Zobrazeno 1 - 10 of 19 pro vyhledávání: '"Soren Johansen"'
4
Discussion of The Forward Search: Theory and Data Analysis
Autor: Bent Nielsen, Soren Johansen
The paper by Atkinson, Riani and Ceroli, henceforth ARC, is concerned with detection of outliers and unsuspected structures which is rather important in practice. This is done through a Forward Search Algorithm. The statistical analysis of such algor
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______645::8606fa4cc25cc6e7a234c633117ca930
http://www.nuff.ox.ac.uk/economics/papers/2010/w2/ForwardSearchDiscussion15jan2010.pdf
Zobrazit plný text záznamu
5
A Resolution of the Purchasing Power Parity Puzzle: Imperfect Knowledge and Long Swings
Autor: Roman Frydman, Michael D. Goldberg, Soren Johansen, Katarina Juselius
Asset prices undergo long swings that revolve around benchmark levels. In currency markets, fluctuations involve real exchange rates that are highly persistent and that move in near-parallel fashion with nominal rates. The inability to explain these
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::62479c2b6fc24329318c7a86bc7d5844
http://www.econ.ku.dk/english/research/publications/wp/2008/0831.pdf
Zobrazit plný text záznamu
6
Cointegration analysis in the presence of structural breaks in the deterministic trend
Autor: Bent Nielsen, Soren Johansen and Rocco Mosconi
When analysing macroeconomic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular, cointegration analysis in the presence of structural breaks could be of interest. We propose a cointegration model w
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______645::7c4336a507771b2728cb5a1bd379b6e8
http://www.blackwellpublishers.co.uk/ectj/PDF/johansen/ectj049.pdf
Zobrazit plný text záznamu
9
Akademický článek
Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature
Autor: Eric Hillebrand, Søren Johansen, Torben Schmith
Publikováno v: Econometrics, Vol 8, Iss 4, p 41 (2020)
We study the stability of estimated linear statistical relations of global mean temperature and global mean sea level with regard to data revisions. Using four different model specifications proposed in the literature, we compare coefficient estimate
Externí odkaz: https://doaj.org/article/0dc8be080f66470791f5ee8fcbc7646f
Zobrazit plný text záznamu
10
Akademický článek
Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
Autor: Søren Johansen
Publikováno v: Econometrics, Vol 7, Iss 1, p 2 (2019)
A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as fun
Externí odkaz: https://doaj.org/article/5874493d4fc24e8c9de6a70059fc54f8
Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání

Omezení vyhledávání
Plný text Recenzováno Digitální knihovna AV ČR
Zdroje