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Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
Franchi, Massimo; Johansen, Søren - 2017
Persistent link: https://www.econbiz.de/10011648634
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Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles
Franchi, Massimo; Johansen, Søren - 2017
Persistent link: https://www.econbiz.de/10011654453
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Representation of cointegrated autoregressive processes with application to fractional processes
Johansen, Søren - In: Econometric reviews 28 (2009) 1/3, pp. 121-145
Persistent link: https://www.econbiz.de/10003800708
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Cointegration and adjustment in the CVAR(∞) representation of some partially observed CVAR(1) models
Johansen, Søren - In: Econometrics : open access journal 7 (2019) 1/2, pp. 1-10
order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are …
Persistent link: https://www.econbiz.de/10012025719
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Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren (contributor);  … - 2008
This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data...
Persistent link: https://www.econbiz.de/10003742080
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Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren; Nielsen, Morten Ørregaard - In: Journal of econometrics 158 (2010) 1, pp. 51-66
Persistent link: https://www.econbiz.de/10008826876
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Likelihood inference for a nonstationary fractional autoregressive model
Johansen, Søren (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003571225
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A small sample correction of the Dickey-Fuller test
Johansen, Søren - In: New directions in macromodelling, (pp. 49-68). 2004
Persistent link: https://www.econbiz.de/10002717320
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The analysis of nonstationary time series using regression, correlation and cointegration
Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57
There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse by examples the effect of nonstationarity on inference using these methods and compare them to model based inference using the cointegrated vector autoregressive model. Finally...
Persistent link: https://www.econbiz.de/10009767620
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Optimal hedging with the Vector Autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …
Persistent link: https://www.econbiz.de/10010244526