Papers by Katarina Juselius
Industrial and Corporate Change
Inspired by the paper by Guzman and Stiglitz (2020, ‘Towards a dynamic disequilibrium theory with... more Inspired by the paper by Guzman and Stiglitz (2020, ‘Towards a dynamic disequilibrium theory with randomness,’ NBER Working Paper 27453), this article shows that cointegrated VAR (CVAR) analyses have for many years provided empirical underpinnings for most of the topics discussed in that paper. The CVAR takes the nonstationarity of economic data seriously; it allows explicitly for complex adjustment dynamics in the short run and the long run; it is able to describe self-reinforcing feedback mechanisms leading to multiple equilibria; it is able to handle extraordinary shocks to the system whether they are exogenously or endogenously induced; and it is able to accommodate sizeable crisis periods such as the Great Recession. The article discusses these issues and many more from a methodological, econometric, and empirical point of view and illustrates the ideas with an application to the Phillips curve with a Phelpsian natural rate based on US data.
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Social Science Research Network, 2010
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RePEc: Research Papers in Economics, Sep 1, 2000
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Japan and the World Economy, 2004
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OUP Catalogue, 2006
... Jean-François Richard Co-integration, Error Correction, and the Econometric Analysis of Non-S... more ... Jean-François Richard Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data By Anindya Banerjee, Juan J. Dolado, John W. Galbraith, and David Hendry Cointegrated VAR Model: Methodology and Applications By Katarina Juselius Dynamic ...
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Social Science Research Network, 2017
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RePEc: Research Papers in Economics, May 1, 1990
The concept of a well defined statistical model for the data generating process is given an empir... more The concept of a well defined statistical model for the data generating process is given an empirical formulation in the vector autoregressive model under assumption of cointegration in an analysis of prices, interest rates and exchange rates between Denmark and ...
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Empirical Economics, Aug 1, 1998
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Econometrics, Dec 31, 2017
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Journal of Econometrics, 2014
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The Macroeconometrics of the Cointegrated Vector Autoregression An explication of the key ideas b... more The Macroeconometrics of the Cointegrated Vector Autoregression An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo’s famous “Probability Approach in Econometrics ” (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and the testing of economic theories. In timeseries data, the probability approach requires careful specification of the integration and cointegration properties of variables in systems of equations. The relationship between the CVAR approach and wider methodological issues and between it and related approaches (e.g., the LSE approach) are explored. The specifictogeneral strategy of widening the scope of econometric models to identify stochastic trends and cointegrating relations and to nest theoretical economic models is illustrated with the example of purchasingpower parity.
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SSRN Electronic Journal, 2021
Understanding changes to the mass of the polar ice sheets is of crucial scientific and socioecono... more Understanding changes to the mass of the polar ice sheets is of crucial scientific and socioeconomic importance due to their effect on the wider Earth system and potential to contribute to future sea level rise. On monthly to multi-decadal timescales, there is much uncertainty around the extent to which the non-stationary, non-linear responses of the ice sheets interact through the atmosphere-ocean climate. We test and quantify the nature of non-stationarity and inter-dependence between ice mass balance time series for Greenland, West and East Antarctica using a multi-cointegration vector autoregression model, which has been used to show equivalence between simple climate models and emulations of complex physical processes. We focus on three alternative specifications by comparing I(2) models of cumulative ice mass balance with an I(1) model of the ice mass balance, exploring the model dynamics, and evaluating the out-of-sample forecasts against satellite observations. Our results support the I(2) model with a bipolar relationship between Greenland and West Antarctica and provide some of the first empirical evidence of tipping-points in the recent observed record. Long-term projections indicate that there is considerable risk of Greenland contributing more to sea level rise than under the IPCC’s extreme climate change scenario.
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<p class=&... more <p class="p1">The greatest sources of uncertainty for future sea-level rise are the Greenland and Antarctic ice sheets. An important aspect of this uncertainty is the potential interconnectivity between them, which may amplify underlying instabilities in individual ice sheets. We explore these connections empirically by modelling the ice sheets as a cointegrated system. We consider two specications which allow the ice sheets to follow either an I(1) or an I(2) process in order to disentangle the long-run theory consistent relationships in the data. We examine the stability of these relationships over time both in and out of sample and eximine how a sudden loss of ice in Greenland propagates through the system. We show that a 1 Gigatonne loss of ice leads to a large and persistent loss of ice in West Arctica which is partially offset by an accumulation of ice in East Antarctica. Accounting for the long-run interactions between the ice sheets helps to improve our understanding of future instabilities and provides useful projections of the future paths of the ice sheets.</p>
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Lecture Notes in Economics and Mathematical Systems, 1991
The concept of a well—defined statistical model for the data generating process is given an empir... more The concept of a well—defined statistical model for the data generating process is given an empirical formulation in the vector autoregressive model under the assumption of cointegration in an analysis of prices, interest rates and exchange rates between Denmark and Germany. The long—run relations are estimated as stationary linear combinations between the non—stationary variables. Comparative analyses of the long—run relations based on the single equation error — correction model as well as the Engle — Granger two — step procedure are performed. The full system versus the partial system analysis approach is discussed in terms of optimal inference on the long — run parameters. By testing hypotheses about the weight coefficients it is empirically demonstrated that the full five — dimensional system cannot be reduced without loosing some efficiency.
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International Journal of Forecasting, 1985
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Econometrics, Feb 1, 2021
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Papers by Katarina Juselius