约翰森和尤塞柳斯对宏观计量经济学的贡献——科睿唯安“引文桂冠”经济学奖得主学术贡献评介

Contributions of Johansen and Juselius to Macroeconometrics

瑟伦·约翰森和卡塔琳娜·尤塞柳斯是当代著名计量经济学家,他们最突出的贡献是建立了基于向量自回归模型的协整系统理论,将其发展为研究宏观经济非平稳时间序列长短期关系的主要框架。他们详尽分析了协整VAR模型的参数估计、假设检验、经济关系识别等问题,通过对基准模型不断施加经济理论和数据结构的假设约束,得到贴合真实世界的计量模型和相对可靠的经济结论。这种建模方法能帮助经济学家避免分析中的证实偏差,是宏观计量经济理论的重要组成部分之一。

Soren Johansen and Katarina Juselius are well-known econometricians and professors of economics at University of Copenhagen.Their outstanding contribution lies in proposing the cointegration system theory based on a vector autoregressive model,which has been developed into the main framework to study short-and long-term effects in macroeconomic non-stationary time-series.They explore in detail the parameter estimation,hypothesis testing and identification of economic relationship of the cointegration VAR model.And they successively add constraints from the economic theory and data structure to the benchmark model,in order to obtain more realistic econometric model and more reliable economic conclusions.This method,which helps economists avoid the confirmation bias in their analysis,becomes an important part of macroeconometric theory.