Special Issue "Recent Developments in Cointegration"
A special issue of Econometrics (ISSN 2225-1146).
Deadline for manuscript submissions: closed (28 February 2017)
A printed edition of this Special Issue is available here.
This Special Issue contains recent contributions to empirical and theoretical cointegration models. Methodologically oriented papers that combine the two are particularly welcome. I envision papers that, for example, apply cointegration in a novel way, suggest a new way of testing hypotheses in a Cointegrated VAR model, derive new tests motivated by empirical applications, use cointegration analysis to solve interesting problems in macroeconomics and finance, such as the puzzling long, persistent swings around long-run equilibrium values. Papers dealing with near integration (near I(1) and near I(2)) are much welcome. Additionally, papers applying the I(2) cointegration and the fractional cointegration model to relevant economic problems are of great interest and so are theoretical advancements to these models. Cointegration models that address the problem of time-varying coefficients, changes in the equilibrium mean and changes in the mean growth rates are all within the scope of this Special Issue.
More generally, the purpose of the Special Issue is to advance cointegration techniques needed to properly address recent problems in macroeconomics and finance, in particular, problems that became painfully visible during the great recession. For example, using cointegration as a means to address self-reinforcing feed-back loops could potentially add valuable information about some of the mechanisms that generated the recent crisis.
Prof. Katarina Juselius
Manuscript Submission Information
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- Cointegrated VAR models for I(1), I(2), fractionally integrated and explosive root data
- Inference in near integrated processes
- Hypothesis testing
- Structure analysis
- Time-varying coefficients
- Modelling changes in equilibrium means and mean growth rates