# Soren Johansen

## Personal Details

First Name: Soren

Middle Name:

Last Name: Johansen

Suffix:

RePEc Short-ID: pjo35

Email:

Homepage:
http://www.math.ku.dk/~sjo

Postal Address: Department of Economics University of Copenhagen Building 26 Øster Farimagsgade 5 DK-1353 Copenhagen K. Denmark

Phone: 0045-35323071

## Affiliation

- (85%)
**Økonomisk Institut**

Københavns Universitet - Location: København, Denmark

Homepage: http://www.econ.ku.dk/

Email:

Phone: (+45) 35 32 30 10

Fax: (+45) 35 32 30 00

Postal: Øster Farimagsgade 5, building 26,, 1453 København K

Handle: RePEc:edi:okokudk (more details at EDIRC) - (15%)
**Center for Research in Econometric Analysis of Time Series (CREATES)**

Institut for Økonomi

Aarhus Universitet - Location: Aarhus, Denmark

Homepage: http://www.creates.au.dk/

Email:

Phone:

Fax:

Postal: Building 1322, DK-8000 Aarhus C

Handle: RePEc:edi:creaudk (more details at EDIRC)

## Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:- Søren Johansen in Wikipedia (German)
- Søren Johansen in Wikipedia (English)

## Works

#### Working papers

- Bent Nielsen & Soren Johansen, 2013.
"
**Asymptotic analysis of the Forward Search**," Economics Series Working Papers 2013-W02, University of Oxford, Department of Economics.- Bent Nielsen & Søren Johansen, 2013.
"
**Asymptotic analysis of the Forward Search**," Economics Papers 2013-W02, Economics Group, Nuffield College, University of Oxford. - Søren Johansen & Bent Nielsen, 2013.
"
**Asymptotic analysis of the Forward Search**," CREATES Research Papers 2013-05, School of Economics and Management, University of Aarhus. - Søren Johansen & Bent Nielsen, 2013.
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**Asymptotic analysis of the Forward Search**," Discussion Papers 13-01, University of Copenhagen. Department of Economics.

- Bent Nielsen & Søren Johansen, 2013.
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- Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012.
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**The Selection of ARIMA Models with or without Regressors**," Discussion Papers 12-17, University of Copenhagen. Department of Economics.- Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012.
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**The Selection of ARIMA Models with or without Regressors**," CREATES Research Papers 2012-46, School of Economics and Management, University of Aarhus.

- Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012.
"
- SÃ¸ren Johansen & Morten Ã˜rregaard Nielsen, 2012.
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**The role of initial values in nonstationary fractional time series models**," Working Papers 1300, Queen's University, Department of Economics.- Søren Johansen & Morten Ørregaard Nielsen, 2012.
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**The role of initial values in nonstationary fractional time series models**," Discussion Papers 12-18, University of Copenhagen. Department of Economics. - Søren Johansen & Morten Ørregaard Nielsen, 2012.
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**The role of initial values in nonstationary fractional time series models**," CREATES Research Papers 2012-47, School of Economics and Management, University of Aarhus.

- Søren Johansen & Morten Ørregaard Nielsen, 2012.
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- David Hendry & Soren Johansen, 2012.
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**Model Discovery and Trygve Haavelmo's Legacy**," Economics Series Working Papers 598, University of Oxford, Department of Economics. - Søren Johansen, 2011.
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**An extension of cointegration to fractional autoregressive processes**," CREATES Research Papers 2011-06, School of Economics and Management, University of Aarhus.- Søren Johansen, 2010.
"
**An Extension of Cointegration to Fractional Autoregressive Processes**," Discussion Papers 10-28, University of Copenhagen. Department of Economics.

- Søren Johansen, 2010.
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- Søren Johansen & Theis Lange, 2011.
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**Some econometric results for the Blanchard-Watson bubble model**," CREATES Research Papers 2011-17, School of Economics and Management, University of Aarhus.- Søren Johansen & Theis Lange, 2011.
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**Some Econometric Results for the Blanchard-Watson Bubble Model**," Discussion Papers 11-15, University of Copenhagen. Department of Economics.

- Søren Johansen & Theis Lange, 2011.
"
- Søren Johansen & Bent Nielsen, 2011.
"
**Asymptotic theory for iterated one-step Huber-skip estimators**," CREATES Research Papers 2011-40, School of Economics and Management, University of Aarhus.- Søren Johansen & Bent Nielsen, 2011.
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**Asymptotic theory for iterated one-step Huber-skip estimators**," Discussion Papers 11-29, University of Copenhagen. Department of Economics.

- Søren Johansen & Bent Nielsen, 2011.
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- Torben Schmith & Søren Johansen & Peter Thejll, 2011.
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**Statistical analysis of global surface air temperature and sea level using cointegration methods**," Discussion Papers 11-26, University of Copenhagen. Department of Economics.- Torben Schmith & Søren Johansen & Peter Thejll, 2011.
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**Statistical analysis of global surface air temperature and sea level using cointegration methods**," CREATES Research Papers 2011-39, School of Economics and Management, University of Aarhus.

- Torben Schmith & Søren Johansen & Peter Thejll, 2011.
"
- David F. Hendry & Søren Johansen, 2011.
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**The Properties of Model Selection when Retaining Theory Variables**," CREATES Research Papers 2011-36, School of Economics and Management, University of Aarhus.- David F. Hendry & Søren Johansen, 2011.
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**The Properties of Model Selection when Retaining Theory Variables**," Discussion Papers 11-25, University of Copenhagen. Department of Economics.

- David F. Hendry & Søren Johansen, 2011.
"
- Søren Johansen & Katarina Juselius, 2010.
"
**An invariance property of the common trends under linear transformations of the data**," CREATES Research Papers 2010-72, School of Economics and Management, University of Aarhus.- Søren Johansen & Katarina Juselius, 2010.
"
**An Invariance Property of the Common Trends under Linear Transformations of the Data**," Discussion Papers 10-30, University of Copenhagen. Department of Economics.

- Søren Johansen & Katarina Juselius, 2010.
"
- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**A Necessary Moment Condition for the Fractional Functional Central Limit Theorem**," Discussion Papers 10-29, University of Copenhagen. Department of Economics.- Johansen, Søren & Ørregaard Nielsen, Morten, 2012.
"
**A Necessary Moment Condition For The Fractional Functional Central Limit Theorem**," Econometric Theory, Cambridge University Press, vol. 28(03), pages 671-679, June.

- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**A necessary moment condition for the fractional functional central limit theorem**," Working Papers 1244, Queen's University, Department of Economics. - Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**A necessary moment condition for the fractional functional central limit theorem**," CREATES Research Papers 2010-70, School of Economics and Management, University of Aarhus.

- Johansen, Søren & Ørregaard Nielsen, Morten, 2012.
"
- Søren Johansen & Bent Nielsen, 2010.
"
**Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli**," Discussion Papers 10-06, University of Copenhagen. Department of Economics.- Søren Johansen & Bent Nielsen, 2010.
"
**Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli**," CREATES Research Papers 2010-06, School of Economics and Management, University of Aarhus. - Søren Johansen & Bent Nielsen, 2010.
"
**Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli**," Economics Papers 2010-W02, Economics Group, Nuffield College, University of Oxford.

- Søren Johansen & Bent Nielsen, 2010.
"
- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**Likelihood inference for a fractionally cointegrated vector autoregressive model**," CREATES Research Papers 2010-24, School of Economics and Management, University of Aarhus.- Søren Johansen & Morten Ørregaard Nielsen, 2012.
"
**Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model**," Econometrica, Econometric Society, vol. 80(6), pages 2667-2732, November.

- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model**," Discussion Papers 10-15, University of Copenhagen. Department of Economics. - Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**Likelihood inference for a fractionally cointegrated vector autoregressive model**," Working Papers 1237, Queen's University, Department of Economics.

- Søren Johansen & Morten Ørregaard Nielsen, 2012.
"
- Søren Johansen, 2010.
"
**The analysis of nonstationary time series using regression, correlation and cointegration with an application to annual mean temperature and sea level**," CREATES Research Papers 2010-69, School of Economics and Management, University of Aarhus.- Søren Johansen, 2011.
"
**The analysis of nonstationary time series using regression, correlation and cointegration - with an application to annual mean temperature and sea level**," DSS Empirical Economics and Econometrics Working Papers Series 2011/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome. - Søren Johansen, 2010.
"
**The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration with an Application to Annual Mean Temperature and Sea Level**," Discussion Papers 10-27, University of Copenhagen. Department of Economics.

- Søren Johansen, 2011.
"
- Bent Nielsen & Soren Johansen, 2010.
"
**Discussion of The Forward Search: Theory and Data Analysis**," Economics Series Working Papers 2010-W02, University of Oxford, Department of Economics. - Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2009.
"
**A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings**," CREATES Research Papers 2009-01, School of Economics and Management, University of Aarhus.- Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008.
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**A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings**," Discussion Papers 08-31, University of Copenhagen. Department of Economics.

- Roman Frydman & Michael D. Goldberg & Søren Johansen & Katarina Juselius, 2008.
"
- Søren Johansen & Anders Rygh Swensen, 2009.
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**On a numerical and graphical technique for evaluating some models involving rational expectations**," CREATES Research Papers 2009-19, School of Economics and Management, University of Aarhus.- Søren Johansen & Anders Rygh Swensen, 2009.
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**On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations**," Discussion Papers 09-10, University of Copenhagen. Department of Economics.

- Søren Johansen & Anders Rygh Swensen, 2009.
"
- 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.- Søren Johansen & Bent Nielsen, 2008.
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**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. - Bent Nielsen & Soren Johansen & Bent Nielsen, 2008.
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**An analysis of the indicator saturation estimator as a robust regression estimator**," Economics Series Working Papers 2008-WO3, University of Oxford, Department of Economics.

- Søren Johansen & Bent Nielsen, 2008.
"
- 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. - David F. Hendry & Søren Johansen & Carlos Santos, 2007.
"
**Selecting a Regression Saturated by Indicators**," Discussion Papers 07-26, University of Copenhagen. Department of Economics.- Søren Johansen & David F. Hendry & Carlos Santos, 2007.
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**Selecting a Regression Saturated by Indicators**," CREATES Research Papers 2007-36, School of Economics and Management, University of Aarhus.

- Søren Johansen & David F. Hendry & Carlos Santos, 2007.
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- Soren Johansen & Anders Rygh Swensen, 2007.
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**Exact Rational Expectations, Cointegration, and Reduced Rank Regression**," Discussion Papers 07-29, University of Copenhagen. Department of Economics.- Søren Johansen & Anders Rygh Swensen, 2007.
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**Exact rational expectations, cointegration, and reduced rank regression**," CREATES Research Papers 2007-41, School of Economics and Management, University of Aarhus.

- Søren Johansen & Anders Rygh Swensen, 2007.
"
- Søren Johansen & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007.
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**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.- 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.

- Søren Johansen & Katarina Juselius & Roman Frydberg & Michael Goldberg, 2008.
"
- Søren Johansen, 2007.
"
**Some Identification Problems in the Cointegrated Vector Autoregressive Model**," Discussion Papers 07-24, University of Copenhagen. Department of Economics.- Johansen, Søren, 2010.
"
**Some identification problems in the cointegrated vector autoregressive model**," Journal of Econometrics, Elsevier, vol. 158(2), pages 262-273, October.

- 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.

- Johansen, Søren, 2010.
"
- Søren Johansen, 2007.
"
**Correlation, Regression, and Cointegration of Nonstationary Economic Time Series**," Discussion Papers 07-25, University of Copenhagen. Department of Economics.- 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.

- Søren Johansen, 2007.
"
- Søren Johansen & Morten Ørregaard Nielsen, 2007.
"
**Likelihood Inference for a Nonstationary Fractional Autoregressive Model**," Discussion Papers 07-27, University of Copenhagen. Department of Economics.- Johansen, Søren & Nielsen, Morten Ørregaard, 2010.
"
**Likelihood inference for a nonstationary fractional autoregressive model**," Journal of Econometrics, Elsevier, vol. 158(1), pages 51-66, September.

- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**Likelihood inference for a nonstationary fractional autoregressive model**," Working Papers 1172, Queen's University, Department of Economics. - 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.

- Johansen, Søren & Nielsen, Morten Ørregaard, 2010.
"
- 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.- 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.

- Kevin D. Hoover & Soren Johansen & Katarina Juselius, 2008.
"
- 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. - Søren Johansen & Anders Rygh Swensen, 2003.
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**More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms**," Discussion Papers 348, Research Department of Statistics Norway. - Soren JOHANSEN, 2001.
"
**The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model**," Economics Working Papers ECO2001/01, European University Institute.- Søren Johansen, 2003.
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**The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model**," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 663-678, November.

- Søren Johansen, 2003.
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- Soren Johansen & Katarina Juselius, 2001.
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**Controlling Inflation in a Cointegrated Vector Autoregressive Model with an Application to US Data**," Discussion Papers 01-03, University of Copenhagen. Department of Economics.- Soren JOHANSEN & Katarina JUSELIUS, 2001.
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**Controlling Inflation in a Cointergrated Vector Autoregressive Model with an Application to US Data**," Economics Working Papers ECO2001/02, European University Institute.

- Soren JOHANSEN & Katarina JUSELIUS, 2001.
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- Johansen, S., 2000.
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**A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model**," Economics Working Papers eco2000/15, European University Institute. - Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000.
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**Cointegration analysis in the presence of structural breaks in the deterministic trend**," Economics Series Working Papers 2000-W22, University of Oxford, Department of Economics.- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
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**Cointegration analysis in the presence of structural breaks in the deterministic trend**," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.

- Bent Nielsen, 2000.
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**Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend**," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.

- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
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- Johansen, S., 1999.
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**A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors**," Economics Working Papers eco99/9, European University Institute.- Johansen, Soren, 2002.
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**A small sample correction for tests of hypotheses on the cointegrating vectors**," Journal of Econometrics, Elsevier, vol. 111(2), pages 195-221, December.

- Johansen, Soren, 2002.
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- Johansen, S., 1999.
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**A Bartlett Correction Factor for Tests on the Cointegrating Relations**," Economics Working Papers eco99/10, European University Institute.- Johansen, S ren, 2000.
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**A Bartlett Correction Factor For Tests On The Cointegrating Relations**," Econometric Theory, Cambridge University Press, vol. 16(05), pages 740-778, October.

- Johansen, S ren, 2000.
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- Johansen, S. & Schaumburg, E., 1997.
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**Likelihood Analysis of Seasonal Cointegration**," Economics Working Papers eco97/16, European University Institute.- Johansen, Soren & Schaumburg, Ernst, 1998.
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**Likelihood analysis of seasonal cointegration**," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November.

- Johansen, Soren & Schaumburg, Ernst, 1998.
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- Engsted, T. & Johansen, S., 1997.
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**Granger's Representation Theorem and Multicointegration**," Economics Working Papers eco97/15, European University Institute. - Johansen, S., 1997.
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**Mathematical and Statistical Modelling of Cointegration**," Economics Working Papers eco97/14, European University Institute. - Søren Johansen & Anders Rygh Swensen, 1994.
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**Testing Rational Expectations in Vector Autoregressive Models**," Discussion Papers 129, Research Department of Statistics Norway. - Søren Johansen & Katarina Juselius, 1992.
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**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.- Johansen, Soren & Juselius, Katarina, 1994.
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**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.

- Johansen, Soren & Juselius, Katarina, 1994.
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- Henrik Hansen & Søren Johansen, 1992.
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**Recursive Estimation in Cointegrated VAR-Models**," Discussion Papers 92-13, University of Copenhagen. Department of Economics. - Johansen, S., 1991.
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**An I(2) Cointegration Analysis of the Purchasing Power Parity between Australia and the United States**," Papers 231, Australian National University - Department of Economics. - Johansen, S., 1991.
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**Determination of Cointegration Rank in the Presence of a Linear Trend**," Papers 76a, Helsinki - Department of Economics.- Johansen, Soren, 1992.
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**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.

- Johansen, Soren, 1992.
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- Johansen, S., 1991.
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**Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data**," Papers 78, Helsinki - Department of Economics.- Johansen, Soren, 1992.
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**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.

- Johansen, Soren, 1992.
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- Johansen, S., 1991.
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**A Statistical Analsysis of Cointegration for I(2) Variables**," Papers 77, Helsinki - Department of Economics.- Johansen, Søren, 1995.
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**A Stastistical Analysis of Cointegration for I(2) Variables**," Econometric Theory, Cambridge University Press, vol. 11(01), pages 25-59, February.

- Johansen, Søren, 1995.
"
- Søren Johansen & Katarina Juselius, 1990.
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**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. - Søren Johansen & Katarina Juselius, 1989.
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**The Full Information Maximum Likelihood Procedure for Inference on Cointegration - with Applications**," Discussion Papers 89-11, University of Copenhagen. Department of Economics. - Søren Johansen & Katarina Juselius, 1988.
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**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.

#### Articles

- Johansen, Søren & Juselius, Katarina, 2014.
"
**An asymptotic invariance property of the common trends under linear transformations of the data**," Journal of Econometrics, Elsevier, vol. 178(P2), pages 310-315. - Johansen, Søren & Lange, Theis, 2013.
"
**Least squares estimation in a simple random coefficient autoregressive model**," Journal of Econometrics, Elsevier, vol. 177(2), pages 285-288. - Søren Johansen & Bent Nielsen, 2013.
"
**Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator**," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 53-70, May. - Johansen, Søren & Ørregaard Nielsen, Morten, 2012.
"
**A Necessary Moment Condition For The Fractional Functional Central Limit Theorem**," Econometric Theory, Cambridge University Press, vol. 28(03), pages 671-679, June.- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**A Necessary Moment Condition for the Fractional Functional Central Limit Theorem**," Discussion Papers 10-29, University of Copenhagen. Department of Economics. - Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**A necessary moment condition for the fractional functional central limit theorem**," Working Papers 1244, Queen's University, Department of Economics. - Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**A necessary moment condition for the fractional functional central limit theorem**," CREATES Research Papers 2010-70, School of Economics and Management, University of Aarhus.

- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
- Søren Johansen & Morten Ørregaard Nielsen, 2012.
"
**Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model**," Econometrica, Econometric Society, vol. 80(6), pages 2667-2732, November.- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model**," Discussion Papers 10-15, University of Copenhagen. Department of Economics. - Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**Likelihood inference for a fractionally cointegrated vector autoregressive model**," Working Papers 1237, Queen's University, Department of Economics. - Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**Likelihood inference for a fractionally cointegrated vector autoregressive model**," CREATES Research Papers 2010-24, School of Economics and Management, University of Aarhus.

- Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
- Søren Johansen, 2012.
"
**The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration**," Contemporary Economics, University of Finance and Management in Warsaw, vol. 6(2), June. - Johansen Søren & Swensen Anders R, 2011.
"
**On a Graphical Technique for Evaluating Some Rational Expectations Models**," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-29, February. - Johansen, Søren, 2010.
"
**Some identification problems in the cointegrated vector autoregressive model**," Journal of Econometrics, Elsevier, vol. 158(2), pages 262-273, October.- 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. - Søren Johansen, 2007.
"
**Some Identification Problems in the Cointegrated Vector Autoregressive Model**," Discussion Papers 07-24, University of Copenhagen. Department of Economics.

- Søren Johansen, 2007.
"
- Johansen, Søren & Juselius, Katarina & Frydman, Roman & Goldberg, Michael, 2010.
"
**Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate**," Journal of Econometrics, Elsevier, vol. 158(1), pages 117-129, September. - Johansen, Søren & Nielsen, Morten Ørregaard, 2010.
"
**Likelihood inference for a nonstationary fractional autoregressive model**," Journal of Econometrics, Elsevier, vol. 158(1), pages 51-66, September.- Søren Johansen & Morten Ørregaard Nielsen, 2007.
"
**Likelihood Inference for a Nonstationary Fractional Autoregressive Model**," Discussion Papers 07-27, University of Copenhagen. Department of Economics. - 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. - Søren Johansen & Morten Ørregaard Nielsen, 2010.
"
**Likelihood inference for a nonstationary fractional autoregressive model**," Working Papers 1172, Queen's University, Department of Economics.

- Søren Johansen & Morten Ørregaard Nielsen, 2007.
"
- S�ren Johansen, 2009.
"
**Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes**," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 121-145. - Johansen, SØren, 2008.
"
**A Representation Theory For A Class Of Vector Autoregressive Models For Fractional Processes**," Econometric Theory, Cambridge University Press, vol. 24(03), pages 651-676, June. - 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.- Carlos Santos & David Hendry & Soren Johansen, 2008.
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**Automatic selection of indicators in a fully saturated regression**," Computational Statistics, Springer, vol. 23(2), pages 317-335, April.

- Carlos Santos & David Hendry & Soren Johansen, 2008.
"
- 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.- 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.

- Kevin D. Hoover & Katarina Juselius & Søren Johansen, 2007.
"
- 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. - Johansen, S ren & L tkepohl, Helmut, 2005.
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**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, June. - 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. - Johansen S., 2004.
"
**Comment**," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 169-172, April. - Søren Johansen & Anders Rygh Swensen, 2004.
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**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. - Søren Johansen, 2003.
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**The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model**," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 663-678, November.- Soren JOHANSEN, 2001.
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**The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model**," Economics Working Papers ECO2001/01, European University Institute.

- Soren JOHANSEN, 2001.
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- Johansen, Soren, 2002.
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**A small sample correction for tests of hypotheses on the cointegrating vectors**," Journal of Econometrics, Elsevier, vol. 111(2), pages 195-221, December.- Johansen, S., 1999.
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**A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors**," Economics Working Papers eco99/9, European University Institute.

- Johansen, S., 1999.
"
- Soren Johansen, 2002.
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**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. - Søren Johansen, 2002.
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**Discussion**," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 29(2), pages 213-216. - Johansen, S ren, 2000.
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**A Bartlett Correction Factor For Tests On The Cointegrating Relations**," Econometric Theory, Cambridge University Press, vol. 16(05), pages 740-778, October.- Johansen, S., 1999.
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**A Bartlett Correction Factor for Tests on the Cointegrating Relations**," Economics Working Papers eco99/10, European University Institute.

- Johansen, S., 1999.
"
- Johansen, Soren, 2000.
"
**Modelling of cointegration in the vector autoregressive model**," Economic Modelling, Elsevier, vol. 17(3), pages 359-373, August. - Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
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**Cointegration analysis in the presence of structural breaks in the deterministic trend**," Econometrics Journal, Royal Economic Society, vol. 3(2), pages 216-249.- Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000.
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**Cointegration analysis in the presence of structural breaks in the deterministic trend**," Economics Series Working Papers 2000-W22, University of Oxford, Department of Economics. - Bent Nielsen, 2000.
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**Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend**," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.

- Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000.
"
- 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. - Henrik Hansen & Søren Johansen, 1999.
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**Some tests for parameter constancy in cointegrated VAR-models**," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333. - Johansen, Soren & Schaumburg, Ernst, 1998.
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**Likelihood analysis of seasonal cointegration**," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November.- Johansen, S. & Schaumburg, E., 1997.
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**Likelihood Analysis of Seasonal Cointegration**," Economics Working Papers eco97/16, European University Institute.

- Johansen, S. & Schaumburg, E., 1997.
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- Johansen, Søren, 1995.
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**A Stastistical Analysis of Cointegration for I(2) Variables**," Econometric Theory, Cambridge University Press, vol. 11(01), pages 25-59, February.- Johansen, S., 1991.
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**A Statistical Analsysis of Cointegration for I(2) Variables**," Papers 77, Helsinki - Department of Economics.

- Johansen, S., 1991.
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- Johansen, Soren, 1995.
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**Identifying restrictions of linear equations with applications to simultaneous equations and cointegration**," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September. - Johansen, Soren, 1995.
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**The Role of Ancillarity in Inference for Non-stationary Variables**," Economic Journal, Royal Economic Society, vol. 105(429), pages 302-20, March. - Johansen, Soren & Juselius, Katarina, 1994.
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**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.- Søren Johansen & Katarina Juselius, 1992.
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**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.

- Søren Johansen & Katarina Juselius, 1992.
"
- Johansen, Søren & Juselius, Katarina, 1992.
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**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. - Johansen, Soren, 1992.
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**Cointegration in partial systems and the efficiency of single-equation analysis**," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June. - Johansen, Søren, 1992.
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**A Representation of Vector Autoregressive Processes Integrated of Order 2**," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June. - Johansen, Soren, 1992.
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**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.- Johansen, S., 1991.
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**Determination of Cointegration Rank in the Presence of a Linear Trend**," Papers 76a, Helsinki - Department of Economics.

- Johansen, S., 1991.
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- Johansen, Soren, 1992.
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**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.- Johansen, S., 1991.
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**Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data**," Papers 78, Helsinki - Department of Economics.

- Johansen, S., 1991.
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- Johansen, Soren, 1991.
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**Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models**," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. - Johansen, Soren, 1991.
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**A Bayesian Perspective on Inference from Macroeconomic Data: Comment**," Scandinavian Journal of Economics, Wiley Blackwell, vol. 93(2), pages 249-51. - Johansen, Soren & Juselius, Katarina, 1990.
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**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. - Johansen, Soren, 1988.
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**Statistical analysis of cointegration vectors**," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. - Jensen, Søren Tolver & Johansen, Søren, 1987.
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**Estimation of proportional covariances**," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 83-85, November.

#### Books

- Hansen, Peter Reinhard & Johansen, Soren, 1998.
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**Workbook on Cointegration**," OUP Catalogue, Oxford University Press, number 9780198776079. - Johansen, Soren, 1995.
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**Likelihood-Based Inference in Cointegrated Vector Autoregressive Models**," OUP Catalogue, Oxford University Press, number 9780198774501.

## NEP Fields

55 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):- NEP-CBA: Central Banking (6) 2001-10-22 2008-01-05 2008-06-27 2008-06-27 2008-12-21 2009-01-17. Author is listed
- NEP-CIS: Confederation of Independent States (1) 2011-02-19
- NEP-CMP: Computational Economics (1) 2013-03-09
- NEP-ECM: Econometrics (25) 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 2010-02-20 2010-05-29 2010-06-11 2010-10-30 2010-10-30 2010-10-30 2010-11-13 2011-05-24 2011-11-07 2011-11-28 2012-04-03 2012-11-17 2012-11-24 2013-03-09. Author is listed
- NEP-ENV: Environmental Economics (1) 2011-11-28
- NEP-ETS: Econometric Time Series (28) 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 2010-05-29 2010-06-11 2010-10-30 2010-10-30 2010-10-30 2010-11-06 2010-11-06 2010-11-13 2011-02-19 2011-05-24 2011-11-21 2011-12-13 2012-11-24 2012-12-06 2012-12-06. Author is listed
- NEP-FOR: Forecasting (2) 2012-11-24 2012-12-06
- NEP-HPE: History & Philosophy of Economics (1) 2005-04-25
- NEP-IFN: International Finance (4) 2008-01-05 2008-06-27 2008-12-21 2009-01-17
- NEP-KNM: Knowledge Management & Knowledge Economy (1) 2008-12-21
- NEP-MAC: Macroeconomics (1) 2005-04-20
- NEP-MON: Monetary Economics (2) 2001-10-22 2008-12-21
- NEP-OPM: Open Economy Macroeconomics (3) 2008-06-27 2008-12-21 2009-01-17
- NEP-ORE: Operations Research (6) 2010-05-29 2010-06-11 2010-10-30 2010-10-30 2011-02-19 2012-11-24. Author is listed

## Statistics

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#### Most cited item

- Johansen, Soren, 1988.
"
**Statistical analysis of cointegration vectors**," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.

#### Most downloaded item (past 12 months)

- Johansen, Soren, 1988.
"
**Statistical analysis of cointegration vectors**," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

## Corrections

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