Similar Search Results

An invariance property of the common trands under linear transformations of the data

Johansen, Søren; Jusélius, Katarina - 2010

Persistent link: https://www.econbiz.de/10008688532

An extension of cointegration to fractional autoregressive processes

Johansen, Søren - 2010

Persistent link: https://www.econbiz.de/10008663021

Some identification problems in the cointegrated vector autoregressive model

Johansen, Søren - In: Journal of econometrics 158 (2010) 2, pp. 262-273

Persistent link: https://www.econbiz.de/10008839956

An extension of cointegration to fractional autoregressive processes

Johansen, Søren - 2011

Persistent link: https://www.econbiz.de/10008810484

Allowing the data to speak freely : the macroeconometrics of the cointegrated vector autoregression

Hoover, Kevin D. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003603883

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

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

A conversation with Søren Johansen

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

fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …

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

Times series : cointegration

Johansen, Søren - 2014

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

Times series : cointegration

Johansen, Søren - 2014

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