This article was prepared for the Special Issue ‘Celebrated Econometricians: Katarina Juselius and Søren Johansen’ of Econometrics. It is based on material recorded 30–31 October 2018 in Copenhagen. explores Juselius’ research, discusses inter alia following issues: equilibrium; short long-run behaviour; common trends; adjustment; integral proportional control mechanisms; model building compari...

This paper investigates the e¤ects of replacing the consumer price index (CPI) with the wholesale price index (WPI) in the cointegrating international parity relationships found by Juselius and MacDonald (2000). Our empirical analysis outstandingly produced results similar to the ones obtained by Juselius and MacDonald, suggesting that the cointegration relationships in the international parity...

Econometric analysis of rational expectations models has been a widely studied topic in the macro-econometric literature. This thesis looks in particular at evaluating Neokeynesian model (NKM) with respect to its conformity with the data. Among the available econometric techniques, this thesis investigates what cointegrated VAR can illuminate about how close the NKM gets to the data. This proje...

The interrelationship between international stock markets has been a key study area among the financial market researchers for international portfolio management and risk measurement. The characteristics of security returns and their dynamics play a vital role in the financial market theory. This study is an attempt to find out the dynamic linkages among the equity market of USA and emerging ma...

Graph-theoretic methods of causal search based on the ideas of Pearl (2000), Spirtes et al. (2000), and others have been applied by a number of researchers to economic data, particularly by Swanson and Granger (1997) to the problem of finding a data-based contemporaneous causal order for the structural vector autoregression, rather than, as is typically done, assuming a weakly justified Cholesk...

• Macroeconomic background – Sims (1980) – Stock and Watson (1988) • Vector Autoregressions 1. Stationarity vs. nonstationarity 2. Structural models 3. Dynamic experiments 4. Estimation – Lütkepohl (1991), chapter 2 – Hamilton (1994), chapter 11 – Sims (1980) – Cooley and LeRoy (1985) – Runkle (1987) • Cointegration and Common Trends – Johansen and Juselius (1990) – King, Plosser, Stock, and Wa...

This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationa...

The purpose of this study is to contribute further on the twin deficits debate in a developing economy. The data for Malaysia over four decades is used as a case study. Empirical result obtained from the Johansen-Juselius (1990) cointegration test indicates that budget deficit and current account deficit do not contain common stochastic trend in the long run. However, the findings from the Gran...

We showcase the impact of Katarina Juselius and Søren Johansen’s contribution to econometrics using bibliometric data on citations from 1989 2017, extracted Web Science (WoS) database. Our purpose is analyze KJ SJ’s ideas applied methodological research in econometrics. To this aim, starting WoS data, we derived two composite indices whose disentangle authors’ their research. As number citing p...