Date & place of birth: 25.9.1943 in Åbo, Finland
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| PhD Students |
Name: Katarina Juselius
Date & place of birth: 25.9.1943 in Åbo, Finland
M.Econ.Sc. (Business Administration) 1970
Lic.Econ.Sc. (Econometrics) 1979
Dr.Econ.Sc. (Econometrics) 1983
Assistant lecturer, Department of Statistics, The Swedish School of Economics, Helsinki. Jan 1969-July 1978.
Director of the Research Institute of the Swedish School of Economics, Helsinki. Aug 1978-July 1985.
Researcher at the Research Institute of the Swedish School of Economics, Helsinki, July 1985-July 1986.
Assistant Professor (adjunkt) at the Institute of Economics, University of Copenhagen, Sept 1986- Sept 1987.
Associate Professor (lektor) at the Institute of Economics, University of Copenhagen, Oct 1987 - 1997
Director at the Research Institute of the Swedish School of Economics in Helsinki, Oct 1992 - Mar 1993
Professor at the Institute of Economics, University of Copenhagen, 1997-
1987-90
Statistical methods in economics and their application to models in the financial sector in Denmark.
The aim of this project was to arrange different kinds of research activities among Danish statisticians and econometricians in particular in Copenhagen. It was financed by the Danish Research Council for the Social Sciences, from which a documentation of the research results can be obtained.
1989-91
Development of the multivariate cointegration model.
The aim of this project was to develop some new procedures for structural tests among long-run relations. It was granted by the University of Copenhagen's special fund for basic research to finance a research visit to University of California, San Diego and to finance the invitation of several international specialists in this field.
1990-92
Monetary disequilibrium. An econometric model analysis of monetary phenomena in the Nordic countries.
The aim of this project was to introduce the newest results on multivariate cointegration methods to Nordic econometricians and to apply these methods to key relations in the real and financial sector of the Nordic economies. The end result is a comparative analysis of similarities and dissimilarities in the long-run and short-run structure between the Nordic countries. It was financed by the Joint Committee of the Nordic Social Sciences Research Council.
1997-98.
Macroeconomic transmission mechanisms in the Nordic countries. Empirical applications and econometric methods.
The aim was to do comparative analyses of key macroeconomic models and relations between the Nordic countries. It was financed by the Joint Committee of the Nordic Social Sciences Research Council
1999-2002.
Macroeconomic transmission mechanisms in Europe. Empirical applications and econometric methods.
The aim is to perform comparative analyses of key macroeconomic models and relations between European and Nordic countries and develop econometric methods. The project is described in the paper 'Macroeconomic transmission mechanisms: Empirical applications and econometric methods' which is downloadable from www.econ.ku.dk/okokj/ under "Research". It is financed by the Danish Social Sciences Reserach Council.
2003-05.
Imperfect Knowledge, Structural Change, the PPP puzzle, the Long Swings Puzzle and the Exchange Rate disconnect puzzle.
The main purpose of this research proposal is to re-examine empirically the relationship between the exchange rate and macroeconomic fundamentals allowing for this relationship to change over time. Updating of expectations, as formulated in Frydman and Goldberg [2002], suggests that this temporal instability in the nominal exchange rates may be modeled approximated by a random coefficients model with constant mean effects over fairly homogeneous sub-periods. Such an econometric specification requires a further extension of the cointegrated VAR (CVAR) approach allowing for random coefficients and episodic structural change.
1979 (with Björn Whalroos) "An Economic Analysis of Finnish Property Criminality Using a Time-Varying Parameter Approach." Swedish School of Economics and Business Administration. Working Papers 29.
1980 "Finite Sample Prediction of Stationary and Noninvertible ARMA-processes. A Comparison of the CSS-Technique (Conditional Sum of Squares) and Kalman Filtering". Swedish School of Economics and Business Administration. Working Papers 39.
1980 "Dynamic Specification of an Aggregate Demand Model for Nondurables." Swedish School of Economics and Business Administration. Working Papers 55.
1981 Contribution to the discussion of D.R.Cox: "Statistical Analysis of Time Series: Some Recent Developments". Scand. J. Statistics, No. 8.
1981 "Modelling Univariate Seasonal Time Series. A Reappraisal of the Empirical Results in Prothero and Wallis: Modelling Macroeconomic Time Series". Swedish School of Economics and Business Administration. Working Papers 78.
1982 "On Specification of Dynamic Regression Models when Seasonality is Present". In: Vetenskap och företagsledning. Studier i ekonomi och ledarskap tillägnade Lars Wahlbeck. Economy and Society, 31, Publications at the Swedish School of Economics and Business Administration, Helsingfors.
1983 "Seasonality in Dynamic Regression Models. An Application to the Aggregate Demand for Beverages." Doktoral thesis. Economy and Society, 34. Publications of the Swedish School of Economics and Business Administration, Helsingfors.
1984 "Empirisk Formulering av dynamiska ekonomiska modeller" Ekonomiska Samfundets Tidskrift, No. 2.
1985 "Modelling short and long-term effects in the aggregate demand for soft drinks." International Journal of Forecasting.
1986 "The Error-Correcting-Method. An Econometric Time Series Analysis of the Demand for Money". Proceedings of the Symposium in Applied Statistics, Copenhagen.
1987 "Cointegration and Identification in a Vector Time Series Model. An Application to the Demand for Money in Denmark". Paper presented at the Econometric Society Meeting in Copenhagen 1987. Discussion Papers 88-03, Institute of Economics, University of Copenhagen.
1987 "Identification of Structural Models for the Seasonal Component: Some Simulation Results". Paper presented at the International Statistical Institute in Tokyo.
1988 "Model Based Seasonal Extraction with both Deterministic and Stochastic Seasonality. Some Simulation Results". Discussion Papers 88-04, Institute of Economics, University of Copenhagen.
1989 "Stationary disequilibrium error processes in the Danish money market. An application of maximum likelihood cointegration". Discussion Papers 89-12, Institute of Economics, University of Copenhagen, 39 pp.
1990 (with Søren Johansen) "The full information maximum likelihood procedure for inference on cointegration - with applications". Oxford Bulletin of Statistics and Economics, vol. 52, 2. pp 169-211.
1991 "Long-run relations in a well defined statistical model for the data generating process. Cointegration analysis of the ppp and the uip relations for Denmark and Germany." In Gruber, J (ed.): Econometric Decision models: New Methods of Modeling and Applications. Springer Verlag.
1991 "On the Design of Experiments when Data are Collected by Passive Observation". In Gunnar Rosenqvist, Katarina Juselius, Kenneth Nordström, Juni Palmgren (eds.): "A Spectrum of Statistical Thought. Essays in Statistical Theory, Economics and Population Genetics in Honour of Johan Fellman. Economics and Society, 46, Publications of the Swedish School of Economics and Business Administration, Helsinki, 27 pp.
1991 Discussion of E.Leamer, "A Bayesian Perspective on Inference from Macroeconomic Data". Scandinavian Journal of Economics, vol. 93, No. 2. Reprinted in Hylleberg s: and M. Paldam (eds.): New Approaches to Empirical Macroeconomics, Blackwell Publishers, UK and USA.
1992 (with Soren Johansen) "Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK". Journal of Econometrics 53, 211-244.
1992 "Domestic and Foreign Effects on Prices in an Open Economy. The Case of Denmark". Journal of Economic Policy Modeling, Vol 14, Nr 4.
1992 (with Colin Hargreaves) "Long-Run Relations in Australian Monetary Data". In Hargreaves (ed.) Macroeconomic Modelling of the Long Run, Edward Elgar, London.
1992 "On the Empirical Verification of the Purchasing Power Parity and the Uncovered Interest Rate Parity". Nationaløkonomisk tidskrift, 130, 57-66.
1992 "Modern Econometrics" Discussion of "Økonomisk vækst. En økonometrisk analyse af Danmark 1870-1981" by N. Kærgård. Nationaløkonomisk tidskrift, 130.
1993 "VAR Models and Haavelmo's Probability Approach to Macroeconomic Modelling", Empirical Economics, 18, pp. 595-622, Reprinted in Dufour, J-M and B. Raj (eds.): New Development in Time Series Econometrics, Springer-Verlag, New York.
1994 "On the Duality Between Long-Run Relations and Common trends in the I(1) and the I(2) case. An Application to Aggregate Money Holdings". Econometric Reviews 13(2), pp. 151-178.
1994 Editor of "Econometric Modelling of Long-Run Relations and Common Trends"
Volume I: Theoretical Results in the I(1) and the I(2) model, 305 pp.
Volume II: Theory with Illustrations. Methodological Questions in Empirical Macroeconomics, 314 pp.
Volume III: Nordic Applications: The Capital and the Goods Market. The Monetary Sector, 312 pp.
Volume IV: Common Treds Analysis. Long-Run Relations in the Nordic Labour Markets, 295 pp.
1994 (with Søren Johansen) "Identification of the Long-Run and Short-Run Structure. An Application to the ISLM Model." Journal of Econometrics 63, pp.7-36.
1995 (with Henrik Hansen) CATS in RATS. Manual to Cointegration Analysis of Time Series. 88 pp. Distributed by ESTIMA, Evanstone, Illinois, USA.
1995 "Domestic and Foreign Effects on Prices in an Open Economy. The Case of Denmark". Reprinted in Ericsson and J.S. Irons (eds.) Testing Exogeneity. Advanced texts in Econometrics, Oxford University Press.
1995 "Predictable and Unpredictable Components of the Lon-Run Growth in Nominal Prices". Mathematics and Computers in Simulation 39, North-Holland.
1995 "Do the purchasing power parity and the uncovered interest rate parity hold in the long run? - An Application of likelihood Inference in a Multivariate Time Series Model." Journal of Econometrics Vol. 69 (1) pp. 211-240
1996 An Empirical Analysis of the Changing role of German Bundesbank after 1983, Oxford Bulletin of Economics and Statistics, 58, pp.791-817.
1997 Understanding cointegration, in "Centres of Excellence" proceedings from the Copenhagen Cultural City conference, Unversity of Copenhagen.
1998 Changing monetary transmission mechanisms within the EU, Empirical Economics, 23, 455-481.(Empirical Economics on-line)
1998 A structured VAR under changing monetary policy, Journal of Business and Economics Statistics. 6, 400-412.
1999 Price convergence in the long run and the medium run. An I(2) analysis of six price indices, in (ed.) R. Engle and H. White, ‘Cointegration, Causality, and Forecasting’ Festschrift in Honour of Clive W.J. Granger''.
1999 ‘Models and Relations in Economics and Econometrics’, Journal of Economic Methodology 6:2, 259-290.
1999 With Elena Gennari "Dynamic modeling and structural shift: Monetary Transmission Mechanism in Italy", Institute of Economics, University of Copenhagen, Working Papers 99-12
2000 With Ronald McDonald ‘The International Parities Between USA and Germany’ , Discussion paper Institute of Economics.
2000 With David Hendry ‘Explaining Cointegration Analysis. Part 1’ The Energy Journal, 21:1, 1-42. www.econ.ku.dk/okokj/
2001 With David Hendry ‘Explaining Cointegration Analysis. Part 2’, The Energy Journal, 22:1, www.econ.ku.dk/okokj/
2001 With Søren Johansen ‘Controlling inflation in a cointegrated vector autoregressive model’ Discussion paper 03, Institute of Economics, University of Copenhagen, www.econ.ku.dk/okokj/
2001 'Unit roots and the demand for cigarettes in Turkey: Pitfalls and possibilities' Discussion paper 02, Institute of Economics, University of Copenhagen www.econ.ku.dk/okokj/
2001 'European Integration and Monetary Transmission Mechansisms: The Case of Italy' Journal of Applied Econometrics, 16: 341-358.
2005 With Juan Toro 'Monetary Transmission Mechanisms in
Spain: The Effect of Monetization, Financial Deregulation, and the EMS',
The International Journal of Money and Finance,
24, 3,
2002 With Zorica Vuojosevic, ‘High Inflation, Hyper Inflation, and Explosive Roots. The Case of Jugoslavia, Discussion Paper, 23, Institute of Economics, University of Copenhagen. Submitted for publication.
2004 With Ronald MacDonald 'The International Parities Between
USA and Japan", Japan and the World Economy, 16, 1,
1983-85 Associate editor of the Journal of Forecasting.
1985-90 Associate editor of the International Journal of Forecasting.
1993-98 Associate editor of Journal of Business and Economics Statistics
Extensive refereeing for well-known international journals like Journal of Econometrics, Journal of Monetary Economics, Journal of International Money and Finance, Empirical Economics, The
Manchester School, Journal of International Economics, European Economic Review, Journal of Applied Econometrics, Scandinavian Journal of Economics, The Review of Economics and Statistics. Empirica.
Cointegrated VAR-models for I(1) and I(2) processes.
1. General inference in the I(2) model.
2. The common trends analysis in the cointegrated VAR-model. Estimation and inference.
3. Empirical investigation of the mechanisms behind real growth in small open economies.
4. The determination of nominal growth in small open economies.
5. Small sample behaviour in cointegrated VAR-models.
6. Common features in models for nonstationary data.
7. Empirical anlysis of high and low frequency data: the difference between investment and transactions behaviour.
8. The econometrics of hyper inflation and explosive roots.
9. Bridging economics and econometrics.
Ph.D. Lisbeth LaCour, daily exchange rates
Ph.D. Henrik Hansen, cointegration theory and applied work on macroeconomic data.
Ph.D. Clara Jørgensen, applied work on the investment function.
Ph.D. Hans-Christian Kongsted , Theoretical and applied work on the Danish macroeconomic export function.
Ph.D. Jonathan Rubin, Business cycles with the European Union.
Ph.D. Kim Lind, A macroeconomic sectoral model for the Danish agriculture.