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Statistical analysis of global surface air temperature and sea level using cointegration methods
Schmith, Torben; Johansen, Søren; Thejll, Peter - 2011
Persistent link: https://www.econbiz.de/10009349111
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Likelihood inference for a fractionally cointegrated vector autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 6, pp. 2667-2732
Persistent link: https://www.econbiz.de/10009689454
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An asymptotic invariance property of the common trends under linear transformations of the data
Johansen, Søren; Jusélius, Katarina - In: Journal of econometrics 178 (2014) 1, pp. 310-315
Persistent link: https://www.econbiz.de/10010256144
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Optimal hedging with the cointegrated vector autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
Persistent link: https://www.econbiz.de/10010413752
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An extension of cointegration to fractional autoregressive processes
Johansen, Søren - 2011
Persistent link: https://www.econbiz.de/10008810484
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A Bartlett correction factor for tests on the cointegrating relations
Johansen, Søren - In: Econometric theory 16 (2000) 5, pp. 740-778
Persistent link: https://www.econbiz.de/10001533173
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Modelling of cointegration in the vector autoregressive model
Johansen, Søren - In: Economic modelling 17 (2000) 3, pp. 359-373
Persistent link: https://www.econbiz.de/10001496609
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Statistical analysis of hypothesis on the cointegrating relations in the I(2) model
Johansen, Søren - In: Journal of econometrics 132 (2006) 1, pp. 81-115
Persistent link: https://www.econbiz.de/10003320246
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Testing hypothesis in an I(2) model with applications to the persistent long swings in the Dmk/$ rate
Johansen, Søren; Jusélius, Katarina; Frydman, Roman; … - 2007
Persistent link: https://www.econbiz.de/10003603881
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Allowing the data to speak freely : the macroeconometrics of the cointegrated vector autoregression
Hoover, Kevin D. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003603883