# 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**," Discussion Papers 13-01, University of Copenhagen. Department of Economics. - Søren Johansen & Bent Nielsen, 2013.
"
**Asymptotic analysis of the Forward Search**," CREATES Research Papers 2013-05, School of Economics and Management, University of Aarhus.

- Bent Nielsen & Søren Johansen, 2013.
"
- SÃ¸ren Johansen & Morten Ã˜rregaard Nielsen, 2012.
"
**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.
"
**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.
"
**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.
"
- David Hendry & Soren Johansen, 2012.
"
**Model Discovery and Trygve Haavelmo's Legacy**," Economics Series Working Papers 598, University of Oxford, Department of Economics. - Søren Johansen & Marco Riani & Anthony C. Atkinson, 2012.
"
**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.
"
**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.
"
- 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.
"
**Asymptotic theory for iterated one-step Huber-skip estimators**," Discussion Papers 11-29, University of Copenhagen. Department of Economics.

- Søren Johansen & Bent Nielsen, 2011.
"
- David F. Hendry & Søren Johansen, 2011.
"
**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.
"
**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.
"
- Torben Schmith & Søren Johansen & Peter Thejll, 2011.
"
**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.
"
**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.
"
- Søren Johansen, 2011.
"
**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.
"
- Søren Johansen & Theis Lange, 2011.
"
**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.
"
**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, 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.
"
- 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**," CREATES Research Papers 2010-70, School of Economics and Management, University of Aarhus. - 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.

- Johansen, Søren & Ørregaard Nielsen, Morten, 2012.
"
- 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.
"
- 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. - 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 & Anders Rygh Swensen, 2009.
"
**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.
"
**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.
"
- 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.
"
**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 & Bent Nielsen, 2008.
"
**An analysis of the indicator saturation estimator as a robust regression**," Discussion Papers 08-03, University of Copenhagen. Department of Economics. - 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.- Bent Nielsen & Soren Johansen & Bent Nielsen, 2008.
"
**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.
"
**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.
"
- 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, 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.

- Johansen, Søren & Nielsen, Morten Ørregaard, 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.
"
- 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.
"
- 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.
"
**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.
"
- 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 & Katarina Juselius & Roman Frydman & Michael Goldberg, 2007.
"
**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.
"
- Soren Johansen & Anders Rygh Swensen, 2007.
"
**Exact Rational Expectations, Cointegration, and Reduced Rank Regression**," Discussion Papers 07-29, University of Copenhagen. Department of Economics.- Søren Johansen & Anders Rygh Swensen, 2007.
"
**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.
"
- 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.
"
**More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift Terms**," Discussion Papers 348, Research Department of Statistics Norway. - Soren Johansen & Katarina Juselius, 2001.
"
**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.
"
**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.
"
- 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.
"
**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.
"
- Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000.
"
**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.
"
**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.
"
**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.
"
- Johansen, S., 2000.
"
**A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model**," Economics Working Papers eco2000/15, European University Institute. - Johansen, S., 1999.
"
**A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors**," Economics Working Papers eco99/9, European University Institute.- Johansen, Soren, 2002.
"
**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.
"
- Johansen, S., 1999.
"
**A Bartlett Correction Factor for Tests on the Cointegrating Relations**," Economics Working Papers eco99/10, European University Institute.- Johansen, S ren, 2000.
"
**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.
"
- Johansen, S. & Schaumburg, E., 1997.
"
**Likelihood Analysis of Seasonal Cointegration**," Economics Working Papers eco97/16, European University Institute.- Johansen, Soren & Schaumburg, Ernst, 1998.
"
**Likelihood analysis of seasonal cointegration**," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November.

- Johansen, Soren & Schaumburg, Ernst, 1998.
"
- Johansen, S., 1997.
"
**Mathematical and Statistical Modelling of Cointegration**," Economics Working Papers eco97/14, European University Institute. - Engsted, T. & Johansen, S., 1997.
"
**Granger's Representation Theorem and Multicointegration**," Economics Working Papers eco97/15, European University Institute. - Søren Johansen & Anders Rygh Swensen, 1994.
"
**Testing Rational Expectations in Vector Autoregressive Models**," Discussion Papers 129, Research Department of Statistics Norway. - Søren Johansen & Katarina Juselius, 1992.
"
**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.
"
**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.
"
- Henrik Hansen & Søren Johansen, 1992.
"
**Recursive Estimation in Cointegrated VAR-Models**," Discussion Papers 92-13, University of Copenhagen. Department of Economics. - Johansen, S., 1991.
"
**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.
"
**Determination of Cointegration Rank in the Presence of a Linear Trend**," Papers 76a, Helsinki - Department of Economics.- Johansen, Soren, 1992.
"
**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.
"
- Johansen, S., 1991.
"
**A Statistical Analsysis of Cointegration for I(2) Variables**," Papers 77, Helsinki - Department of Economics.- Johansen, Søren, 1995.
"
**A Stastistical Analysis of Cointegration for I(2) Variables**," Econometric Theory, Cambridge University Press, vol. 11(01), pages 25-59, February.

- Johansen, Søren, 1995.
"
- Johansen, S., 1991.
"
**Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data**," Papers 78, Helsinki - Department of Economics.- Johansen, Soren, 1992.
"
**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.
"
- Søren Johansen & Katarina Juselius, 1990.
"
**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.
"
**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.
"
**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. - 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 & 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.
"
- 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 & 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**," 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.
"
- 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, 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.
"
- 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. - 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.
"
**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, 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. - 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.
"
**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. - Søren Johansen & Anders Rygh Swensen, 2004.
"
**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. - Johansen S., 2004.
"
**Comment**," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 169-172, April. - Søren Johansen, 2003.
"
**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.
"
**The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model**," Economics Working Papers ECO2001/01, European University Institute.

- Soren JOHANSEN, 2001.
"
- Søren Johansen, 2002.
"
**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. - Soren Johansen, 2002.
"
**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. - Johansen, Soren, 2002.
"
**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.
"
**A Small Sample Correction for Tests of Hypotheses on the Cointegrating Vectors**," Economics Working Papers eco99/9, European University Institute.

- Johansen, S., 1999.
"
- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
"
**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.
"
**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.
"
**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, 2000.
"
**Modelling of cointegration in the vector autoregressive model**," Economic Modelling, Elsevier, vol. 17(3), pages 359-373, August. - Johansen, S ren, 2000.
"
**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.
"
**A Bartlett Correction Factor for Tests on the Cointegrating Relations**," Economics Working Papers eco99/10, European University Institute.

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

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

- Johansen, S., 1991.
"
- Johansen, Soren, 1995.
"
**The Role of Ancillarity in Inference for Non-stationary Variables**," Economic Journal, Royal Economic Society, vol. 105(429), pages 302-20, March. - Johansen, Soren, 1995.
"
**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 & Juselius, Katarina, 1994.
"
**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.
"
**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, Soren, 1992.
"
**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.
"
**Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data**," Papers 78, Helsinki - Department of Economics.

- Johansen, S., 1991.
"
- Johansen, Soren, 1992.
"
**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.
"
**Determination of Cointegration Rank in the Presence of a Linear Trend**," Papers 76a, Helsinki - Department of Economics.

- Johansen, S., 1991.
"
- Johansen, Soren, 1992.
"
**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.
"
**A Representation of Vector Autoregressive Processes Integrated of Order 2**," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June. - Johansen, Søren & Juselius, Katarina, 1992.
"
**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, 1991.
"
**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.
"
**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.
"
**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.
"
**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.
"
**Estimation of proportional covariances**," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 83-85, November.

#### Books

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

## 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) 2005-04-16
- 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) 2005-04-16
- 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

This author is among the top 5% authors according to these criteria:- Average Rank Score
- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Simple Impact Factor
- Number of Distinct Works, Weighted by Recursive Impact Factor
- Number of Distinct Works, Weighted by Number of Authors
- Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
- Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations
- Number of Citations, Discounted by Citation Age
- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors
- Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- h-index
- Number of Registered Citing Authors
- Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
- Number of Journal Pages
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
- Number of Journal Pages, Weighted by Number of Authors
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
- Number of Abstract Views in RePEc Services over the past 12 months
- Number of Downloads through RePEc Services over the past 12 months
- Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
- Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
- Breadth of citations across fields
- Wu-Index
- Strength of students

#### 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

For general information on how to correct material on RePEc, see these instructions.To update listings or check citations waiting for approval, Soren Johansen should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.