Celebrated Econometricians: Katarina Juselius and Søren Johansen

• Format: eBook
• Language: English
• Published: Basel MDPI - Multidisciplinary Digital Publishing Institute 2022
• Subjects: Economics, finance, business & management; adjustment; adjustment coefficients; Autometrics; bass diffusion model; bibliometrics; breaks; canonical form; causal models; causal search; co-breaking; cointegrated VAR; cointegrated vector autoregression; cointegrated vector autoregression (CVAR); cointegrating coefficients; cointegrating rank; cointegration; cointegration for singular vectors; common trends; currency risky; CVAR; deterministic terms; empirically-based macroeconomics; error-correcting adjustment; estimation and hypothesis testing in cointegrated models; factor modelling; forediction; fractional (co-)integration; gender gap; GMM; Granger representation theorem; graphical causal modeling; heteroscedasticity; hypothesis testing; I(1); I(2); I(d); imperfect knowledge; indicator saturation; inflation targeting; integrated processes of order two; invariance; irreducible cointegrating relations; Knightian Uncertainty; large-dimensional dynamic factor models); linking theory to evidence; macroeconomic fluctuations and transmission mechanisms; Markov-switching model; methodology; model comparison; monetary policy analysis; mortality forecasting; n/a; parameterization; partial cointegrated vector autoregressive models; particle filtering; pattern wage bargaining; random coefficient autoregressive model; rank deficiency; reduced rank; rent-sharing in wage formation; response surface; singular stochastic vectors; small open economy wage policies; state space model; state space representation; statistical model; stochastic approximation; structural breaks; structural change; super exogeneity; survival analysis; term structure of mortality; unit roots; VAR; VECM; vector autoregressions; vector error correction model; vector spaces; weak exogeneity; weak identification
• Online Access: Open Access: DOAB: description of the publication; Open Access: DOAB, download the publication

 This Special Issue collects contributions related to advances in the theory and practice of Econometrics induced by the research of Katarina Juselius and Søren Johansen, whom this Special Issue aims to celebrate. The papers in this Special Issue provide advances on several topics, and they are grouped in the following areas, with three to four papers per group). The first group provides a historical perspective on Katarina's and Søren's contributions to Econometrics. The second group of papers concentrates on representation theory, while the third focuses on estimation and inference. The fourth group explores extensions of CVARs for modelling and forecasting, and the fifth and final group is centered on empirical applications.