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The Properties of Model Selection when Retaining Theory Variables
Hendry, David F.; Johansen, Søren - School of Economics and Management, University of Aarhus - 2011
Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the...
Persistent link: https://www.econbiz.de/10009359474
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The Properties of Model Selection when Retaining Theory Variables
Hendry, David F.; Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2011
Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the...
Persistent link: https://www.econbiz.de/10009360167
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Selecting a Regression Saturated by Indicators
Hendry, David F.; Johansen, Søren; Santos, Carlos - Økonomisk Institut, Københavns Universitet - 2007
We consider selecting a regression model, using a variant of Gets, when there are more variables than observations, in …
Persistent link: https://www.econbiz.de/10005225477
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Selecting a Regression Saturated by Indicators
Johansen, Søren; Hendry, David F.; Santos, Carlos - School of Economics and Management, University of Aarhus - 2007
We consider selecting a regression model, using a variant of Gets, when there are more variables than observations, in … power against an alternative of interest.We consider selecting a regression model, using a variant of Gets, when there are …
Persistent link: https://www.econbiz.de/10005787564
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An I(2) cointegration analysis of the purchasing power parity between Australia and the United States
Johansen, Søren - 1991
Persistent link: https://www.econbiz.de/10000129180
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Granger's representation theorem and multicointegration
Engsted, Tom; Johansen, Søren - 1997
Persistent link: https://www.econbiz.de/10000959732
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Allowing the data to speak freely : the macroeconometrics of the cointegrated vector autoregression
Hoover, Kevin D.; Johansen, Søren; Jusélius, Katarina - In: The American economic review 98 (2008) 2, pp. 251-255
Persistent link: https://www.econbiz.de/10003730164
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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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An analysis of the indicator saturation estimator as a robust regression estimator
Johansen, Søren; Nielsen, Bent - 2008
Persistent link: https://www.econbiz.de/10003807422
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A representation theory for a class of vector autoregressive models for fractional processes
Johansen, Søren - In: Econometric theory 24 (2008) 3, pp. 651-676
Persistent link: https://www.econbiz.de/10003894279