Celebrated Econometricians: Katarina Juselius and Søren Johansen

• Other Authors: Mosconi, Rocco (Editor), Paruolo, Paolo (Editor)
• Format: Electronic Book Chapter
• Language: English
• Published: Basel MDPI - Multidisciplinary Digital Publishing Institute 2022
• Subjects: Economics, finance, business & management; 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
• Online Access: DOAB: download the publication; DOAB: description of 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 group...