Johansen, Søren 1939
Overview
Works:  234 works in 504 publications in 4 languages and 2,041 library holdings 

Genres:  Examinations 
Roles:  Author, Publishing director, Other 
Publication Timeline
.
Most widely held works by
Søren Johansen
Likelihoodbased inference in cointegrated vector autoregressive models by
Søren Johansen(
)
35 editions published between 1995 and 2009 in English and held by 680 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 shortrun dynamic properties as well as the longrun equilibrium behaviour of many nonstationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. The book is intended to give a relatively selfcontaining 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
35 editions published between 1995 and 2009 in English and held by 680 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 shortrun dynamic properties as well as the longrun equilibrium behaviour of many nonstationary time series. It also allows relevant economic questions to be formulated in a consistent statistical framework. The book is intended to give a relatively selfcontaining 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
)
17 editions published in 1984 in English and German and held by 347 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, 197881, 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
17 editions published in 1984 in English and German and held by 347 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, 197881, 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 227 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
16 editions published between 1998 and 2008 in English and held by 227 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
)
10 editions published in 1979 in English and Undetermined and held by 50 WorldCat member libraries worldwide
10 editions published in 1979 in English and Undetermined and held by 50 WorldCat member libraries worldwide
Granger's representation theorem and multicointegration by
Tom Engsted(
Book
)
10 editions published in 1997 in English and held by 46 WorldCat member libraries worldwide
10 editions published in 1997 in English and held by 46 WorldCat member libraries worldwide
Controlling inflation in a cointegrated vector autoregressive model with an application to US data by
Søren Johansen(
Book
)
12 editions published in 2001 in English and held by 46 WorldCat member libraries worldwide
12 editions published in 2001 in English and held by 46 WorldCat member libraries worldwide
A Bartlett correction factor for tests on the cointegrating relations by
Søren Johansen(
Book
)
8 editions published in 1999 in English and held by 44 WorldCat member libraries worldwide
8 editions published in 1999 in English and held by 44 WorldCat member libraries worldwide
Likelihood analysis of seasonal cointegration by
Søren Johansen(
Book
)
8 editions published in 1997 in English and held by 42 WorldCat member libraries worldwide
8 editions published in 1997 in English and held by 42 WorldCat member libraries worldwide
Mathematical and statictical modelling of cointegration by
Søren Johansen(
Book
)
9 editions published in 1997 in English and held by 42 WorldCat member libraries worldwide
9 editions published in 1997 in English and held by 42 WorldCat member libraries worldwide
A small sample correction of the test for cointegrating rank in the vector autoregressive model by
Søren Johansen(
Book
)
10 editions published between 1999 and 2000 in English and held by 40 WorldCat member libraries worldwide
10 editions published between 1999 and 2000 in English and held by 40 WorldCat member libraries worldwide
A small sample correction for tests of hypotheses on the cointegrating vectors by
Søren Johansen(
Book
)
7 editions published in 1999 in English and held by 36 WorldCat member libraries worldwide
7 editions published in 1999 in English and held by 36 WorldCat member libraries worldwide
The imbedding problem for Markov chains by
Søren Johansen(
Book
)
13 editions published between 1973 and 1974 in English and held by 25 WorldCat member libraries worldwide
13 editions published between 1973 and 1974 in English 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 12 WorldCat member libraries worldwide
7 editions published between 1972 and 1976 in 3 languages and held by 12 WorldCat member libraries worldwide
Productintegrals and counting processes by
R. D Gill(
Book
)
7 editions published in 1987 in English and Undetermined and held by 8 WorldCat member libraries worldwide
7 editions published in 1987 in English and Undetermined and held by 8 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 8 WorldCat member libraries worldwide
2 editions published in 1991 in English and held by 8 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
4 editions published in 1989 in English and held by 6 WorldCat member libraries worldwide
Recursive estimation in cointegrated VARmodels by
Henrik Hansen(
Book
)
5 editions published between 1992 and 1993 in English and held by 6 WorldCat member libraries worldwide
5 editions published between 1992 and 1993 in English and held by 6 WorldCat member libraries worldwide
A small sample correction for tests of hypotheses on the cointegrating vectors by
Søren Johansen(
Book
)
1 edition published in 1999 in English and held by 6 WorldCat member libraries worldwide
1 edition published in 1999 in English and held by 6 WorldCat member libraries worldwide
Eksamensopgaver i teoretisk statistik og sandsynlighedsregning 19591983(
Book
)
2 editions published in 1983 in Danish and held by 6 WorldCat member libraries worldwide
2 editions published in 1983 in Danish and held by 6 WorldCat member libraries worldwide
Testing rational expectations in vector autoregressive models by
Søren Johansen(
Book
)
5 editions published in 1994 in English and held by 6 WorldCat member libraries worldwide
5 editions published in 1994 in English and held by 6 WorldCat member libraries worldwide
more
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Audience Level
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Related Identities
 Hansen, Peter Reinhard Author
 European University Institute Department of Economics
 Juselius, Katarina Author
 Københavns Universitet Økonomisk Institut
 Engsted, Tom Author
 Schaumburg, Ernst
 Granger, C. W. J. (Clive William John) 19342009
 Oxford University Press
 University of Copenhagen Institute of Mathematical Statistics
 Københavns Universitet Institut for Matematisk Statistik
Useful Links
Associated Subjects
Antiinflationary policiesEconometric models Autoregression (Statistics) Cointegration Econometric models Econometrics EconometricsMathematical models Estimation theory Exponential families (Statistics) Granger, C. W. J.(Clive William John), Københavns universitet Linear models (Statistics) Mathematical statistics Probabilities Purchasing power parityEconometric models Random variables Regression analysis Statistical hypothesis testing Statistics Stochastic processes United States
Covers
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
Сёрен Йохансен
セレン・ジョハンセン
Languages