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Celebrated Econometricians: Katarina Juselius and Søren Johansen

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 group...

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Format: Online
Language:English
Published: MDPI - Multidisciplinary Digital Publishing Institute 2022
Subjects:
forediction
invariance
super exogeneity
indicator saturation
co-breaking
Autometrics
GMM
VECM
reduced rank
cointegrated vector autoregression
heteroscedasticity
Markov-switching model
monetary policy analysis
cointegration
particle filtering
random coefficient autoregressive model
state space model
stochastic approximation
adjustment coefficients
cointegrating coefficients
CVAR
causal models
rank deficiency
weak identification
mortality forecasting
term structure of mortality
factor modelling
partial cointegrated vector autoregressive models
structural breaks
deterministic terms
weak exogeneity
cointegrating rank
response surface
singular stochastic vectors
cointegration for singular vectors
Granger representation theorem
large-dimensional dynamic factor models)
error-correcting adjustment
estimation and hypothesis testing in cointegrated models
rent-sharing in wage formation
pattern wage bargaining
inflation targeting
small open economy wage policies
macroeconomic fluctuations and transmission mechanisms
graphical causal modeling
causal search
cointegrated vector autoregression (CVAR)
irreducible cointegrating relations
vector autoregressions
vector error correction model
integrated processes of order two
canonical form
hypothesis testing
parameterization
state space representation
unit roots
imperfect knowledge
Knightian Uncertainty
structural change
currency risky
cointegrated VAR
methodology
linking theory to evidence
empirically-based macroeconomics
n/a
bass diffusion model
bibliometrics
VAR
I(d)
vector spaces
fractional (co-)integration
statistical model
survival analysis
I(1)
I(2)
common trends
adjustment
breaks
model comparison
gender gap
thema EDItEUR::K Economics, Finance, Business and Management
Online Access:ONIX_20221117_9783036549705_50
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Summary: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.

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