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Department of Economics and Business Economics

CREATES

Søren Johansen

Søren Johansen obtained the degree as cand. stat. from Copenhagen University in 1964 and received the Gold medal from University of Copenhagen for the thesis "An application of extreme points methods inprobability" in 1967. In 1974 he obtained the degree dr. phil. with the thesis "The embedding problem for Markov chains". He has been employed at the Department of Mathematical Sciences, Copenhagen University from 1964 to 2007 and from 2007 as part time professor at Department of Economics, Copenhagen University. The period from 1996-2001 he spent as professor at the Department of Economics, European University Institute, Florence.

His research interests includes mathematical statistics and probability theory as well as medical statistics and since 1983 econometrics, in particular the theory of cointegration. He has publiced about 100 publications in peer reviewed journals.

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Johansen, S. & Nielsen, M. Ø. (2022). Weak convergence to derivatives of fractional Brownian motion. arXiv.org. http://arxiv.org/pdf/2208.02516

Johansen, S. & Swensen, A. R. (2021). Adjustment coefficients and exact rational expectations in cointegrated vector autoregressive models. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2021-10

Hillebrand, E., Johansen, S. & Schmith, T. (2020). Data revisions and the statistical relation of global mean sea level and surface temperature. Econometrics, 8(4), 1-19. artikel 41. https://doi.org/10.3390/econometrics8040041

Johansen, S. & Nielsen, B. (2019). Boundedness of M-estimators for linear regression in time series. Econometric Theory, 35(3), 653-683. adv. onlinepublikation. https://doi.org/10.1017/S0266466618000257

Johansen, S. (2019). Cointegration and adjustment in the CVAR(∞) representation of some partially observed CVAR(1) models. Econometrics, 7(1), artikel 2. https://doi.org/10.3390/econometrics7010002

Berenguer-Rico, V., Johansen, S. & Nielsen, B. (2019). Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2019/15

Johansen, S. & Nielsen, M. Ø. (2019). Nonstationary Cointegration in the Fractionally Cointegrated VAR Model. Journal of Time Series Analysis, 40(4), 519-543. adv. onlinepublikation. https://doi.org/10.1111/jtsa.12438

Berenguer-Rico, V., Johansen, S. & Nielsen, B. (2019). Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. Institut for Økonomi, Aarhus Universitet. CREATES Research Paper Nr. 2019-12

Johansen, S. & Nielsen, M. Ø. (2018). Testing the CVAR in the Fractional CVAR Model. Journal of Time Series Analysis, 39(6), 836-849. https://doi.org/10.1111/jtsa.12300

Johansen, S. & Nielsen, M. Ø. (2018). The cointegrated vector autoregressive model with general deterministic terms. Journal of Econometrics, 202(2), 214-229. https://doi.org/10.1016/j.jeconom.2017.10.003

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Revideret 17.05.2023

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Solveig Nygaard Sørensen