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Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusses inter alia the following issues:...

Persistent link: https://www.econbiz.de/10013355167

Recursive Estimation in Cointegrated VAR-Models

Hansen, Henrik; Johansen, Søren - Økonomisk Institut, Københavns Universitet - 1992

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 all parameters are estimated recursively … the cointegrated VAR-model. All results are illustrated using a model for the term structure of interest rates on US …

Persistent link: https://www.econbiz.de/10005749668

Testing exact rational expectations in cointegrated vector autoregressive models

Johansen, Søren; Swensen, Anders Rygh - In: Journal of econometrics 93 (1999) 1, pp. 73-91

Persistent link: https://www.econbiz.de/10001406640

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Morten Ørregaard - 2016

Persistent link: https://www.econbiz.de/10011524104

The cointegrated vector autoregressive model with general deterministic terms

Johansen, Søren; Nielsen, Bent - 2016

Persistent link: https://www.econbiz.de/10011524568

Times series : cointegration

Johansen, Søren - 2014

Persistent link: https://www.econbiz.de/10010418934

Optimal hedging with the cointegrated vector autoregressive model

Johansen, Søren; Gatarek, Lukasz - 2014

Persistent link: https://www.econbiz.de/10010418991

Times series : cointegration

Johansen, Søren - 2014

Persistent link: https://www.econbiz.de/10010418999

Testing the CVAR in the fractional CVAR model

Johansen, Søren; Nielsen, Morten Ørregaard - 2017

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and show that the test statistic for the ususal CVAR model is asymptotically chi-squared distributed. Because the usual CVAR model lies on the boundary of the parameter space for the...

Persistent link: https://www.econbiz.de/10011756080

Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models

Johansen, Søren; Tabor, Morten Nyboe - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46

A state space model with an unobserved multivariate random walk and a linear observation equation is studied. The purpose is to find out when the extracted trend cointegrates with its estimator, in the sense that a linear combination is asymptotically stationary. It is found that this result...

Persistent link: https://www.econbiz.de/10011711088