Browsing All of EconStor by Author Johansen, Søren

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Showing results 1 to 13 of 13
Year of PublicationTitleAuthor(s)
1994 Testing Rational Expectations in Vector Autoregressive ModelsJohansen, Søren; Swensen, Anders Rygh
2003 More on Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models: Restricted Drift TermsJohansen, Søren; Swensen, Anders Rygh
2008 Likelihood inference for a nonstationary fractional autoregressive modelJohansen, Søren; Nielsen, Morten Ørregaard
2010 A necessary moment condition for the fractional functional central limit theoremJohansen, Søren; Ørregaard Nielsen, Morten
2010 Likelihood inference for a fractionally cointegrated vector autoregressive modelJohansen, Søren; Nielsen, Morten Ørregaard
2012 The Analysis of Nonstationary Time Series Using Regression, Correlation and CointegrationJohansen, Søren
2012 The role of initial values in nonstationary fractional time series modelsJohansen, Søren; Ørregaard Nielsen, Morten
2013 Outlier detection in regression using an iterated one-step approximation to the huber-skip estimatorJohansen, Søren; Nielsen, Bent
2014 Optimal Hedging with the Vector Autoregressive ModelGatarek, Lukasz; Johansen, Søren
2016 The cointegrated vector autoregressive model with general deterministic termsJohansen, Søren; Nielsen, Morten Ørregaard
2017 Testing the CVAR in the fractional CVAR modelJohansen, Søren; Nielsen, Morten Ørregaard
2017 Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive modelsJohansen, Søren; Tabor, Morten Nyboe
2018 Nonstationary cointegration in the fractionally cointegrated VAR modelJohansen, Søren; Nielsen, Morten Ørregaard