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Details about Johan Lyhagen

E-mail:
Homepage:http://www.anst.uu.se/jolyh103/
Phone:+46 18 471 2844
Postal address:Department of Statistics Uppsala University P.O. 513 SE-751 20 Uppsala Sweden

Access statistics for papers by Johan Lyhagen.

Last updated 2009-09-07. Update your information in the RePEc Author Service.

Short-id: ply8


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Working Papers

2007

  1. Testing for Purchasing Power Parity in Cointegrated Panels
    Working Paper Series, Uppsala University, Department of Economics Downloads View citations (1)
    Also in IMF Working Papers, International Monetary Fund (2007) Downloads

2002

  1. Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data Downloads View citations (3)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2002) Downloads View citations (9)

    See also Journal Article in Econometrics Journal (2008)

2001

  1. A method to generate multivariate data with moments arbitrary close to the desired moments
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads
  2. On seasonal error correction when the processes include different numbers of unit roots
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (1)
    See also Journal Article in Journal of Forecasting (2003)
  3. Using A Trade-induced Catch-up Model to Explain China's Provincial Economic Growth 1978-97
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads

2000

  1. Likelihood-Based Inference in Multivariate Panel Cointegration Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (1)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1999) Downloads View citations (24)
  2. Testing for common cointegrating rank in dynamic panels
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (4)
  3. The seasonal KPSS statistic
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (2)
  4. Why not use standard panel unit root test for testing PPP
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (31)

1999

  1. A Simple Linear Time Series Model with Misleading Nonlinear Properties
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (11)
    See also Journal Article in Economics Letters (1999)
  2. A long memory panel unit root test: PPP revisited
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (2)
  3. An ARCH Robust STAR Test
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (2)
  4. Efficient estimation of price adjustment coefficients
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (1)
  5. Forecasting performance of seasonal cointegration models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (2)
    See also Journal Article in International Journal of Forecasting (2002)
  6. Starting values in estimation of cointegrating vectors with restrictions
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
  7. Testing for Independence in Multivariate Duration Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (2)

1998

  1. Likelihood-Based Cointegration Tests in Heterogeneous Panels
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (37)
    See also Journal Article in Econometrics Journal (2001)
  2. Maximum likelihood estimation of the multivariate fractional cointegrating model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (4)

1997

  1. The Effect of Precautionary Saving on Consumption in Sweden
    Working Papers, National Institute of Economic Research Downloads View citations (11)

1996

  1. Short and Long Run Dependence in Swedish Stock Returns
    Working Paper Series, Uppsala University, Department of Economics View citations (10)

Journal Articles

2008

  1. Inflation, exchange rates and PPP in a multivariate panel cointegration model
    Econometrics Journal, 2008, 11, (1), 58-79 Downloads View citations (3)
    See also Working Paper (2002)

2007

  1. Inference in Panel Cointegration Models With Long Panels
    Journal of Business & Economic Statistics, 2007, 25, 473-483 Downloads View citations (11)

2005

  1. The exact covariance matrix of dynamic models with latent variables
    Statistics & Probability Letters, 2005, 75, (2), 133-139 Downloads

2003

  1. On seasonal error correction when the processes include different numbers of unit roots
    Journal of Forecasting, 2003, 22, (5), 377-389 Downloads
    See also Working Paper (2001)

2002

  1. Forecasting performance of seasonal cointegration models
    International Journal of Forecasting, 2002, 18, (1), 31-44 Downloads View citations (3)
    See also Working Paper (1999)

2001

  1. Likelihood-based cointegration tests in heterogeneous panels
    Econometrics Journal, 2001, 4, (1), 41 View citations (190)
    See also Working Paper (1998)

1999

  1. A simple linear time series model with misleading nonlinear properties
    Economics Letters, 1999, 65, (3), 281-284 Downloads View citations (10)
    See also Working Paper (1999)
  2. Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation
    Computational Statistics & Data Analysis, 1999, 30, (4), 457-469 Downloads View citations (2)

1997

  1. A matrix evaluation of the moving-average representation
    Economics Letters, 1997, 55, (2), 179-183 Downloads
 
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