This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

This paper discusses the notion of cointegrating space for linear processes integrated of any order. It first shows that the notions of (polynomial) cointegrating vectors and of root functions coincide. Second, it discusses how the cointegrating space can be defined (i) as a vector space of...

This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...

This paper investigates possible structural changes induced by the Euro on the relations among wages, prices and unemployment for the five major European economies. The dynamic adjustment and the level relations are found to be different across subperiods as well as across countries. During the...

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

This paper discusses the notion of cointegrating space for linear processes integrated of any order. It first shows that the notions of (polynomial) cointegrating vectors and of root functions coincide. Second, it discusses how the cointegrating space can be defined (i) as a vector space of...