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: Hedging, Cointegration, Minimum variance portfolio, Maximum Sharpe ratio portfolio

Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles,
Massimo Franchi and Soren Johansen, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: Long-run inference, test on cointegrating relations, likelihood inference, vector autoregressive model, near unit roots, Bonferroni type adjusted quantiles

Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money,
Soren Johansen and Katarina Juselius, in Oxford Bulletin of Economics and Statistics (1990)

Granger's Representation Theorem and Multicointegration,
Tom Engsted and Soren Johansen, from European University Institute (1997)
Keywords: ECONOMETRICS

Likelihood Analysis of Seasonal Cointegration,
Soren Johansen and Ernst Schaumburg, from European University Institute (1997)
Keywords: ECONOMETRICS

Controlling Inflation in a Cointergrated Vector Autoregressive Model with an Application to US Data,
Soren Johansen and Katarina Juselius, from European University Institute (2001)

Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data,
Soren Johansen and Katarina Juselius, from University of Copenhagen. Department of Economics (2001)
Keywords: Inflation Target; Monetary Instruments; Control Rules

Extracting Information from the Data: A Popperian View on Empirical Macro,
Katarina Juselius and Soren Johansen, from University of Copenhagen. Department of Economics (2005)
Keywords: cointegrated VAR; inflation; money growth; empirical methodology

Likelihood Inference for a Nonstationary Fractional Autoregressive Model,
Soren Johansen and Morten Nielsen, from University of Copenhagen. Department of Economics (2007)
Keywords: Dickey-Fuller test; fractional unit root; likelihood inference

An analysis of the indicator saturation estimator as a robust regression,
Soren Johansen and Bent Nielsen, from University of Copenhagen. Department of Economics (2008)
Keywords: empirical processes; Huber's skip; indicator saturation; M-estimator; outlier robustness; vector autoregressive process

Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli,
Soren Johansen and Bent Nielsen, from University of Copenhagen. Department of Economics (2010)
Keywords: empirical processes; Huber's skip; least trimmed squares estimator; one-step estimator; outlier robustness

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model,
Soren Johansen and Morten Nielsen, from University of Copenhagen. Department of Economics (2010)
Keywords: cofractional processes; cointegration rank; fractional cointegration; likelihood inference; vector autoregressive model

A Necessary Moment Condition for the Fractional Functional Central Limit Theorem,
Soren Johansen and Morten Nielsen, from University of Copenhagen. Department of Economics (2010)
Keywords: fractional integration; functional central limit theorem; long memory; moment condition; necessary condition

An Invariance Property of the Common Trends under Linear Transformations of the Data,
Soren Johansen and Katarina Juselius, from University of Copenhagen. Department of Economics (2010)
Keywords: cointegration vectors; common trends; prediction errors

Some Econometric Results for the Blanchard-Watson Bubble Model,
Soren Johansen and Theis Lange, from University of Copenhagen. Department of Economics (2011)
Keywords: time series; explosive processes; bubble models

The Properties of Model Selection when Retaining Theory Variables,
David Hendry and Soren Johansen, from University of Copenhagen. Department of Economics (2011)
Keywords: Model selection, theory retention

Asymptotic theory for iterated one-step Huber-skip estimators,
Soren Johansen and Bent Nielsen, from University of Copenhagen. Department of Economics (2011)
Keywords: Huber-skip; iteration; one-step M-estimators; unit roots

The role of initial values in nonstationary fractional time series models,
Soren Johansen and Morten Nielsen, from University of Copenhagen. Department of Economics (2012)
Keywords: Asymptotic expansion, bias, conditional inference, fractional integration, initial values, likelihood inference

Asymptotic analysis of the Forward Search,
Soren Johansen and Bent Nielsen, from University of Copenhagen. Department of Economics (2013)
Keywords: Fixed point result, Forward Search, quantile process, weighted and marked empirical process

Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland,
Soren Johansen and Katarina Juselius, from University of Copenhagen. Department of Economics (1988)
Keywords: cointegration; error correction; maximum likelihood estimation; likelihood ratio test; vector autoregressive processes; money demand; Denmark; Finland