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Johansen, Soren's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,106 |
Total
Citations
62 |
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1.
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Hoover, Kevin D.
Duke University - Departments of Economics and Philosophy Johansen, Soren
University of Copenhagen - Department of Economics Juselius, Katarina
University of Copenhagen - Department of Economics
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229
(65,118)
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14
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cointegrated vector autoregression, VAR, CVAR, cointegration, Johansen, Juselius, Haavelmo, time-series models, Walrasian methodology, Marshallian methodology
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2.
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Johansen, Soren
University of Copenhagen - Department of Economics
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156
(94,605)
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3.
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A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
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Versions (2)
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Frydman, Roman
Leonard N. Stern School of Business - Department of Economics Goldberg, Michael D.
University of New Hampshire Johansen, Soren
University of Copenhagen - Department of Economics Juselius, Katarina
University of Copenhagen - Department of Economics
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Posted:
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15 Dec 08
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Last Revised:
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15 Jan 09
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108
(128,104)
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1
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Frydman, Roman
Leonard N. Stern School of Business - Department of Economics Goldberg, Michael D.
University of New Hampshire Johansen, Soren
University of Copenhagen - Department of Economics Juselius, Katarina
University of Copenhagen - Department of Economics
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76
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1
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PPP puzzle, long swings, imperfect knowledge, rational expectations hypothesis
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Frydman, Roman
Leonard N. Stern School of Business - Department of Economics Goldberg, Michael D.
University of New Hampshire Johansen, Soren
University of Copenhagen - Department of Economics Juselius, Katarina
University of Copenhagen - Department of Economics
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32
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1
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PPP puzzle, Long Swings, Imperfect Knowledge, Rational Expectations
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4.
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Johansen, Soren
University of Copenhagen - Department of Economics
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96
(139,089)
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1
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regression correlation cointegration, model based inference, likelihood inference, annual mean temperature, sea level
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5.
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Johansen, Soren
University of Copenhagen - Department of Economics Juselius, Katarina
University of Copenhagen - Department of Economics
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44
(211,898)
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5
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Inflation Target, Monetary Instruments, Control Rules
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6.
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An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Bent
University of Oxford - Department of Economics
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Posted:
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06 May 08
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Last Revised:
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25 Jun 08
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43
(213,897)
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9
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Bent
University of Oxford - Department of Economics
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14
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9
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Empirical processes, Huber's skip, indicator saturation, M-estimator, outlier robustness, vector autoregressive process
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Bent
University of Oxford - Department of Economics
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29
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9
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empirical processes, Huber's skip, indicator saturation, M-estimator
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7.
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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
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Versions (2)
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Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics Johansen, Soren
University of Copenhagen - Department of Economics
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Posted:
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21 May 10
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Last Revised:
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02 Jun 10
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41
(217,939)
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3
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics Sommer, Margit
School of Economics and Management
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27
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3
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Cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model
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Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics Johansen, Soren
University of Copenhagen - Department of Economics
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14
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3
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cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model
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8.
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Schmith, Torben
Danish Meteorological Institute, Johansen, Soren
University of Copenhagen - Department of Economics Thejll, Peter
Danish Meteorological Institute
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35
(230,999)
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1
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9.
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Johansen, Soren
University of Copenhagen - Department of Economics Swensen, Anders Rygh
University of Oslo - Department of Mathematics
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34
(233,387)
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Exact rational expectations, Cointegrated VAR model, Reduced rank regression
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10.
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Johansen, Soren
University of Copenhagen - Department of Economics
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34
(233,387)
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3
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Identfication, cointegration, common trends
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11.
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Johansen, Soren
University of Copenhagen - Department of Economics Swensen, Anders Rygh
University of Oslo - Department of Mathematics
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29
(246,199)
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10
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12.
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Johansen, Soren
University of Copenhagen - Department of Economics
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26
(255,185)
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1
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regression, correlation, cointegration, model based inference, likelihood inference
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13.
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics Sommer, Margit
School of Economics and Management
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26
(255,185)
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4
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Dickey-Fuller test, fractional unit root, likelihood inference
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14.
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Johansen, Soren
University of Copenhagen - Department of Economics lange, Theis
affiliation not provided to SSRN
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18 May 11
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Last Revised:
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18 Jun 11
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23
(265,097)
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time series, explosive processes, bubble models
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15.
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Johansen, Soren
University of Copenhagen - Department of Economics
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21
(271,910)
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cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model
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16.
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Johansen, Soren
University of Copenhagen - Department of Economics Swensen, Anders Rygh
University of Oslo - Department of Mathematics
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21
(271,910)
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VAR models, cointegration, rational expectations
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17.
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Johansen, Soren
University of Copenhagen - Department of Economics Juselius, Katarina
University of Copenhagen - Department of Economics Frydman, Roman
Leonard N. Stern School of Business - Department of Economics Goldberg, Michael D.
University of New Hampshire
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20
(275,375)
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2
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PPP puzzle, Forward premium puzzle, cointegrated VAR, likelihood inference
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18.
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Bent
University of Oxford - Department of Economics
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18
(282,470)
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Empirical processes, Huber's skip, least trimmed squares estimator, one-step estimator, outlier robustness
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19.
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Johansen, Soren
University of Copenhagen - Department of Economics Hendry, David F.
University of Oxford - Department of Economics Santos, Carlos
affiliation not provided to SSRN
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18
(282,470)
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6
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Indicators, regression saturation, subset selection, model selection
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20.
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Hendry, David F.
University of Oxford - Department of Economics Johansen, Soren
University of Copenhagen - Department of Economics
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17
(286,080)
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2
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Model selection, theory retention
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21.
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics
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16
(289,661)
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fractional integration, functional central limit theorem, long memory
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22.
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Johansen, Soren
University of Copenhagen - Department of Economics Juselius, Katarina
University of Copenhagen - Department of Economics
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14
(296,818)
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Cointegration Vectors, Common Trends, Prediction Errors
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23.
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Bent
University of Oxford - Department of Economics
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11
(307,307)
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empirical processes, Huber's skip, least trimmed squares estimator, one-step estimator, outlier robustness
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24.
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Johansen, Soren
University of Copenhagen - Department of Economics Riani, Marco
University of Parma Atkinson, Anthony C.
London School of Economics & Political Science (LSE)
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9
(313,827)
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AIC, ARMA models, bias correction, BIC, Cp plot, generalized RIC, Kalman filter, Kullback-Leibler distance, state-space formulation
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25.
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics
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8
(316,933)
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Asymptotic expansion, bias, conditional inference, fractional integration, initial values, likelihood inference
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26.
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Bent
University of Oxford - Nuffield College
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7
(319,872)
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Huber-skip, iteration, one-step M-estimators, unit roots
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27.
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Johansen, Soren
University of Copenhagen - Department of Economics Nielsen, Bent
University of Oxford - Nuffield College
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2
(336,111)
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Fixed point result, Forward Search, quantile process, weighted and marked empirical process
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