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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

- S. Johansen
- Mathematics, Economics
- 1 November 1991

This paper contains the likelihood analysis of vector autoregressive models allowing for cointegration. The author derives the likelihood ratio test for cointegrating rank and finds it asymptotic… Expand

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

- S. Johansen
- Economics
- 1 February 1996

This book gives a detailed mathematical and statistical analysis of the cointegrated vector autoregresive model. This model had gained popularity because it can at the same time capture the short-run… Expand

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY

- S. Johansen, K. Juselius
- Mathematics
- 1 May 2009

This paper gives a systematic application of maximum likelihood inference concerning cointegration vectors in non-stationary vector valued autoregressive time series models with Gaussian errors,… Expand

Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend

- S. Johansen, R. Mosconi, B. Nielsen
- Economics, Mathematics
- 1 December 2000

When analysing macroeconomic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular, cointegration analysis in the presence of structural breaks could… Expand

Some tests for parameter constancy in cointegrated VAR-models

- Henrik Hansen, S. Johansen
- Mathematics
- 1 December 1999

Some methods for the evaluation of parameter constancy in cointegrated vector autoregressive (VAR) models are discussed. Two different ways of re-estimating the VAR-model are proposed; one in which… Expand

Cointegration in partial systems and the efficiency of single-equation analysis

- S. Johansen
- Economics, Mathematics
- 1 June 1992

Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

- S. Johansen, K. Juselius
- Mathematics
- 1 July 1992

Determination of Cointegration Rank in the Presence of a Linear Trend

- S. Johansen
- Mathematics, Economics
- 1 August 1992

It is shown how the table in S. Johansen and K. Juselius (1990) can be applied to make inference on the cointegration rank. The reason that inference is difficult is that the limit distribution of… Expand

Asymptotic Inference on Cointegrating Rank in Partial Systems

- I. Harbo, S. Johansen, B. Nielsen, Anders Rahbek
- Mathematics
- 1 October 1998

The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the… Expand

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