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The Knightian Uncertainty Hypothesis : unforeseeable change and Muth’s consistency constraint in modeling aggregate outcomes
Frydman, Roman; Johansen, Søren; Rahbek, Anders; … - 2019
Persistent link: https://www.econbiz.de/10011992501
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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
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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011624144
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Cointegration between trends and their estimators in state space models and CVAR models
Johansen, Søren; Nyboe Tabor, Morten - 2017
Persistent link: https://www.econbiz.de/10011625471
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The qualitative expectations hypothesis : model ambiguity, consistent representations of market forecasts, and sentiment
Frydman, Roman; Johansen, Søren; Rahbek, Anders; Nyboe … - 2017
Persistent link: https://www.econbiz.de/10011706104
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The qualitative expectations hypothesis : model ambiguity, consistent representations of market forecasts, and sentiment
Frydman, Roman; Johansen, Søren; Rahbek, Anders; Nyboe … - 2017
Persistent link: https://www.econbiz.de/10011707436
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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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Asymptotic inference in random coefficient regression models
Johansen, Søren - In: Scandinavian journal of statistics : SJS ; theory and … 9 (1982) 4, pp. 201-207
Persistent link: https://www.econbiz.de/10003158137
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The product limit estimator as maximum likelihood estimator
Johansen, Søren - In: Scandinavian journal of statistics : SJS ; theory and … 5 (1978) 4, pp. 195-199
Persistent link: https://www.econbiz.de/10003158143
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Some remarks on M-ancillarity
Johansen, Søren - In: Scandinavian journal of statistics : SJS ; theory and … 4 (1977) 4, pp. 181-182
Persistent link: https://www.econbiz.de/10003158149