Publications - Søren Johansen https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Bcontroller%5D=Publications&cHash=ec4e62e9d2eef2afa0eeb6df7706374d en-us PURE Extension typo3support@science.au.dk (Web Department) 30 <![CDATA[Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7cfd1765-99bc-4652-8340-520d41f1ceb1&tx_pure_pure5%5BshowType%5D=pub&cHash=dd5fcc385954a9b59f5a6eee9a3bb609 Johansen, S., Swensen, A. R. Forskning Thu, 01 Jul 2021 23:49:55 +0200 7cfd1765-99bc-4652-8340-520d41f1ceb1 <![CDATA[Cointegration and adjustment in the CVAR(∞) representation of some partially observed CVAR(1) models]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=63b40909-62ce-4064-b711-5fae7c0da2d1&tx_pure_pure5%5BshowType%5D=pub&cHash=4e26f2f998fdecfe424dc676c07a0919 Johansen, S. A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs.

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Forskning Fri, 01 Mar 2019 23:49:55 +0100 63b40909-62ce-4064-b711-5fae7c0da2d1
<![CDATA[Data revisions and the statistical relation of global mean sea level and surface temperature]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a213bca4-1430-43a4-9e77-559a32fe4948&tx_pure_pure5%5BshowType%5D=pub&cHash=8b1efbc90ffa65d138ef9d840e29a316 Hillebrand, E., Johansen, S., Schmith, T. We study the stability of estimated linear statistical relations of global mean temperature and global mean sea level with regard to data revisions. Using four different model specifications proposed in the literature, we compare coefficient estimates and long-term sea level projections using two different vintages of each of the annual time series, covering the periods 1880–2001 and 1880–2013. We find that temperature and sea level updates and revisions have a substantial influence both on the magnitude of the estimated coefficients of influence (differences of up to 50%) and therefore on long-term projections of sea level rise following the RCP4.5 and RCP6 scenarios (differences of up to 40 cm by the year 2100). This shows that in order to replicate earlier results that informed the scientific discussion and motivated policy recommendations, it is crucial to have access to and to work with the data vintages used at the time.

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Forskning Tue, 01 Dec 2020 23:49:55 +0100 a213bca4-1430-43a4-9e77-559a32fe4948
<![CDATA[Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=64e5b522-c2ac-405a-978a-2fdc6241f384&tx_pure_pure5%5BshowType%5D=pub&cHash=1c21a0c3be6712aa72603ac5a2928502 Berenguer-Rico, V., Johansen, S., Nielsen, B. Forskning Thu, 19 Sep 2019 23:49:55 +0200 64e5b522-c2ac-405a-978a-2fdc6241f384 <![CDATA[Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ee225c09-843b-442b-bfa4-37af69a3ee0d&tx_pure_pure5%5BshowType%5D=pub&cHash=a1a2550bcc7050db10a1f9535ac3b90d Berenguer-Rico, V., Johansen, S., Nielsen, B. Forskning Thu, 13 Jun 2019 23:49:55 +0200 ee225c09-843b-442b-bfa4-37af69a3ee0d <![CDATA[Cointegration between trends and their estimators in state space models and CVAR models]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=96b5ed83-f3ba-413b-a7ff-22f64352455e&tx_pure_pure5%5BshowType%5D=pub&cHash=d8630cccacb788e52b4b9ca335d6146d Johansen, S., Tabor, M. N. Forskning Sun, 01 Jan 2017 23:49:55 +0100 96b5ed83-f3ba-413b-a7ff-22f64352455e <![CDATA[The cointegrated vector autoregressive model with general deterministic terms]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=2d3683e9-843f-4fe6-a8bb-45b5b35b53b7&tx_pure_pure5%5BshowType%5D=pub&cHash=fdeca35c3f588123480a071707ea65b2 Johansen, S., Nielsen, M. Ø. In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X-t = gamma Z(t)+Y-t, where Z(t) belongs to a large class of deterministic regressors and Y-t is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression, and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are x(2)-distributed. (C) 2017 Elsevier B.V. All rights reserved.

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Forskning Mon, 01 Jan 2018 23:49:55 +0100 2d3683e9-843f-4fe6-a8bb-45b5b35b53b7
<![CDATA[Nonstationary Cointegration in the Fractionally Cointegrated VAR Model]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c181a0cc-c5be-4eb7-8b5e-87a01594c0f6&tx_pure_pure5%5BshowType%5D=pub&cHash=a6f4b030768b8a23dbb445758724d398 Johansen, S., Nielsen, M. Ø. We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment conditions are required. We show that these moment conditions can be relaxed, and for consistency we require just eight moments regardless of the parameter space. Second, Johansen and Nielsen (2012a) assumed that the cointegrating vectors are stationary, and we extend the analysis to include the possibility that the cointegrating vectors are non-stationary. Both contributions require new analysis and results for the asymptotic properties of the likelihood function of the fractional CVAR model, which we provide. Finally, our analysis follows recent research and applies a parameter space large enough that the usual (non-fractional) CVAR model constitutes an interior point and hence can be tested against the fractional model using a Chi-squared-test.

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Forskning Mon, 01 Jul 2019 23:49:55 +0200 c181a0cc-c5be-4eb7-8b5e-87a01594c0f6
<![CDATA[Boundedness of M-estimators for linear regression in time series]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e9e1c0c6-dda9-4816-a711-0262a40e008c&tx_pure_pure5%5BshowType%5D=pub&cHash=2ea7fcba9e43ca2f05eefd83d1f7a5d4 Johansen, S., Nielsen, B. We show boundedness in probability uniformly in sample size of a general M-estimator for multiple linear regression in time series. The positive criterion function for the M-estimator is assumed lower semicontinuous and sufficiently large for large argument. Particular cases are the Huber-skip and quantile regression. Boundedness requires an assumption on the frequency of small regressors. We show that this is satisfied for a variety of deterministic and stochastic regressors, including stationary and random walks regressors. The results are obtained using a detailed analysis of the condition on the regressors combined with some recent martingale results.

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Forskning Sat, 01 Jun 2019 23:49:55 +0200 e9e1c0c6-dda9-4816-a711-0262a40e008c
<![CDATA[Testing the CVAR in the Fractional CVAR Model]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=78b28496-cad1-4335-a840-eb5bb5d1d9cb&tx_pure_pure5%5BshowType%5D=pub&cHash=7c08ed885ded47727810d6616670c499 Johansen, S., Nielsen, M. Ø. We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the likelihood ratio test statistic for the usual CVAR model is asymptotically chi-squared-distributed. Because the usual CVAR model lies on the boundary of the parameter space for the fractional CVAR in Johansen and Nielsen (2012a), the analysis requires the study of the fractional CVAR model on a slightly larger parameter space so that the CVAR model lies in the interior. This in turn implies some further analysis of the asymptotic properties of the fractional CVAR model.

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Forskning Thu, 01 Nov 2018 23:49:55 +0100 78b28496-cad1-4335-a840-eb5bb5d1d9cb
<![CDATA[Testing the CVAR in the fractional CVAR model]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=b3e3722c-0612-4318-bc59-a5c335abe413&tx_pure_pure5%5BshowType%5D=pub&cHash=a7d7ef5d62e28681f20b99670924d39f Johansen, S., Nielsen, M. Ø. on the boundary of the parameter space for the fractional CVAR in Johansen and Nielsen (2012a), the analysis requires the study of the fractional CVAR model on a slightly larger parameter space so that the CVAR model lies in the interior. This in
turn implies some further analysis of the asymptotic properties of the fractional CVAR model.]]>
Forskning Tue, 24 Oct 2017 23:49:55 +0200 b3e3722c-0612-4318-bc59-a5c335abe413
<![CDATA[Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=dc5e63e4-e88f-4497-9370-4d358e62bba1&tx_pure_pure5%5BshowType%5D=pub&cHash=ac0ce669e294e3253590db6ea53c9704 Franchi, M., Johansen, S. Forskning Sun, 01 Jan 2017 23:49:55 +0100 dc5e63e4-e88f-4497-9370-4d358e62bba1 <![CDATA[The Qualitative Expectations Hypothesis]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ceb53004-587b-40ce-8974-ba8e5ed6abb8&tx_pure_pure5%5BshowType%5D=pub&cHash=8ac5b24ea1f06593236e61999179ca25 Frydman, R., Johansen, S., Rahbek, A., Tabor, M. N. Forskning Mon, 26 Jun 2017 23:49:55 +0200 ceb53004-587b-40ce-8974-ba8e5ed6abb8 <![CDATA[Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f64cf71a-e655-4a3d-96d5-215e123ee35f&tx_pure_pure5%5BshowType%5D=pub&cHash=5df96d7bf1a8f42b180b693cacaadb34 Franchi, M., Johansen, S. Forskning Thu, 27 Apr 2017 23:49:55 +0200 f64cf71a-e655-4a3d-96d5-215e123ee35f <![CDATA[Model discovery and Trygve Haavelmo's legacy]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d88df9ee-dd2e-4fe8-bd6c-fa021a9a19fa&tx_pure_pure5%5BshowType%5D=pub&cHash=cf61f700ec52fcfbd0cc5de238b0b33c Hendry, D. F., Johansen, S. Forskning Thu, 01 Jan 2015 23:49:55 +0100 d88df9ee-dd2e-4fe8-bd6c-fa021a9a19fa <![CDATA[The role of cointegration for optimal hedging with heteroscedastic error term]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c0d43f7f-8cba-45fe-b554-f0b716c4d389&tx_pure_pure5%5BshowType%5D=pub&cHash=3da7d7681b94fc7d5903bfa706ece654 Gatarek, L., Johansen, S. Forskning Wed, 08 Mar 2017 23:49:55 +0100 c0d43f7f-8cba-45fe-b554-f0b716c4d389 <![CDATA[Cointegration between trends and their estimators in state space models and CVAR models]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0453aee7-927b-4510-95a8-a9950c5b9a80&tx_pure_pure5%5BshowType%5D=pub&cHash=6df5260b6f91731b0f14af8c31dd75c5 Johansen, S., Tabor, M. N. Forskning Sun, 01 Jan 2017 23:49:55 +0100 0453aee7-927b-4510-95a8-a9950c5b9a80 <![CDATA[The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a64b3061-d271-4fd9-bbda-6345cfd8cf5e&tx_pure_pure5%5BshowType%5D=pub&cHash=9e8b582da1fde527d9a9d1fc78e70e3c Johansen, S., Nielsen, M. Ø. Forskning Fri, 01 Jan 2016 23:49:55 +0100 a64b3061-d271-4fd9-bbda-6345cfd8cf5e <![CDATA[The cointegrated vector autoregressive model with general deterministic terms]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=975cd79d-ee41-4472-8b75-9c4b74e94f97&tx_pure_pure5%5BshowType%5D=pub&cHash=1b328039f7c3ef4d2b7a8ca56042e8e3 Johansen, S., Nielsen, M. Ø. Z(t) + Y(t), where Z(t) belongs to a large class of deterministic regressors and Y(t) is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are khi squared distributed.]]> Forskning Tue, 09 Aug 2016 23:49:55 +0200 975cd79d-ee41-4472-8b75-9c4b74e94f97 <![CDATA[Rejoinder: Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=3d3cefa5-c77e-4eff-b318-13335bc55e65&tx_pure_pure5%5BshowType%5D=pub&cHash=4d99f918facd35da2f77aba5332190fb Johansen, S., Nielsen, B. Forskning Wed, 01 Jun 2016 23:49:55 +0200 3d3cefa5-c77e-4eff-b318-13335bc55e65 <![CDATA[Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=af20b58b-4acb-4029-8e5e-826ec8555243&tx_pure_pure5%5BshowType%5D=pub&cHash=14c27a2f54ac18d2fd996721ee80168c Johansen, S., Nielsen, B. Outlier detection algorithms are intimately connected with robust statistics that down-weight some observations to zero. We define a number of outlier detection algorithms related to the Huber-skip and least trimmed squares estimators, including the one-step Huber-skip estimator and the forward search. Next, we review a recently developed asymptotic theory of these. Finally, we analyse the gauge, the fraction of wrongly detected outliers, for a number of outlier detection algorithms and establish an asymptotic normal and a Poisson theory for the gauge.

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Forskning Wed, 01 Jun 2016 23:49:55 +0200 af20b58b-4acb-4029-8e5e-826ec8555243
<![CDATA[Tightness of M-estimators for multiple linear regression in time series]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=89f2483c-22d3-4178-b384-49fc10ea1186&tx_pure_pure5%5BshowType%5D=pub&cHash=92bffb10ba9ca560ea842a81f47c3eba Johansen, S., Nielsen, B. Forskning Mon, 30 May 2016 23:49:55 +0200 89f2483c-22d3-4178-b384-49fc10ea1186 <![CDATA[Analysis of the Forward Search using some new results for martingales and empirical processes]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=dfa4800a-4369-4e9b-aae2-dba0a9b173ae&tx_pure_pure5%5BshowType%5D=pub&cHash=53372a9b77eff73126988bfa2247eaf7 Johansen, S., Nielsen, B. The Forward Search is an iterative algorithm for avoiding outliers in a regression analysis suggested by Hadi and Simonoff (J. Amer. Statist. Assoc. 88 (1993) 1264-1272), see also Atkinson and Riani (Robust Diagnostic Regression Analysis (2000) Springer). The algorithm constructs subsets of "good" observations so that the size of the subsets increases as the algorithm progresses. It results in a sequence of regression estimators and forward residuals. Outliers are detected by monitoring the sequence of forward residuals. We show that the sequences of regression estimators and forward residuals converge to Gaussian processes. The proof involves a new iterated martingale inequality, a theory for a new class of weighted and marked empirical processes, the corresponding quantile process theory, and a fixed point argument to describe the iterative aspect of the procedure.

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Forskning Sun, 01 May 2016 23:49:55 +0200 dfa4800a-4369-4e9b-aae2-dba0a9b173ae
<![CDATA[An asymptotic invariance property of the common trends under linear transformations of the data]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=60a65486-41d4-498f-844d-cd2d136e0eea&tx_pure_pure5%5BshowType%5D=pub&cHash=c9e4f9ee2de444e3bb20450deadef155 Johansen, S., Juselius, K. It is well known that if Xt is a nonstationary process and Yt is a linear function of Xt, then cointegration of Yt implies cointegration of Xt. We want to find an analogous result for common trends if Xt is generated by a finite order VAR with i.i.d. (0,Ωx) errors εxt. We first show that Yt has an infinite order VAR representation in terms of its white noise prediction errors, εyt, which are a linear process in εxt, the prediction error for Xt. We then apply this result to show that the limit of the common trends for Yt generated by εyt, are linear functions of the common trends for Xt, generated by εxt. We illustrate the findings with a small analysis of the term structure of interest rates.

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Forskning Wed, 01 Jan 2014 23:49:55 +0100 60a65486-41d4-498f-844d-cd2d136e0eea
<![CDATA[Optimal hedging with the cointegrated vector autoregressive model]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=8ac0d542-e1ac-41ea-a295-754c532ea9ea&tx_pure_pure5%5BshowType%5D=pub&cHash=c59c93362fcd616d8c6bbc0b6a9fa0ef Gatarek, L., Johansen, S. We consider a model that allows for the hedges to be cointegrated with the hedged asset and among themselves. We find that the minimum variance hedge for assets driven by the CVAR, depends strongly on the portfolio holding period. The hedge is defined as a function of correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite horizon, the hedge ratios shall be equal to the cointegrating vector. The hedge ratios for any intermediate portfolio holding period should be based on the weighted average of correlation and cointegration parameters.
The results are general and can be applied for any portfolio of assets that can be modeled by the CVAR of any rank and order.]]>
Forskning Mon, 27 Oct 2014 23:49:55 +0100 8ac0d542-e1ac-41ea-a295-754c532ea9ea
<![CDATA[Outlier detection algorithms for least squares time series regression]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=150a288b-e052-47a3-9aad-d7d3c31c25a6&tx_pure_pure5%5BshowType%5D=pub&cHash=50173ea67a842b652a8fa5fa0090a366 Johansen, S., Nielsen, B. data set.]]> Forskning Mon, 27 Oct 2014 23:49:55 +0100 150a288b-e052-47a3-9aad-d7d3c31c25a6 <![CDATA[Times Series]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e08cc585-dbbf-4d27-b61b-7e4f80c0da56&tx_pure_pure5%5BshowType%5D=pub&cHash=d50c3efb3541cb9c830a6a87222727b4 Johansen, S. Forskning Mon, 27 Oct 2014 23:49:55 +0100 e08cc585-dbbf-4d27-b61b-7e4f80c0da56 <![CDATA[Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6e9d4ecb-4785-449a-bc91-26a62a064d95&tx_pure_pure5%5BshowType%5D=pub&cHash=90985e489e8907011d33325515089948 Johansen, S., Nielsen, B. Forskning Tue, 01 Jan 2013 23:49:55 +0100 6e9d4ecb-4785-449a-bc91-26a62a064d95 <![CDATA[Least squares estimation in a simple random coefficient autoregressive model]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=2afa3038-9afa-47a9-819b-be333ce54503&tx_pure_pure5%5BshowType%5D=pub&cHash=884fec7ca02ef5950be2beb5a3424972 Johansen, S., Lange, T. Forskning Sun, 01 Dec 2013 23:49:55 +0100 2afa3038-9afa-47a9-819b-be333ce54503 <![CDATA[Statistical analysis of global surface temperature and sea level using cointegration methods]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c4b12c4c-50dd-487f-b786-d3edb4dbbc31&tx_pure_pure5%5BshowType%5D=pub&cHash=6e4653f4db19d1f68183436c87b42dc7 Schmith, T., Johansen, S., Thejll, P. Forskning Sun, 01 Jan 2012 23:49:55 +0100 c4b12c4c-50dd-487f-b786-d3edb4dbbc31 <![CDATA[A necessary moment condition for the fractional functional central limit theorem]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=85b1891b-1347-4582-ab24-86f83c74abff&tx_pure_pure5%5BshowType%5D=pub&cHash=aa6befed9476610c9f6f419e59e41538 Johansen, S., Nielsen, M. Ø. Forskning Fri, 01 Jun 2012 23:49:55 +0200 85b1891b-1347-4582-ab24-86f83c74abff <![CDATA[Asymptotic analysis of the Forward Search]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=9dd400b5-6ddf-4af7-a7d3-d826254bd975&tx_pure_pure5%5BshowType%5D=pub&cHash=f39c26c0b1e32e148538635f04f55520 Johansen, S., Nielsen, B. Forskning Thu, 28 Feb 2013 23:49:55 +0100 9dd400b5-6ddf-4af7-a7d3-d826254bd975 <![CDATA[Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f81aee79-8220-4615-8040-068a75799980&tx_pure_pure5%5BshowType%5D=pub&cHash=fcca552851b44c14b50e90f910dacac4 Johansen, S., Nielsen, M. Ø. Forskning Thu, 01 Nov 2012 23:49:55 +0100 f81aee79-8220-4615-8040-068a75799980 <![CDATA[The Analysis of Nonstationary Time Series Using Regression, Correlation and Cointegration]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e5f980a5-24de-433e-96c0-cb8e431a6ff1&tx_pure_pure5%5BshowType%5D=pub&cHash=d82b65a62fc6bd1af08e81a6bb6598a1 Johansen, S. Forskning Sun, 01 Jan 2012 23:49:55 +0100 e5f980a5-24de-433e-96c0-cb8e431a6ff1 <![CDATA[The Selection of ARIMA Models with or without Regressors]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f24de432-353c-40d8-b2bf-9be78ad7043e&tx_pure_pure5%5BshowType%5D=pub&cHash=3c8162773a631c2532996343ff83432e Johansen, S., Riani, M., Atkinson, A. C. stationary and nonstationary ARIMA error term. We derive the asymptotic
theory of the maximum likelihood estimators and show they are consistent and
asymptotically Gaussian. We also prove that the distribution of the sum of
squares of one step ahead standardized prediction errors, when the
parameters are estimated, differs from the chi-squared distribution by a
term which tends to infinity at a lower rate than $\chi _{n}^{2}$. We
further prove that, in the prediction error decomposition, the term
involving the sum of the variance of one step ahead standardized prediction
errors is convergent. Finally, we provide a small simulation study.
Empirical comparisons of a consistent version of our $C_{p}$ statistic with
BIC and a generalized RIC show that our statistic has superior performance,
particularly for small signal to noise ratios. A new plot of our time series
$C_{p}$ statistic is highly informative about the choice of model.]]>
Forskning Tue, 13 Nov 2012 23:49:55 +0100 f24de432-353c-40d8-b2bf-9be78ad7043e
<![CDATA[Exact rational expectations, cointegration, and reduced rank regression]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ac455874-8319-4ba5-8423-358dd9292d93&tx_pure_pure5%5BshowType%5D=pub&cHash=caceeff04e73b26ac0e9ade83191b150 Johansen, S., Swensen, A. R. ]]> Forskning Tue, 01 Jan 2008 23:49:55 +0100 ac455874-8319-4ba5-8423-358dd9292d93 <![CDATA[Kointegration og fælles stokastiske trende]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=02e8428d-e843-4569-b5bd-ffb660e403aa&tx_pure_pure5%5BshowType%5D=pub&cHash=19d9d6e09f10d06e2650e4f54377a080 Johansen, S. Forskning Thu, 01 Jan 2004 23:49:55 +0100 02e8428d-e843-4569-b5bd-ffb660e403aa <![CDATA[Cointegration. Overview and Development]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=15295744-adf6-43c4-8fa1-8e94ef5ea1ae&tx_pure_pure5%5BshowType%5D=pub&cHash=99b03a2002c5d3a290868bbc0c8c4ae7 Johansen, S. Forskning Sun, 01 Jan 2006 23:49:55 +0100 15295744-adf6-43c4-8fa1-8e94ef5ea1ae <![CDATA[Cointegration; An Overview]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7796177b-a032-41ad-812a-83a53d48bacd&tx_pure_pure5%5BshowType%5D=pub&cHash=1f4cdab4363e4da8afc16b2da5a76e2a Johansen, S. Forskning Thu, 01 Jan 2004 23:49:55 +0100 7796177b-a032-41ad-812a-83a53d48bacd <![CDATA[A Bartlett correction factor for tests on the cointegrating relations]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=46544ba1-7382-4d3d-ab99-dd7c4e8f8fc2&tx_pure_pure5%5BshowType%5D=pub&cHash=4327ff9d907b9688f5e7050c05ea4c2b Johansen, S. 2 distributed. For some values of the parameters this asymptotic distribution does not give a good approximation to the finite sample distribution. In this paper we derive the Bartlett correction factor for the likelihood ratio test and show by some simulation experiments that it can be a useful tool for making inference.]]> Forskning Sat, 01 Jan 2000 23:49:55 +0100 46544ba1-7382-4d3d-ab99-dd7c4e8f8fc2 <![CDATA[Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f2d67ff7-7b4e-4765-a2c3-fa7ef142f06c&tx_pure_pure5%5BshowType%5D=pub&cHash=ba3786be93200190a0022be0931e7126 Johansen, S. Forskning Wed, 01 Jan 1992 23:49:55 +0100 f2d67ff7-7b4e-4765-a2c3-fa7ef142f06c <![CDATA[The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f651319a-2426-40db-a258-5de841ea1411&tx_pure_pure5%5BshowType%5D=pub&cHash=14459bfef2a3abca5732e0149cc6344c Johansen, S. Forskning Sat, 01 Jan 2005 23:49:55 +0100 f651319a-2426-40db-a258-5de841ea1411 <![CDATA[A Note on testing restrictions for the cointegration parameters of a VAR with I(2) variables]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4aa8d6b5-f681-402a-b20c-d64e6c21915c&tx_pure_pure5%5BshowType%5D=pub&cHash=5d526628fe6917682d8eab86d755f229 Johansen, S., Lütkepohl, H. Forskning Sat, 01 Jan 2005 23:49:55 +0100 4aa8d6b5-f681-402a-b20c-d64e6c21915c <![CDATA[A Representation of Vector Autoregressive Processes Integrated of Order 2.]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=2b6277b3-ac1b-4111-8c72-28cfd5a8a5e3&tx_pure_pure5%5BshowType%5D=pub&cHash=6b9ecd119212210f8b520f13cae11604 Johansen, S. Forskning Wed, 01 Jan 1992 23:49:55 +0100 2b6277b3-ac1b-4111-8c72-28cfd5a8a5e3 <![CDATA[A representation theory for a class of vector autoregressive models for fractional processes]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=16d43e50-f97e-4821-97a4-d5b33e369b7e&tx_pure_pure5%5BshowType%5D=pub&cHash=bb64d747cb390b772b6fb1af125b9d46 Johansen, S. Forskning Tue, 01 Jan 2008 23:49:55 +0100 16d43e50-f97e-4821-97a4-d5b33e369b7e <![CDATA[A Statistical Analysis of Cointegration for I(2) Variables]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=6fe2b4c8-afe6-4de4-b872-9b4c354f63ac&tx_pure_pure5%5BshowType%5D=pub&cHash=a2965bb5579d8048630baca0d23931d1 Johansen, S. Forskning Sun, 01 Jan 1995 23:49:55 +0100 6fe2b4c8-afe6-4de4-b872-9b4c354f63ac <![CDATA[More on testing exact rational expectations in vector autoregressive models: Restricted drift term]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e71cbbb5-9cdd-492c-b1a0-34612c3e9eb8&tx_pure_pure5%5BshowType%5D=pub&cHash=136f9578028fa1d27748bf8de59e41b4 Johansen, S., Swensen, A.R. Forskning Wed, 01 Jan 2003 23:49:55 +0100 e71cbbb5-9cdd-492c-b1a0-34612c3e9eb8 <![CDATA[Reduced Rank Regression]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f560014f-f4e1-4f42-8b7e-a83ed5e5747c&tx_pure_pure5%5BshowType%5D=pub&cHash=88f6e0482d3bbeff13dba2836d8a31a9 Johansen, S. Forskning Tue, 01 Jan 2008 23:49:55 +0100 f560014f-f4e1-4f42-8b7e-a83ed5e5747c <![CDATA[Statistical Analysis of some Non-Stationary Time series]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e3ee7b03-4df4-47f5-b771-b9c77cd89c7f&tx_pure_pure5%5BshowType%5D=pub&cHash=e95d6ef19b422e43bc52a5bcfb1be5cc Johansen, S. Forskning Fri, 01 Jan 1999 23:49:55 +0100 e3ee7b03-4df4-47f5-b771-b9c77cd89c7f <![CDATA[Determination of Cointegration Rank in the Presense of a Linear Trend]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/soeren-johansen?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4a1da5a8-5adf-48cb-9931-e9c09983bf66&tx_pure_pure5%5BshowType%5D=pub&cHash=816d26de28ae844f35bc0ce6380c1792 Johansen, S. Forskning Wed, 01 Jan 1992 23:49:55 +0100 4a1da5a8-5adf-48cb-9931-e9c09983bf66