WorldCat Identities

Johansen, Søren 1939-

Overview
Works: 175 works in 428 publications in 4 languages and 1,924 library holdings
Genres: Examinations 
Roles: Author, Publishing director
Publication Timeline
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Most widely held works by Søren Johansen
Likelihood-based inference in cointegrated vector autoregressive models by Søren Johansen( Book )

35 editions published between 1995 and 2009 in English and held by 375 WorldCat member libraries worldwide

This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregressive model. This model has gained popularity because it can at the same time capture the short-run dynamic properties as well as the long-run equilibrium behaviour of many non-stationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. The book is intended to give a relatively self-containing presentation for graduate students and researchers with a good knowledge of multivariate regression analysis and likelihood methods. The asymptotic theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory is treated in detail with the purpose of giving the reader a working knowledge of the techniques involved
Functional relations, random coefficients, and nonlinear regression with application to kinetic data by Søren Johansen( Book )

19 editions published in 1984 in English and German and held by 286 WorldCat member libraries worldwide

These notes on regression give an introduction to some of the techniques that I have found useful when working with various data sets in collaboration with Dr. S. Keiding (Copenhagen) and Dr. J.W.L. Robinson (Lausanne). The notes are based on some lectures given at the Institute of Mathematical Statistics, University of Copenhigen, 1978-81, for graduate students, and assumes a familiarity with statistical theory corresponding to the book by C.R. Rao: "Linear Statistical Inference and its Applications". Wiley, New York (1973) . The mathematical tools needed for the algebraic treatment of the models are some knowledge of finite dimensional vector spaces with an inner product and the notion of orthogonal projection. For the analytic treatment I need characteristic functions and weak convergence as the main tools. The most important statistical concepts are the general linear model for Gaussian variables and the general methods of maximum likelihood estimation as well as the likelihood ratio test. All these topics are presented in the above mentioned book by Rao and the reader is referred to that for details. For convenience a short appendix is added where the fundamental concepts from linear algebra are discussed
Workbook on cointegration by Peter Reinhard Hansen( Book )

16 editions published between 1998 and 2008 in English and held by 216 WorldCat member libraries worldwide

Aimed at graduates and researchers in economics and econometrics, this is a comprehesive exposition of Soren Johansen's remarkable contribution to the theory of cointegration analysis
Introduction to the theory of regular exponential families by Søren Johansen( Book )

12 editions published in 1979 in English and Undetermined and held by 57 WorldCat member libraries worldwide

Mathematical and statictical modelling of cointegration by Søren Johansen( Book )

9 editions published in 1997 in English and held by 44 WorldCat member libraries worldwide

Granger's representation theorem and multicointegration by Tom Engsted( Book )

9 editions published in 1997 in English and held by 44 WorldCat member libraries worldwide

The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model by Søren Johansen( Book )

8 editions published in 2001 in English and held by 44 WorldCat member libraries worldwide

A Bartlett correction factor for tests on the cointegrating relations by Søren Johansen( Book )

9 editions published in 1999 in English and held by 43 WorldCat member libraries worldwide

Likelihood analysis of seasonal cointegration by Søren Johansen( Book )

7 editions published in 1997 in English and held by 43 WorldCat member libraries worldwide

A small sample correction of the test for cointegrating rank in the vector autoregressive model by Søren Johansen( Book )

12 editions published between 1999 and 2000 in English and held by 42 WorldCat member libraries worldwide

A small sample correction for tests of hypotheses on the cointegrating vectors by Søren Johansen( Book )

9 editions published in 1999 in English and held by 41 WorldCat member libraries worldwide

The imbedding problem for Markov chains by Søren Johansen( Book )

12 editions published between 1973 and 1974 in English and Undetermined and held by 25 WorldCat member libraries worldwide

Forelæsningsnoter i matematisk statistik by Søren Johansen( Book )

7 editions published between 1972 and 1976 in 3 languages and held by 11 WorldCat member libraries worldwide

An I(2) cointegration analysis of the purchasing power parity between Australia and the United States by Søren Johansen( Book )

2 editions published in 1991 in English and held by 9 WorldCat member libraries worldwide

Recursive estimation in cointegrated VAR-models by Henrik Hansen( Book )

5 editions published between 1992 and 1993 in English and held by 7 WorldCat member libraries worldwide

The full information maximum likelihood procedure for inference on cointegration : with applications by Søren Johansen( Book )

4 editions published in 1989 in English and held by 6 WorldCat member libraries worldwide

Extracting information from the data : a popperian view on empirical macro by Katarina Juselius( Book )

5 editions published in 2005 in English and held by 6 WorldCat member libraries worldwide

Eksamensopgaver i teoretisk statistik og sandsynlighedsregning 1959-1983( Book )

2 editions published in 1983 in Danish and held by 6 WorldCat member libraries worldwide

Identification of the long-run and the short-run structure : an application to the ISLM model by Søren Johansen( Book )

3 editions published in 1992 in English and held by 6 WorldCat member libraries worldwide

Some structural hypotheses in a multivariate cointegration analysis of the purchasing power parity and the uncovered interest parity for UK by Søren Johansen( Book )

4 editions published in 1990 in English and Danish and held by 5 WorldCat member libraries worldwide

 
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Likelihood-based inference in cointegrated vector autoregressive models
Alternative Names
Johansen, S.

Johansen, S. 1939-

Johansen, Soren

Johansen, Søren 1939-...

Søren Johansen dänischer Statistiker und Wirtschaftswissenschaftler

Søren Johansen Danish Statistician

Søren Johansen econoom uit Denemarken

セレン・ジョハンセン

Languages
English (175)

Danish (8)

Dutch (1)

German (1)

Covers
Workbook on cointegration