A Conversation with Søren Johansen

Rocco Mosconi and Paolo Paruolo
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Rocco Mosconi: Dipartimento di Ingegneria Gestionale, Politecnico di Milano, Via Lambruschini 4/B, 20156 Milano, Italy

Econometrics, 2022, vol. 10, issue 2, 1-16

Abstract: 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 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusses inter alia the following issues: estimation and inference for nonstationary time series of the I(1), I(2) and fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and practice of Statistics and Econometrics.

Keywords: cointegration; fractional (co-)integration; statistical model; survival analysis; VAR; I(1); I(2) (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jecnmx:v:10:y:2022:i:2:p:21-:d:793005

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