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2. Searching for a Theory That Fits the Data: A Personal Research Odyssey. (2021). juselius, katarina.
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3. The empirical properties of euro area M3, 1980-2017. (2020). Jung, Alexander ; Carcel, Hector ; Villanova, Hector Carcel.
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4. Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market. (2018). Stillwagon, Josh ; juselius, katarina.
   In: Journal of International Money and Finance.
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5. A CVAR scenario for a standard monetary model using theory-consistent expectations. (2017). juselius, katarina.
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6. Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market. (2017). Hetland, Andreas.
   In: Econometrics.
   RePEc:gam:jecnmx:v:5:y:2017:i:3:p:40-:d:110779.

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8. Frydman, R. and M. Goldberg (2011). Beyond Mechanical Markets: Risk and the Role of Asset Price Swings, Princeton University Press, Princeton.
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9. Frydman, R. and M. Goldberg (2013). “Change and Expectations in Macroeconomic Models: Recognizing the Limits to Knowability” , Journal of Economic Methodology 20, 118-138.

10. Frydman, R., M. Goldberg, K. Juselius, and S. Johansen (2008). Reexamining the Purchasing Power Parity Puzzle with Imperfect Knowledge Economics, Working Paper, University of Copenhagen.
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11. Frydman, R., M. Goldberg, K. Juselius, and S. Johansen (2012). Long Swings in Currency Markets: Imperfect Knowledge and I(2) Trends, Preprint, University of Copenhagen.
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15. Hommes, C. H. (2006). “Heterogeneous Agent Models in Economics and Finance,”in: L. Tesfation and K.L. Judd (Eds.), Handbook of Computational Economics 2, Chapter 23, 1109-1186, Elsevier.

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17. Hoover, K., S. Johansen, and K. Juselius (2008). Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated VAR, American Economic Review, 98, pp. 251-55.

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21. Johansen, S. (2006). Statistical analysis of hypotheses on the cointegrating relations in the I(2) model. Journal of Econometrics 132, 81– 115.

22. Johansen, S., Juselius, K., Frydman, R. and M. Goldberg, (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 158, 117-129.

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1. Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR). (2025). Semmler, Willi ; Chen, PU ; Maurer, Helmut.
   In: Econometrics and Statistics.
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2. Cointegration with Occasionally Binding Constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A.
   In: Papers.
   RePEc:arx:papers:2211.09604.

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3. Wage – price dynamics and financial market in a disequilibrium macro model: A Keynes – Kaldor – Minsky modeling of recession and inflation using VECM. (2024). Semmler, Willi ; Chen, PU.
   In: Journal of Economic Behavior & Organization.
   RePEc:eee:jeborg:v:220:y:2024:i:c:p:433-452.

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4. Common Trends and Long-Run Identification in Nonlinear Structural VARs. (2024). Mavroeidis, Sophocles ; Duffy, James A.
   In: Papers.
   RePEc:arx:papers:2404.05349.

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5. Stochastic model specification in Markov switching vector error correction models. (2021). Zoerner, Thomas ; Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber ; Niko, Hauzenberger.
   In: Studies in Nonlinear Dynamics & Econometrics.
   RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

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6. Bayesian nonlinear panel cointegration: an empirical application to the EKC hypothesis. (2019). Tsionas, Mike ; POLEMIS, MICHAEL.
   In: Letters in Spatial and Resource Sciences.
   RePEc:spr:lsprsc:v:12:y:2019:i:2:d:10.1007_s12076-019-00230-4.

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7. Stochastic model specification in Markov switching vector error correction models. (2019). Zoerner, Thomas ; Pfarrhofer, Michael ; Huber, Florian ; Zorner, Thomas O.
   In: Papers.
   RePEc:arx:papers:1807.00529.

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8. Stationarity and ergodicity of vector STAR models. (2019). Saikkonen, Pentti ; Kheifets, Igor.
   In: Papers.
   RePEc:arx:papers:1805.11311.

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9. Stochastic model specification in Markov switching vector error correction models. (2018). Zoerner, Thomas ; Pfarrhofer, Michael ; Huber, Florian ; Zorner, Thomas O.
   In: Working Papers in Economics.
   RePEc:ris:sbgwpe:2018_003.

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10. The Stochastic Stationary Root Model. (2018). Hetland, Andreas.
    In: Econometrics.
    RePEc:gam:jecnmx:v:6:y:2018:i:3:p:39-:d:165046.

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11. Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina.
    In: Discussion Papers.
    RePEc:kud:kuiedp:1707.

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12. Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:3:p:30-:d:104032.

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13. Energy demand, substitution and environmental taxation: An econometric analysis of eight subsectors of the Danish economy. (2017). Møller, Niels ; Moller, Niels Framroze.
    In: Energy Economics.
    RePEc:eee:eneeco:v:61:y:2017:i:c:p:97-109.

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14. Nonlinear models in macroeconometrics. (2017). Teräsvirta, Timo ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-32.

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15. Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di cointegrazione nascosta.. (2015). Hatemi-J, Abdulnasser ; Irandoust, Manuchehr.
    In: Economia Internazionale / International Economics.
    RePEc:ris:ecoint:0752.

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16. Energy Demand, Substitution and a Potential for Electrification: An econometric analysis of eight Danish subsectors. (2015). Møller, Niels ; Moller, Niels Framroze.
    In: MPRA Paper.
    RePEc:pra:mprapa:69931.

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17. A New Class of Bivariate Threshold Cointegration Models. (2015). GAO, Jiti ; Cai, Biqing.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2015-1.

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18. Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand. (2015). Lieb, Lenard ; Candelon, Bertrand ; Bertrand, Candelon.
    In: Studies in Nonlinear Dynamics & Econometrics.
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19. Unit root vector autoregression with volatility induced stationarity. (2014). Rahbek, Anders ; Nielsen, Heino Bohn.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:144-167.

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20. Nonlinear Error Correction Models With an Application to Commodity Prices. (2013). Medeiros, Marcelo ; Magri, Rafael .
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:33:y:2013:i:2:a:24116.

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21. Are Southeast Asian real exchange rates mean reverting?. (2013). ZENG, SONGLIN ; Bec, Frédérique.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:23:y:2013:i:c:p:265-282.

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22. Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo.
    In: CREATES Research Papers.
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23. Multivariate Variance Targeting in the BEKK-GARCH Model. (2012). Rahbek, Anders ; Pedersen, Rasmus.
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24. Unit root vector autoregression with volatility induced stationarity. (2012). Rahbek, Anders ; Nielsen, Heino Bohn.
    In: Discussion Papers.
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25. Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective. (2012). Gefang, Deborah.
    In: Oxford Bulletin of Economics and Statistics.
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26. Multivariate Variance Targeting in the BEKK-GARCH Model. (2012). Rahbek, Anders ; Pedersen, Rasmus.
    In: CREATES Research Papers.
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27. Fiscal policy in good and bad times. (2011). Lieb, Lenard ; Candelon, Bertrand.
    In: Research Memorandum.
    RePEc:unm:umamet:2011001.

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28. Likelihood-based inference for cointegration with nonlinear error-correction. (2010). Rahbek, Anders ; Kristensen, Dennis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:158:y:2010:i:1:p:78-94.

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29. First and second order non-linear cointegration models. (2009). Lange, Theis.
    In: CREATES Research Papers.
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30. Purchasing power parity: A nonlinear multivariate perspective. (2008). Bec, Frédérique ; Rahbek, Salem Anders ; Ben, Melika.
    In: Post-Print.
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31. Purchasing power parity: A nonlinear multivariate perspective. (2008). ben Salem, Mlika ; Rahbek, Anders.
    In: Economics Bulletin.
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32. Purchasing power parity: A nonlinear multivariate perspective. (2008). Rahbek, Anders ; Bec, Frédérique ; Ben Salem, Melika.
    In: Economics Bulletin.
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33. Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics. (2008). Nesmith, Travis ; Jones, Barry.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:12:y:2008:i:1:n:6.

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34. The ACR Model: A Multivariate Dynamic Mixture Autoregression*. (2008). Shephard, Neil ; Rahbek, Anders ; Bec, Frédérique.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:70:y:2008:i:5:p:583-618.

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35. Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate. (2008). juselius, katarina ; Johansen, Soren ; Frydberg, Roman ; Goldberg, Michael.
    In: CREATES Research Papers.
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36. Estimation of nonlinear error correction models. (2007). SEO, MYUNG HWAN.
    In: LSE Research Online Documents on Economics.
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37. Interest Rate Linkages in EMU Countries: A Rolling Threshold Vector Error-Correction Approach. (2007). Poghosyan, Tigran ; de Haan, Jakob.
    In: CESifo Working Paper Series.
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38. Estimation of Nonlinear Error CorrectionModels. (2007). SEO, MYUNG HWAN.
    In: STICERD - Econometrics Paper Series.
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39. Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period. (2006). Bevilacqua, Franco.
    In: MERIT Working Papers.
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40. Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period. (2006). Bevilacqua, Franco.
    In: MERIT Working Papers.
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41. Unemployment and Inflation Regimes. (2006). Warne, Anders ; Vredin, Anders.
    In: Studies in Nonlinear Dynamics & Econometrics.
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42. Threshold effects In multivariate error correction models. (2005). .
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43. Stability results for nonlinear error correction models. (2005). Saikkonen, Pentti.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:127:y:2005:i:1:p:69-81.

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