Celebrated Econometricians : : Katarina Juselius and Søren Johansen / / edited by Rocco Mosconi and Paolo Paruolo.

• TeilnehmendeR: Paruolo, Paolo,; Mosconi, Rocco,
• Place / Publishing House: Basel : : MDPI - Multidisciplinary Digital Publishing Institute,, 2022.
• Year of Publication: 2022
• Language: English
• Physical Description: 1 online resource (486 pages)

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.

Table of Contents

About the Editors -- Celebrated Econometricians: Katarina Juselius and Søren Johansen -- A Conversation with Katarina Juselius -- A Conversation with Søren Johansen -- Searching for a Theory That Fits the Data: A Personal Research Odyssey -- Søren Johansen and Katarina Juselius:A Bibliometric Analysis of Citations through Multivariate Bass Models -- Cointegration and Adjustment in the CVAR(∞) Representation of SomePartially Observed CVAR(1) Models -- Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors -- A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing -- Cointegration, Root Functions and Minimal Bases -- Johansen's Reduced Rank Estimator Is GMM -- Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient -- Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms -- Modeling I(2) Processes Using Vector Autoregressions Where the Lag Length Increases with the Sample Size -- The Stochastic Stationary Root Model -- A Parametric Factor Model of the Term Structure of Mortality -- The Discovery of Long-Run Causal Order: A Preliminary Investigation -- Evaluating Forecasts, Narratives and Policy Using a Test of Invariance -- The Relation between Monetary Policy and the Stock Market inEurope -- Cointegration and Structure in Norwegian Wage-Price Dynamics † -- Forward Rate Bias in Developed and Developing Countries: More RiskyNot Less Rational.