This Special Issue was organized in relation to the fifth Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, which took place at the Institute for Advanced Studies in Vienna on 9 June and 10 June 2022 [...]

In Pötscher and Preinerstorfer (2022) and in the abridged version Pötscher and Preinerstorfer (2024, published in Econometrica) we have tried to clear up the confusion introduced in Hansen (2022a) and in the earlier versions Hansen (2021a,b). Unfortunatelly, Hansen's (2024) reply to Pötscher...

We show that the theorems in Hansen (2021b) (Econometrica, forthcoming) are not new as they coincide with classical theorems like the good old Gauss-Markov or Aitken Theorem, respectively.

We show that the theorems in Hansen (2021a) (the version accepted by Econometrica), except for one, are not new as they coincide with classical theorems like the good old Gauss-Markov or Aitken Theorem, respectively; the exceptional theorem is incorrect. Hansen (2021b)corrects this theorem. As a...