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Soren Johansen

Global rank #1060 98%

Institution: Københavns Universitet

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://www.econ.ku.dk/ansatte/emeriti/?pure=da/persons/34220

First Publication: 1988

Most Recent: 2019

RePEc ID: pjo35 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 1.01 2.01 0.00 4.02
All Time 0.67 18.60 20.11 0.00 61.00

Publication Statistics

Raw Publications 29
Coauthorship-Adjusted Count 41.57

Publications (29)

Year Article Journal Tier Authors
2019 BOUNDEDNESS OF M-ESTIMATORS FOR LINEAR REGRESSION IN TIME SERIES Econometric Theory B 2
2018 The cointegrated vector autoregressive model with general deterministic terms Journal of Econometrics A 2
2016 THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS Econometric Theory B 2
2015 MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY Econometric Theory B 2
2014 An asymptotic invariance property of the common trends under linear transformations of the data Journal of Econometrics A 2
2013 Least squares estimation in a simple random coefficient autoregressive model Journal of Econometrics A 2
2012 A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM Econometric Theory B 2
2010 Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/$ rate Journal of Econometrics A 4
2010 Likelihood inference for a nonstationary fractional autoregressive model Journal of Econometrics A 2
2010 Some identification problems in the cointegrated vector autoregressive model Journal of Econometrics A 1
2008 Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression American Economic Review S 3
2008 A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES Econometric Theory B 1
2006 Statistical analysis of hypotheses on the cointegrating relations in the I(2) model Journal of Econometrics A 1
2005 Interpretation of Cointegrating Coefficients in the Cointegrated Vector Autoregressive Model Oxford Bulletin of Economics and Statistics B 1
2005 A NOTE ON TESTING RESTRICTIONS FOR THE COINTEGRATION PARAMETERS OF A VAR WITH I(2) VARIABLES Econometric Theory B 2
2002 A small sample correction for tests of hypotheses on the cointegrating vectors Journal of Econometrics A 1
2000 A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS Econometric Theory B 1
2000 Modelling of cointegration in the vector autoregressive model Economic Modeling C 1
1999 Testing exact rational expectations in cointegrated vector autoregressive models Journal of Econometrics A 2
1998 Likelihood analysis of seasonal cointegration Journal of Econometrics A 2
1995 A Stastistical Analysis of Cointegration for I(2) Variables Econometric Theory B 1
1995 Identifying restrictions of linear equations with applications to simultaneous equations and cointegration Journal of Econometrics A 1
1994 Identification of the long-run and the short-run structure an application to the ISLM model Journal of Econometrics A 2
1992 Determination of Cointegration Rank in the Presence of a Linear Trend. Oxford Bulletin of Economics and Statistics B 1
1992 A Representation of Vector Autoregressive Processes Integrated of Order 2 Econometric Theory B 1
1992 Cointegration in partial systems and the efficiency of single-equation analysis Journal of Econometrics A 1
1992 Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK Journal of Econometrics A 2
1990 Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics B 2
1988 Statistical analysis of cointegration vectors Journal of Economic Dynamics and Control B 1