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Celebrated Econometricians: Katarina Juselius and Søren Johansen

Edited by
October 2022
486 pages
  • ISBN978-3-0365-4969-9 (Hardback)
  • ISBN978-3-0365-4970-5 (PDF)
https://doi.org/10.3390/books978-3-0365-4970-5
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This book is a reprint of the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen that was published in

Business & Economics
Computer Science & Mathematics
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.

Format
  • Hardback
License
© 2022 by the authors; CC BY-NC-ND license
Keywords
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; cointegration; rank deficiency; weak identification; mortality forecasting; term structure of mortality; factor modelling; cointegration; 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); cointegration; 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; inflation targeting; macroeconomic fluctuations and transmission mechanisms; graphical causal modeling; causal search; cointegrated vector autoregression (CVAR); weak exogeneity; irreducible cointegrating relations; vector autoregressions; vector error correction model; integrated processes of order two; canonical form; cointegration; 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; cointegration; VAR; cointegration; I(d); vector spaces; cointegration; fractional (co-)integration; statistical model; survival analysis; VAR; I(1); I(2); cointegration; CVAR; I(1); I(2); common trends; adjustment; breaks; model comparison; gender gap; n/a