Details about Sune Karlsson

Sune Karlsson edits the NEP report on Econometrics.

Access statistics for papers by Sune Karlsson.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: pka1

Working Papers

2024

1. US Interest Rates: Are Relations Stable?
   Working Papers, Örebro University, School of Business

2023

2. A Note of Caution on the Relation Between Money Growth and Inflation
   IMF Working Papers, International Monetary Fund View citations (2)
   Also in Working Papers, Örebro University, School of Business (2023) View citations (2)
   See also Journal Article A note of caution on the relation between money growth and inflation, Scottish Journal of Political Economy, Scottish Economic Society (2023) (2023)
3. Does Money Growth Predict Inflation? Evidence from Vector Autoregressions Using Four Centuries of Data
   Working Papers, Örebro University, School of Business

2021

4. Vector autoregression models with skewness and heavy tails
   Papers, arXiv.org View citations (12)
   Also in Working Papers, Örebro University, School of Business (2021) View citations (11)
   See also Journal Article Vector autoregression models with skewness and heavy tails, Journal of Economic Dynamics and Control, Elsevier (2023) View citations (8) (2023)

2020

5. Flexible Fat-tailed Vector Autoregression
   Working Papers, Örebro University, School of Business View citations (4)
6. Statistical Inference for the Tangency Portfolio in High Dimension
   Working Papers, Örebro University, School of Business View citations (2)

2019

7. New ways to measure well-being? A first joint analysis of subjective and objective measures
   Working Papers, Örebro University, School of Business
8. The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?
   Working Papers, Örebro University, School of Business
   See also Journal Article The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?, Economics Letters, Elsevier (2020) View citations (7) (2020)

2018

9. A Note on the Stability of the Swedish Philips Curve
   Working Papers, Örebro University, School of Business View citations (1)
   See also Journal Article A note on the stability of the Swedish Phillips curve, Empirical Economics, Springer (2020) View citations (4) (2020)
10. Is the US Phillips Curve Stable? Evidence from Bayesian VARs
    Working Papers, Örebro University, School of Business View citations (6)

2017

11. Subjective and physiological measures of well-being: an exploratory analysis using birth-cohort data
    Working Papers, Örebro University, School of Business

2015

12. Bayesian Inference in Regression Models with Ordinal Explanatory Variables
    Working Papers, Örebro University, School of Business

2012

13. Conditional posteriors for the reduced rank regression model
    Working Papers, Örebro University, School of Business View citations (2)
14. Forecasting with Bayesian Vector Autoregressions
    Working Papers, Örebro University, School of Business View citations (21)
    See also Chapter Forecasting with Bayesian Vector Autoregression, Handbook of Economic Forecasting, Elsevier (2013) View citations (96) (2013)

2007

15. An Embarrassment of Riches: Forecasting Using Large Panels
    Economics, Department of Economics, Central bank of Iceland View citations (4)
    Also in Working Papers, Örebro University, School of Business (2007) View citations (3)
16. Bayesian Forecast Combination for VAR Models
    Working Papers, Örebro University, School of Business View citations (29)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2007) View citations (15)
    See also Chapter Bayesian forecast combination for VAR models, Advances in Econometrics, Emerald Group Publishing Limited (2008) (2008)
17. Computational Efficiency in Bayesian Model and Variable Selection
    Working Papers, Örebro University, School of Business View citations (2)
    Also in Economics, Department of Economics, Central bank of Iceland (2007) View citations (2)
18. FDI and Job Creation in China
    Working Paper Series, Research Institute of Industrial Economics View citations (7)

2006

19. Bayesian simultaneous determination of structural breaks and lag lengths
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2008) View citations (2) (2008)

2005

20. Forecast Combination and Model Averaging Using Predictive Measures
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (21)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2005) View citations (21)
    See also Journal Article Forecast Combination and Model Averaging Using Predictive Measures, Econometric Reviews, Taylor & Francis Journals (2007) View citations (84) (2007)

2004

21. Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
22. Seasonality, Cycles and Unit Roots
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (1)

2002

23. Asymptotics for random effects models with serial correlation
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data
24. Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (12)
    See also Journal Article Finding good predictors for inflation: a Bayesian model averaging approach, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) View citations (40) (2004)

2001

25. Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
26. Specification and estimation of random effects models with serial correlation of general form
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)

2000

27. Bootstrapping Error Component Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
    See also Journal Article Bootstrapping Error Component Models, Computational Statistics, Springer (2001) View citations (4) (2001)
28. Maximum-Likelihood Based Inference in the Two-Way Random Effects Model with Serially Correlated Time Effects
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (1)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2000) View citations (1)
    See also Journal Article Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects, Empirical Economics, Springer (2004) View citations (12) (2004)

1999

29. On the power and interpretation of panel unit root tests
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
    See also Journal Article On the power and interpretation of panel unit root tests, Economics Letters, Elsevier (2000) View citations (142) (2000)
30. RePEc and S-WoPEc: Internet access to electronic preprints in Economics
    RePEc and ReDIf documentation, RePEc Team View citations (2)
31. Testing and Correcting for Sample Selection Bias in Discrete Choice Contingent Valuation Studies
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (5)

1997

32. Computationally Efficient Double Bootstrap Variance Estimation
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
    See also Journal Article Computationally efficient double bootstrap variance estimation, Computational Statistics & Data Analysis, Elsevier (2000) (2000)
33. Lag-length Selection in VAR-models Using Equal and Unequal Lag-Length Procedures
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)

1994

34. Numerical Aspects of Bayesian VAR-modeling
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
    See also Journal Article Numerical Methods for Estimation and Inference in Bayesian VAR-Models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1997) View citations (498) (1997)

1989

35. FORECASTING WITH BAYESIAN VECTOR AUTOREGRESSIONS
    Purdue University Economics Working Papers, Purdue University, Department of Economics View citations (3)

Journal Articles

2023

1. A note of caution on the relation between money growth and inflation
   Scottish Journal of Political Economy, 2023, 70, (5), 479-496
   See also Working Paper A Note of Caution on the Relation Between Money Growth and Inflation, IMF Working Papers (2023) View citations (2) (2023)
2. Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions
   Scandinavian Journal of Economics, 2023, 125, (1), 287-314 View citations (3)
3. Vector autoregression models with skewness and heavy tails
   Journal of Economic Dynamics and Control, 2023, 146, (C) View citations (8)
   See also Working Paper Vector autoregression models with skewness and heavy tails, Papers (2021) View citations (12) (2021)

2020

4. A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States
   Economics Letters, 2020, 197, (C) View citations (9)
5. A note on the stability of the Swedish Phillips curve
   Empirical Economics, 2020, 59, (6), 2573-2612 View citations (4)
   See also Working Paper A Note on the Stability of the Swedish Philips Curve, Working Papers (2018) View citations (1) (2018)
6. The relation between the corporate bond-yield spread and the real economy: Stable or time-varying?
   Economics Letters, 2020, 186, (C) View citations (7)
   See also Working Paper The Relation between the Corporate Bond-Yield Spread and the Real Economy: Stable or TimeVarying?, Working Papers (2019) (2019)

2019

7. Volatilities, drifts and the relation between treasury yields and the corporate bond yield spread in australia
   Finance Research Letters, 2019, 30, (C), 378-384 View citations (1)

2009

8. Foreign Firms and Chinese Employment
   The World Economy, 2009, 32, (1), 178-201 View citations (35)

2008

9. Bayesian Simultaneous Determination of Structural Breaks and Lag Lengths
   Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 29 View citations (2)
   See also Working Paper Bayesian simultaneous determination of structural breaks and lag lengths, SSE/EFI Working Paper Series in Economics and Finance (2006) (2006)

2007

10. Forecast Combination and Model Averaging Using Predictive Measures
    Econometric Reviews, 2007, 26, (2-4), 329-363 View citations (84)
    See also Working Paper Forecast Combination and Model Averaging Using Predictive Measures, CEPR Discussion Papers (2005) View citations (21) (2005)

2004

11. Finding good predictors for inflation: a Bayesian model averaging approach
    Journal of Forecasting, 2004, 23, (7), 479-496 View citations (40)
    See also Working Paper Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach, Working Paper Series (2002) View citations (12) (2002)
12. Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects
    Empirical Economics, 2004, 29, (1), 79-88 View citations (12)
    See also Working Paper Maximum-Likelihood Based Inference in the Two-Way Random Effects Model with Serially Correlated Time Effects, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (1) (2000)

2001

13. Bootstrapping Error Component Models
    Computational Statistics, 2001, 16, (2), 221-231 View citations (4)
    See also Working Paper Bootstrapping Error Component Models, SSE/EFI Working Paper Series in Economics and Finance (2000) View citations (2) (2000)

2000

14. Computationally efficient double bootstrap variance estimation
    Computational Statistics & Data Analysis, 2000, 33, (3), 237-247
    See also Working Paper Computationally Efficient Double Bootstrap Variance Estimation, SSE/EFI Working Paper Series in Economics and Finance (1997) View citations (1) (1997)
15. On the power and interpretation of panel unit root tests
    Economics Letters, 2000, 66, (3), 249-255 View citations (142)
    See also Working Paper On the power and interpretation of panel unit root tests, SSE/EFI Working Paper Series in Economics and Finance (1999) View citations (4) (1999)

1997

16. Numerical Methods for Estimation and Inference in Bayesian VAR-Models
    Journal of Applied Econometrics, 1997, 12, (2), 99-132 View citations (498)
    See also Working Paper Numerical Aspects of Bayesian VAR-modeling, SSE/EFI Working Paper Series in Economics and Finance (1994) (1994)

1993

17. Forecasting the Swedish unemployment rate VAR vs. transfer function modelling
    International Journal of Forecasting, 1993, 9, (1), 61-76 View citations (12)

Chapters

2013

1. Forecasting with Bayesian Vector Autoregression
   Elsevier View citations (96)
   See also Working Paper Forecasting with Bayesian Vector Autoregressions, Örebro University, School of Business (2012) View citations (21) (2012)

2008

2. Bayesian forecast combination for VAR models
   A chapter in Bayesian Econometrics, 2008, pp 501-524
   See also Working Paper Bayesian Forecast Combination for VAR Models, Örebro University, School of Business (2007) View citations (29) (2007)

Software Items

2021

1. NEWSIMPACT: Stata module to compute news impact curve for ARCH models
   Statistical Software Components, Boston College Department of Economics

2016

2. remi: Mirror RePEc data
   RePEc scripts, RePEc Team

2008

3. ARCHQQ: Stata module to generate Q-Q plot and distribution tests for ARCH models
   Statistical Software Components, Boston College Department of Economics
4. ARMADIAG: Stata module to compute post-estimation residual diagnostics for time series
   Statistical Software Components, Boston College Department of Economics
5. ARMAROOTS: Stata module to compute roots of AR- and MA-polynomials
   Statistical Software Components, Boston College Department of Economics