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This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusses inter alia the following issues: estimation and inference for nonstationary time series of the I(1...
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... 30 October 2018 the authors sat down with Søren Johansen in Copenhagen to discuss his wide-ranging contributions to science, with a focus on Econometrics. Figure 1 reports a photo of Søren taken on the day of the conversation; other recent photos are reported in Figure 2. The list of his publications can be found at the following link: http://web.math.ku.dk/~sjo/. 1 In the following, frequent reference is made to vector autoregressive (VAR) equations of order k for a p × 1 vector process, X t , for t = 1, . . . ...
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Citations
This Special Issue collects contributions related to the 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 [...]
