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A conversation with Søren Johansen
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
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Models Where the Least Trimmed Squares and Least Median of Squares Estimators Are Maximum Likelihood
Berenguer-Rico, Vanessa - 2019
The Least Trimmed Squares (LTS) and Least Median of Squares (LMS) estimators are popular robust regression estimators. The idea behind the estimators is to find, for a given h, a sub-sample of h 'good' observations among n observations and estimate the regression on that sub-sample. We find...
Persistent link: https://www.econbiz.de/10012862689
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The role of initial values in nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2012
,\sigma^{2})$ and $d>1/2$. We derive an analytical expression for the main term of the asymptotic bias of the maximum … likelihood estimator of $d$ conditional on initial values, and we discuss the role of the initial values for the bias. The …
Persistent link: https://www.econbiz.de/10010851220
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The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - Economics Department, Queen's University - 2012
In this paper we analyze the influence of observed and unobserved initial values on the bias of the conditional maximum … second-order bias of d as a function of the initial values, X_t, t=-N_0+1,…,N, and we investigate the effect on the bias of … parameter μ picks up the effect of the initial values even for the choice N=0. If N_0=0, we show that the second-order bias can …
Persistent link: https://www.econbiz.de/10011188647
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The role of initial values in nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - Økonomisk Institut, Københavns Universitet - 2012
on initial values, and we discussthe role of the initial values for the bias. The results are partially extended to other …
Persistent link: https://www.econbiz.de/10010592984
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The role of initial values in nonstationary fractional time series models
Johansen, Søren; Ørregaard Nielsen, Morten - 2012
analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of d conditional on initial … values, and we discuss the role of the initial values for the bias. The results are partially extended to other fractional …
Persistent link: https://www.econbiz.de/10010290349
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Some econometric results for the Blanchard-Watson bubble model
Johansen, Søren; Lange, Theis - School of Economics and Management, University of Aarhus - 2011
The purpose of the present paper is to analyse a simple bubble model suggested by Blanchard and Watson. The model is defined by y(t) =s(t)?y(t-1)+e(t), t=1,…,n, where s(t) is an i.i.d. binary variable with p=P(s(t)=1), independent of e(t) i.i.d. with mean zero and finite variance. We take ?1...
Persistent link: https://www.econbiz.de/10009020198
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Some Econometric Results for the Blanchard-Watson Bubble Model
Johansen, Søren; Lange, Theis - Økonomisk Institut, Københavns Universitet - 2011
The purpose of the present paper is to analyse a simple bubble model suggested by Blanchard and Watson. The model is defined by y(t) =s(t)¿y(t-1)+e(t), t=1,…,n, where s(t) is an i.i.d. binary variable with p=P(s(t)=1), independent of e(t) i.i.d. with mean zero and finite variance. We take ¿1...
Persistent link: https://www.econbiz.de/10009021612
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Least squares estimation in a simple random coefficient autoregressive model
Johansen, Søren; Lange, Theis - In: Journal of Econometrics 177 (2013) 2, pp. 285-288
The question we discuss is whether a simple random coefficient autoregressive model with infinite variance can create the long swings, or persistence, which are observed in many macroeconomic variables. The model is defined by yt=stρyt−1+εt,t=1,…,n, where st is an i.i.d. binary variable...
Persistent link: https://www.econbiz.de/10011052200
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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