Next Article in Journal
Nonlinear Cointegrating Regression of the Earth’s Surface Mean Temperature Anomalies on Total Radiative Forcing
Next Article in Special Issue
Erratum: Hoover, K.D. 2020. The Discovery of Long-Run Causal Order: A Preliminary Investigation. Econometrics 8: 31
Previous Article in Journal
Acknowledgment to Reviewers of Econometrics in 2020
Previous Article in Special Issue
Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational
Article

Searching for a Theory That Fits the Data: A Personal Research Odyssey

Department of Economics, University of Copenhagen, DK-1353 Copenhagen, Denmark
Received: 6 July 2018 / Revised: 2 January 2021 / Accepted: 11 January 2021 / Published: 1 February 2021
(This article belongs to the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen)
This survey paper discusses the Cointegrated Vector AutoRegressive (CVAR) methodology and how it has evolved over the past 30 years. It describes major steps in the econometric development, discusses problems to be solved when confronting theory with the data, and, as a solution, proposes a so-called theory-consistent CVAR scenario. A number of early CVAR applications are motivated by the urge to find out why the empirical results did not support Milton Friedman’s concept of monetary inflation. The paper also proposes a method for combining partial CVAR analyses into a large-scale macroeconomic model. It argues that an empirically-based approach to macroeconomics preferably should be based on Keynesian disequilibrium economics, where imperfect knowledge expectations replace so called rational expectations and where the financial sector plays a key role for understanding the long persistent movements in the data. Finally, the paper argues that the CVAR is potentially a candidate for Haavelmo’s “design of experiment for passive observations” and provides several illustrations. View Full-Text
Keywords: cointegrated VAR; methodology; linking theory to evidence; empirically-based macroeconomics cointegrated VAR; methodology; linking theory to evidence; empirically-based macroeconomics
Show Figures

Figure 1

MDPI and ACS Style

Juselius, K. Searching for a Theory That Fits the Data: A Personal Research Odyssey. Econometrics 2021, 9, 5. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9010005

AMA Style

Juselius K. Searching for a Theory That Fits the Data: A Personal Research Odyssey. Econometrics. 2021; 9(1):5. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9010005

Chicago/Turabian Style

Juselius, Katarina. 2021. "Searching for a Theory That Fits the Data: A Personal Research Odyssey" Econometrics 9, no. 1: 5. https://0-doi-org.brum.beds.ac.uk/10.3390/econometrics9010005

Find Other Styles
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop