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This is the equivalent of "Bye Bye" or "Buh Bye" In Danish
Single Hej is "hi"
Double Hej is "bye bye"

The other definition posted on this site is incorrect
When I got off of the airplane in Copenhagen the flight attendant waved and said "Hej Hej!"
by Silly Psyche July 30, 2009
Danish greeting pronounced Hi Hi, said in rapid succession how Danes say Hello.
I walked in and she said hej hej and waved.
by Lori the K April 16, 2008