Details about Johan Lyhagen

Access statistics for papers by Johan Lyhagen.

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

Short-id: ply8

Working Papers

2007

1. Testing for Purchasing Power Parity in Cointegrated Panels
   Working Paper Series, Uppsala University, Department of Economics View citations (3)

2002

2. 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 View citations (8)
   Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2002) View citations (12)
   See also Journal Article Inflation, exchange rates and PPP in a multivariate panel cointegration model, Econometrics Journal, Royal Economic Society (2008) View citations (7) (2008)

2001

3. 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
4. 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 View citations (1)
   See also Journal Article On seasonal error correction when the processes include different numbers of unit roots, Journal of Forecasting, John Wiley & Sons, Ltd. (2003) (2003)
5. 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

2000

6. Likelihood-Based Inference in Multivariate Panel Cointegration Models
   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 (1999) View citations (36)
7. Testing for common cointegrating rank in dynamic panels
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (8)
8. The seasonal KPSS statistic
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (3)
9. Why not use standard panel unit root test for testing PPP
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (46)

1999

10. 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 A simple linear time series model with misleading nonlinear properties, Economics Letters, Elsevier (1999) View citations (11) (1999)
11. A long memory panel unit root test: PPP revisited
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (4)
12. An ARCH Robust STAR Test
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
13. Efficient estimation of price adjustment coefficients
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
14. Forecasting performance of seasonal cointegration models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
    See also Journal Article Forecasting performance of seasonal cointegration models, International Journal of Forecasting, Elsevier (2002) View citations (4) (2002)
15. Starting values in estimation of cointegrating vectors with restrictions
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics
16. Testing for Independence in Multivariate Duration Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)

1998

17. Likelihood-Based Cointegration Tests in Heterogeneous Panels
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (44)
    See also Journal Article Likelihood-based cointegration tests in heterogeneous panels, Econometrics Journal, Royal Economic Society (2001) View citations (289) (2001)
18. Maximum likelihood estimation of the multivariate fractional cointegrating model
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (6)

1997

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

1996

20. Short and Long Run Dependence in Swedish Stock Returns
    Working Paper Series, Uppsala University, Department of Economics View citations (12)

Journal Articles

2008

1. Inflation, exchange rates and PPP in a multivariate panel cointegration model
   Econometrics Journal, 2008, 11, (1), 58-79 View citations (7)
   See also Working Paper Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model, 10th International Conference on Panel Data, Berlin, July 5-6, 2002 (2002) View citations (8) (2002)

2007

2. Inference in Panel Cointegration Models With Long Panels
   Journal of Business & Economic Statistics, 2007, 25, 473-483 View citations (16)

2005

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

2003

4. On seasonal error correction when the processes include different numbers of unit roots
   Journal of Forecasting, 2003, 22, (5), 377-389
   See also Working Paper On seasonal error correction when the processes include different numbers of unit roots, SSE/EFI Working Paper Series in Economics and Finance (2001) View citations (1) (2001)

2002

5. Forecasting performance of seasonal cointegration models
   International Journal of Forecasting, 2002, 18, (1), 31-44 View citations (4)
   See also Working Paper Forecasting performance of seasonal cointegration models, SSE/EFI Working Paper Series in Economics and Finance (1999) View citations (2) (1999)

2001

6. Likelihood-based cointegration tests in heterogeneous panels
   Econometrics Journal, 2001, 4, (1), 41 View citations (289)
   See also Working Paper Likelihood-Based Cointegration Tests in Heterogeneous Panels, SSE/EFI Working Paper Series in Economics and Finance (1998) View citations (44) (1998)

1999

7. A simple linear time series model with misleading nonlinear properties
   Economics Letters, 1999, 65, (3), 281-284 View citations (11)
   See also Working Paper A Simple Linear Time Series Model with Misleading Nonlinear Properties, SSE/EFI Working Paper Series in Economics and Finance (1999) View citations (11) (1999)
8. 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 View citations (2)

1997

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