Jouni Sohkanen
Jouni Sohkanen
Room: G18e
University of St Andrews,
School of Economics and Finance,
St. Andrews, Fife, KY16 9AR,
Scotland, U.K.
Office Hours by appointment
Tel: 2419
Email: jss8st-andrews.ac.uk


Before joining the School of Economics & Finance at St Andrews, I worked in economic consulting. While completing my D.Phil (PhD) studies at the University of Oxford, I was a research assistant at the Institute for New Economic Thinking at the Oxford Martin School. I hold an MA and an M.Phil from the same university.


Research Interests

My work aims to improve the reliability of statistical methods used in empirical econometric modelling by reducing context dependence of the standard toolbox. This includes work on the individual and joint behavior of mis-specification tests, as well as on the joint problem of specification and inference. My applied interests include the detection of breaks in the volatility of macroeconomic time series, and the time series aspects of natural experiments.

Recent Publications

‘Asymptotic behavior of the cusum of squares test under stochastic and deterministic time trends’, Econometric Theory,  27(4), 2011, pp. 913-927 (with Bent Nielsen)

Working Papers

  •  ‘On the finite sample behavior of the cusum of squares tests’, working paper, 2010

Work in Progress

  • Behaviour of the cusum of squares of recursive residuals in processes with both explosive and non-explosive roots
  • Joint mis-specification testing and inference in autoregressions

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