Soren Johansen

University of Copenhagen - Department of Economics

Øster Farimagsgade 5

Bygning 26

1353 Copenhagen K.

Denmark

Aarhus University - CREATES

Nordre Ringgade 1

Aarhus, DK-8000

Denmark

SCHOLARLY PAPERS

44

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3,001

SSRN CITATIONS
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Top 1,880

in Total Papers Citations

469

CROSSREF CITATIONS

137

Scholarly Papers (44)

1.

Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression

Number of pages: 12 Posted: 21 Nov 2007
Kevin D. Hoover, Soren Johansen and Katarina Juselius
Duke University - Departments of Economics and Philosophy, University of Copenhagen - Department of Economics and University of Copenhagen - Department of Economics
Downloads 268 (122,536)
Citation 7

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cointegrated vector autoregression, VAR, CVAR, cointegration, Johansen, Juselius, Haavelmo, time-series models, Walrasian methodology, Marshallian methodology

2.

Correlation, Regression, and Cointegration of Nonstationary Economic Time Series

CREATES Research Paper No. 2007-35
Number of pages: 11 Posted: 24 Jun 2008
Soren Johansen
University of Copenhagen - Department of Economics
Downloads 264 (124,952)
Citation 15

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3.

The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-27
Number of pages: 27 Posted: 18 Oct 2010
Soren Johansen
University of Copenhagen - Department of Economics
Downloads 171 (187,743)
Citation 3

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regression correlation cointegration, model based inference, likelihood inference, annual mean temperature, sea level

A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings

Number of pages: 42 Posted: 15 Jan 2009
New York University (NYU) - Department of Economics, University of New Hampshire, University of Copenhagen - Department of Economics and University of Copenhagen - Department of Economics
Downloads 106 (274,606)

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PPP puzzle, long swings, imperfect knowledge, rational expectations hypothesis

A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-31
Number of pages: 39 Posted: 15 Dec 2008
New York University (NYU) - Department of Economics, University of New Hampshire, University of Copenhagen - Department of Economics and University of Copenhagen - Department of Economics
Downloads 59 (390,259)
Citation 6

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PPP puzzle, Long Swings, Imperfect Knowledge, Rational Expectations

5.

Optimal Hedging with the Vector Autoregressive Model

Tinbergen Institute Discussion Paper 14-022/III
Number of pages: 22 Posted: 19 Feb 2014
Lukasz T. Gatarek and Soren Johansen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Copenhagen - Department of Economics
Downloads 150 (209,800)

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hedging, cointegration, minimum variance portfolio

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Institute for New Economic Thinking Working Paper Series No. 59
Number of pages: 39 Posted: 29 Jun 2017
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 60 (386,909)

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Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Number of pages: 38 Posted: 23 Jun 2017
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 52 (414,780)

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Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment

Institute for New Economic Thinking Working Paper Series No. 59
Number of pages: 39 Posted: 13 Sep 2017
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 30 (512,833)

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Asset-Price Movements, Model Ambiguity, Models with Time-Varying Parameters, REH, Behavioral Finance, GAS Models

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

Number of pages: 55 Posted: 15 Mar 2019
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 74 (345,377)

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Unforeseeable Change; Knightian Uncertainty; Muth’s Hypothesis; Model Ambiguity; REH; Behavioral Finance

The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth’s Consistency Constraint in Modeling Aggregate Outcomes

Institute for New Economic Thinking Working Paper Series No. 92 (2019)
Number of pages: 62 Posted: 05 Mar 2019
New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics
Downloads 48 (429,884)
Citation 1

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Unforeseeable Change; Knightian Uncertainty; Muth’s Hypothesis; Model Ambiguity; REH; Behavioral Finance

An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 08-03
Number of pages: 36 Posted: 06 May 2008
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 87 (313,017)
Citation 19

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empirical processes, Huber's skip, indicator saturation, M-estimator

An Analysis of the Indicator Saturation Estimator as a Robust Regression Estimator

CREATES Research Paper 2008-9
Number of pages: 37 Posted: 25 Jun 2008
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 30 (512,833)
Citation 10

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Empirical processes, Huber's skip, indicator saturation, M-estimator, outlier robustness, vector autoregressive process

9.

Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to Us Data

University of Copenhagen Dept. of Economics Discussion Paper No. 01-03
Number of pages: 42 Posted: 21 Mar 2011
Soren Johansen and Katarina Juselius
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Economics
Downloads 113 (260,970)
Citation 14

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Inflation Target, Monetary Instruments, Control Rules

10.

Times Series: Cointegration

Number of pages: 17 Posted: 24 Oct 2014
Soren Johansen
University of Copenhagen - Department of Economics
Downloads 110 (265,880)

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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

11.

Outlier Detection Algorithms for Least Squares Time Series Regression

Number of pages: 40 Posted: 16 Oct 2014
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 100 (284,096)
Citation 1

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Huber-skip M-estimators, 1-step Huber-skip M-estimators, iteration, Forward Search, Impulse Indicator Saturation, Robustified Least Squares, weighted and marked empirical processes, iterated martingale inequality, gauge

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

CREATES Research Paper No. 2010-24
Number of pages: 46 Posted: 02 Jun 2010
University of Copenhagen - Department of Economics, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 60 (386,909)
Citation 11

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Cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-15
Number of pages: 45 Posted: 21 May 2010
Morten Ørregaard Nielsen and Soren Johansen
Queen's University - Department of Economics and University of Copenhagen - Department of Economics
Downloads 35 (486,653)
Citation 1

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cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model

13.

The Role of Cointegration for Optimal Hedging with Heteroscedastic Error Term

Number of pages: 18 Posted: 15 Mar 2017
Lukasz Gatarek and Soren Johansen
European Central Bank (ECB) - Directorate General Statistics and University of Copenhagen - Department of Economics
Downloads 92 (299,750)

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hedging, cointegration, minimum variance portfolio, maximum Sharpe ratio portfolio

14.

The Cointegrated Vector Autoregressive Model with General Deterministic Terms

Number of pages: 28 Posted: 27 Jul 2016
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Queen's University - Department of Economics
Downloads 73 (344,313)

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Additive formulation, cointegration, deterministic terms, extended model, likelihood inference, VAR model

15.

The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration

Contemporary Economics, Vol. 6, No. 2, pp. 40-57, 2012
Number of pages: 18 Posted: 25 Nov 2012
Soren Johansen
University of Copenhagen - Department of Economics
Downloads 71 (349,610)

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regression, correlation, cointegration, model based inference, likelihood inference

16.

Statistical Analysis of Global Surface Air Temperature and Sea Level Using Cointegration Methods

University of Copenhagen Discussion Papers No. 11-26
Number of pages: 37 Posted: 29 Oct 2011
Torben Schmith, Soren Johansen and Peter Thejll
Danish Meteorological Institute, University of Copenhagen - Department of Economics and Danish Meteorological Institute
Downloads 63 (372,448)
Citation 390

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17.

Optimal Hedging with the Cointegrated Vector Autoregressive Model

Number of pages: 12 Posted: 14 Oct 2014
Lukasz T. Gatarek and Soren Johansen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Copenhagen - Department of Economics
Downloads 60 (381,559)

Abstract:

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hedging, cointegration, minimum variance portfolio

18.

Some Identification Problems in the Cointegrated Vector Autoregressive Model

CREATES Research Paper No. 2007-32
Number of pages: 28 Posted: 23 Jun 2008
Soren Johansen
University of Copenhagen - Department of Economics
Downloads 60 (381,559)
Citation 13

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Identfication, cointegration, common trends

19.

An Extension of Cointegration to Fractional Autoregressive Processes

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-28
Number of pages: 16 Posted: 18 Oct 2010
Soren Johansen
University of Copenhagen - Department of Economics
Downloads 56 (394,555)
Citation 5

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cofractional processes, cointegration rank, fractional cointegration, likelihood inference, vector autoregressive model

20.

Exact Rational Expectations, Cointegration, and Reduced Rank Regression

CREATES Research Paper No. 2007-41
Number of pages: 13 Posted: 24 Jun 2008
Soren Johansen and Anders Rygh Swensen
University of Copenhagen - Department of Economics and University of Oslo - Department of Mathematics
Downloads 53 (404,604)
Citation 14

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Exact rational expectations, Cointegrated VAR model, Reduced rank regression

21.

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

Number of pages: 27 Posted: 29 May 2018
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Queen's University - Department of Economics
Downloads 44 (437,535)
Citation 1

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Cointegration, fractional integration, likelihood inference, vector autoregressive model

22.

Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate

CREATES Research Paper 2008-3
Number of pages: 35 Posted: 25 Jun 2008
University of Copenhagen - Department of Economics, University of Copenhagen - Department of Economics, New York University (NYU) - Department of Economics and University of New Hampshire
Downloads 43 (441,568)
Citation 15

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PPP puzzle, Forward premium puzzle, cointegrated VAR, likelihood inference

23.

Some Econometric Results for the Blanchard-Watson Bubble Model

University of Copenhagen, Department of Economics, Discussion Paper No. 11-15
Number of pages: 10 Posted: 18 May 2011 Last Revised: 18 Jun 2011
Soren Johansen and Theis lange
University of Copenhagen - Department of Economics and affiliation not provided to SSRN
Downloads 41 (449,604)

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time series, explosive processes, bubble models

24.

The Selection of ARIMA Models With or Without Regressors

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-17
Number of pages: 32 Posted: 15 Nov 2012
Soren Johansen, Marco Riani and Anthony Atkinson
University of Copenhagen - Department of Economics, University of Parma and London School of Economics & Political Science (LSE)
Downloads 39 (458,000)

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AIC, ARMA models, bias correction, BIC, Cp plot, generalized RIC, Kalman filter, Kullback-Leibler distance, state-space formulation

25.

Selecting a Regression Saturated by Indicators

CREATES Research Paper 2007-36
Number of pages: 19 Posted: 24 Jun 2008
Soren Johansen, David F. Hendry and Carlos Santos
University of Copenhagen - Department of Economics, University of Oxford - Department of Economics and affiliation not provided to SSRN
Downloads 36 (470,943)
Citation 1

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Indicators, regression saturation, subset selection, model selection

26.

Cointegration Between Trends and Their Estimators in State Space Models and CVAR Models

Number of pages: 13 Posted: 15 Mar 2017
Soren Johansen and Morten Tabor
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Economics
Downloads 35 (475,459)

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Cointegration of trends, State space models, CVAR models

27.

Tightness of M-Estimators for Multiple Linear Regression in Time for Multiple Linear Regression in Time Series

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 16-05
Number of pages: 21 Posted: 13 Jun 2016
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Nuffield College of Medicine
Downloads 35 (475,459)

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M-estimator, robust statistics, martingales, Huber-skip, quantile estimation

28.

Likelihood Inference for a Nonstationary Fractional Autoregressive Model

Number of pages: 47 Posted: 23 Jun 2008
University of Copenhagen - Department of Economics, Queen's University - Department of Economics and School of Economics and Management, University of Aarhus
Downloads 34 (480,054)
Citation 21

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Dickey-Fuller test, fractional unit root, likelihood inference

29.

On a Numerical and Graphical Technique for Evaluating Some Models Involving Rational Expectations

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 09-10, CREATES Research Paper No. 2009-19
Number of pages: 33 Posted: 18 May 2009
Soren Johansen and Anders Rygh Swensen
University of Copenhagen - Department of Economics and University of Oslo - Department of Mathematics
Downloads 33 (484,717)
Citation 1

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VAR models, cointegration, rational expectations

30.

The Role of Initial Values in Nonstationary Fractional Time Series Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-18
Number of pages: 30 Posted: 15 Nov 2012
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Queen's University - Department of Economics
Downloads 32 (489,573)
Citation 2

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Asymptotic expansion, bias, conditional inference, fractional integration, initial values, likelihood inference

31.

The Properties of Model Selection When Retaining Theory Variables

University of Copenhagen Discussion Paper No. 11-25
Number of pages: 5 Posted: 29 Oct 2011
David F. Hendry and Soren Johansen
University of Oxford - Department of Economics and University of Copenhagen - Department of Economics
Downloads 31 (494,491)
Citation 5

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Model selection, theory retention

32.

Data Revisions and the Statistical Relation of Global Mean Sea-Level and Temperature

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 15-09
Number of pages: 14 Posted: 02 Jun 2015
Eric T. Hillebrand, Soren Johansen and Torben Schmith
Aarhus University - CREATES, University of Copenhagen - Department of Economics and Danish Meteorological Institute
Downloads 29 (504,884)
Citation 1

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Sea-level, temperature, semi-empirical models, data revisions

33.

More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Constant and Linear Term

Econometrics Journal, Vol. 7, No. 2, pp. 389-397, December 2004
Number of pages: 9 Posted: 13 Dec 2004
Soren Johansen and Anders Rygh Swensen
University of Copenhagen - Department of Economics and University of Oslo - Department of Mathematics
Downloads 29 (504,884)
Citation 1
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34.

Discussion of the Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

CREATES Research Paper No. 2010-6
Number of pages: 16 Posted: 08 Feb 2010
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 28 (510,292)

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Empirical processes, Huber's skip, least trimmed squares estimator, one-step estimator, outlier robustness

35.

A Necessary Moment Condition for the Fractional Functional Central Limit Theorem

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-29
Number of pages: 9 Posted: 25 Oct 2010
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Queen's University - Department of Economics
Downloads 27 (515,730)

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fractional integration, functional central limit theorem, long memory

36.

Discussion of 'The Forward Search: Theory and Data Analysis' by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-06
Number of pages: 15 Posted: 13 Feb 2010
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 27 (515,730)
Citation 3

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empirical processes, Huber's skip, least trimmed squares estimator, one-step estimator, outlier robustness

37.

Cointegration and Adjustment in the Infinite Order CVAR Representation of Some Partially Observed CVAR(1) Models

Number of pages: 9 Posted: 29 May 2018
Soren Johansen
University of Copenhagen - Department of Economics
Downloads 22 (545,333)
Citation 1

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Adjustment coefficients, cointegrating coefficients, CVAR, causal models

38.

Asymptotic Theory for Iterated One-Step Huber-Skip Estimators

University of Copenhagen Economics Discussion Paper No. 11-29
Number of pages: 17 Posted: 03 Dec 2011
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Nuffield College of Medicine
Downloads 20 (557,737)
Citation 3

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Huber-skip, iteration, one-step M-estimators, unit roots

39.

An Invariance Property of the Common Trends Under Linear Transformations of the Data

University of Copenhagen Department of Economics Discussion Paper No. 10-30
Number of pages: 15 Posted: 01 Nov 2010
Soren Johansen and Katarina Juselius
University of Copenhagen - Department of Economics and University of Copenhagen - Department of Economics
Downloads 20 (557,737)
Citation 4

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Cointegration Vectors, Common Trends, Prediction Errors

40.

Testing the CVAR in the Fractional CVAR Model

Number of pages: 13 Posted: 02 Nov 2017
Soren Johansen and Morten Ørregaard Nielsen
University of Copenhagen - Department of Economics and Queen's University - Department of Economics
Downloads 15 (589,411)
Citation 2

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Cointegration, fractional integration, likelihood inference, vector autoregressive model

41.

Improved Inference on Cointegrating Vectors in the Presence of a Near Unit Root Using Adjusted Quantiles

Number of pages: 19 Posted: 25 Apr 2017
Massimo Franchi and Soren Johansen
University of Copenhagen and University of Copenhagen - Department of Economics
Downloads 12 (609,568)
Citation 1

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Long-run inference, test on cointegrating relations, likelihood inference, vector autoregressive model, near unit roots, Bonferroni type adjusted quantiles

42.

Asymptotic Analysis of the Forward Search

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 13-01
Number of pages: 40 Posted: 22 Feb 2013
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Nuffield College of Medicine
Downloads 11 (616,349)

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Fixed point result, Forward Search, quantile process, weighted and marked empirical process

43.

The Analysis of Marked and Weighted Empirical Processes of Estimated Residuals

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 19-05
Number of pages: 30 Posted: 28 May 2019
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen
University of Barcelona - Department of Econometrics, University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Downloads 9 (629,890)
Citation 3

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1-Step Huber-Skip; Non-Stationarity; Robust Statistics; Stationarity

44.

Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals

Number of pages: 22 Posted: 18 Jun 2019
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen
University of Barcelona - Department of Econometrics, University of Copenhagen - Department of Economics and University of Oxford - Nuffield College of Medicine
Downloads 4 (664,740)
Citation 1

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Huber skip, Asymptotic theory, Empirical processes, Gauge, Marked and Weighted Empirical processes, Non-stationarity, Robust Statistics, Stationarity