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Details about Joakim Westerlund

Homepage:https://sites.google.com/site/perjoakimwesterlund/
Workplace:Department of Economics, Business School, Deakin University, (more information at EDIRC)
Nationalekonomiska Institutionen (Department of Economics), Ekonomihögskolan (Lund School of Economics), Lunds Universitet (Lund University), (more information at EDIRC)

Access statistics for papers by Joakim Westerlund.

Last updated 2023-12-05. Update your information in the RePEc Author Service.

Short-id: pwe289


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Working Papers

2023

  1. A factor-augmented new Keynesian Phillips curve for the European Union countries
    Bank of Lithuania Working Paper Series, Bank of Lithuania Downloads
  2. Difference-in-Differences via Common Correlated Effects
    Working Paper, Economics Department, Queen's University Downloads
  3. Interactive-effects panel-data models with general factors and regressors
    French Stata Users' Group Meetings 2023, Stata Users Group Downloads
    Also in Papers, arXiv.org (2021) Downloads View citations (2)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2021) Downloads View citations (2)
  4. Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending
    Papers, arXiv.org Downloads
    Also in Discussion Papers, Department of Economics, University of Birmingham (2023) Downloads
    BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen (2023) Downloads
  5. Simple Difference-in-Differences Estimation in Fixed-T Panels
    Papers, arXiv.org Downloads View citations (1)

2022

  1. TESTING FACTORS IN CCE
    Working Paper, Economics Department, Queen's University Downloads
    See also Journal Article Testing factors in CCE, Economics Letters, Elsevier (2023) Downloads (2023)

2021

  1. Estimation of Panel Data Models with Interactive Effects and Multiple Structural Breaks When T Is Fixed
    Working Papers, Lund University, Department of Economics Downloads
  2. Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) Downloads View citations (2) (2023)
  3. Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata
    Discussion Papers, Department of Economics, University of Birmingham Downloads View citations (23)
    Also in Papers, arXiv.org (2021) Downloads View citations (22)
  4. The Factor Analytical Approach in Trending Near Unit Root Panels
    Bank of Lithuania Working Paper Series, Bank of Lithuania Downloads View citations (3)
    See also Journal Article The factor analytical approach in trending near unit root panels, Journal of Time Series Analysis, Wiley Blackwell (2022) Downloads View citations (2) (2022)

2020

  1. Essays in Honor of Professor Badi H Baltagi: Editorial
    MPRA Paper, University Library of Munich, Germany Downloads

2015

  1. Does cash flow predict returns?
    Working Papers, Deakin University, Department of Economics Downloads
    See also Journal Article Does cash flow predict returns?, International Review of Financial Analysis, Elsevier (2014) Downloads View citations (4) (2014)
  2. PANICCA - PANIC on Cross-Section Averages
    Working Papers, Lund University, Department of Economics View citations (2)
    See also Journal Article Panicca: Panic on Cross‐Section Averages, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) Downloads View citations (25) (2016)
  3. Testing for predictability in panels with general predictors
    Working Papers, Deakin University, Department of Economics Downloads
    See also Journal Article Testing for Predictability in panels with General Predictors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (16) (2017)
  4. Testing for stock return predictability in a large Chinese panel
    Working Papers, Deakin University, Department of Economics Downloads View citations (24)
    See also Journal Article Testing for stock return predictability in a large Chinese panel, Emerging Markets Review, Elsevier (2015) Downloads View citations (23) (2015)

2014

  1. A Factor Analytical Approach to Price Discovery
    Working Papers, Lund University, Department of Economics View citations (1)
    See also Journal Article A Factor Analytical Approach to Price Discovery, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2017) Downloads View citations (3) (2017)
  2. A Factor Analytical Method to Interactive Effects Dynamic Panel Models with or without Unit Root
    Working Papers, Lund University, Department of Economics Downloads
  3. A factor analytical approach to the efficient futures market hypothesis
    Working Papers, Deakin University, Department of Economics Downloads View citations (1)
    See also Journal Article A Factor Analytical Approach to the Efficient Futures Market Hypothesis, Journal of Futures Markets, John Wiley & Sons, Ltd. (2015) Downloads View citations (9) (2015)
  4. A practical note on the determination of the number of factors using information criteria with data-driven penalty
    Working Papers, Deakin University, Department of Economics
  5. A random coefficient approach to the predictability of stock returns in panels
    Working Papers, Deakin University, Department of Economics Downloads View citations (15)
    See also Journal Article A Random Coefficient Approach to the Predictability of Stock Returns in Panels, Journal of Financial Econometrics, Oxford University Press (2015) Downloads View citations (18) (2015)
  6. CCE estimation of factor-augmented regression models with more factors than observables
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) Downloads View citations (6)
    See also Journal Article CCE estimation of factor‐augmented regression models with more factors than observables, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) Downloads View citations (10) (2019)
  7. Do oil prices predict economic growth? New global evidence
    Working Papers, Deakin University, Department of Economics Downloads View citations (89)
    See also Journal Article Do oil prices predict economic growth? New global evidence, Energy Economics, Elsevier (2014) Downloads View citations (86) (2014)
  8. Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors
    Working Papers, Lund University, Department of Economics
    See also Journal Article Estimation of factor-augmented panel regressions with weakly influential factors, Econometric Reviews, Taylor & Francis Journals (2018) Downloads View citations (6) (2018)
  9. GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
  10. Heteroskedasticity robust panel unit root tests
    Working Papers, Deakin University, Department of Economics Downloads View citations (3)
    See also Journal Article Heteroscedasticity Robust Panel Unit Root Tests, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) Downloads View citations (10) (2014)
  11. On the asymptotic distribution of the DF-GLS test statistic
    Working Papers, Deakin University, Department of Economics Downloads View citations (2)
  12. On the importance of the first observation in GLS detrending in unit root testing
    Working Papers, Deakin University, Department of Economics Downloads View citations (1)
    See also Journal Article On the Importance of the First Observation in GLS Detrending in Unit Root Testing, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2015) Downloads View citations (1) (2015)
  13. Pooled panel unit root tests and the effect of past initialization
    Working Papers, Deakin University, Department of Economics Downloads
    See also Journal Article Pooled Panel Unit Root Tests and the Effect of Past Initialization, Econometric Reviews, Taylor & Francis Journals (2016) Downloads View citations (1) (2016)
  14. Testing for predictability in conditionally heteroskedastic stock returns
    Working Papers, Deakin University, Department of Economics Downloads View citations (20)
    See also Journal Article Testing for Predictability in Conditionally Heteroskedastic Stock Returns, Journal of Financial Econometrics, Oxford University Press (2015) Downloads View citations (125) (2015)
  15. Testing for predictability in panels of small time series dimensions with an application to Chinese stock returns
    Working Papers, Deakin University, Department of Economics View citations (1)
  16. Testing slope homogeneity in large panels with serial correlation
    Working Papers, Deakin University, Department of Economics Downloads
    See also Journal Article Testing slope homogeneity in large panels with serial correlation, Economics Letters, Elsevier (2013) Downloads View citations (81) (2013)
  17. The local power of the CADF and CIPS panel unit root tests
    Working Papers, Deakin University, Department of Economics Downloads View citations (3)
    See also Journal Article The Local Power of the CADF and CIPS Panel Unit Root Tests, Econometric Reviews, Taylor & Francis Journals (2016) Downloads View citations (6) (2016)

2013

  1. Robust block bootstrap panel predictability tests
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) Downloads View citations (1)
    See also Journal Article Robust block bootstrap panel predictability tests, Econometric Reviews, Taylor & Francis Journals (2019) Downloads View citations (4) (2019)

2012

  1. Does the choice of estimator matter when forecasting returns?
    Working Papers, Deakin University, Department of Economics Downloads View citations (176)
    See also Journal Article Does the choice of estimator matter when forecasting returns?, Journal of Banking & Finance, Elsevier (2012) Downloads View citations (179) (2012)

2011

  1. Cross sectional averages or principal components?
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (16)
  2. Nonparametric Rank Tests for Non-stationary Panels
    Economics Series, Institute for Advanced Studies Downloads
    See also Journal Article Nonparametric rank tests for non-stationary panels, Journal of Econometrics, Elsevier (2015) Downloads View citations (7) (2015)

2009

  1. Are Crime Rates Really Stationary?
    Working Papers, Lund University, Department of Economics Downloads
    Also in Working Papers in Economics, University of Gothenburg, Department of Economics (2009) Downloads
  2. Myths and Facts about Panel Unit Root Tests
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads View citations (4)
  3. Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads
  4. Testing for Unit Roots in Panel Time Series Models with Multiple Breaks
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads
  5. Testing for a Unit Root in a Random Coefficient Panel Data Model
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads
    See also Journal Article Testing for a unit root in a random coefficient panel data model, Journal of Econometrics, Elsevier (2012) Downloads View citations (7) (2012)
  6. The Tax-Spending Nexus: Evidence from a Panel of US State- Local Governments
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads View citations (1)
    Also in Working Papers, College of Business, University of Texas at San Antonio (2008) Downloads

    See also Journal Article The tax-spending nexus: Evidence from a panel of US state-local governments, Economic Modelling, Elsevier (2011) Downloads View citations (15) (2011)
  7. Using Panel Data to Construct Simple and Efficient Unit Root Tests in the Presence of GARCH
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads

2008

  1. Panel Cointegration and the Monetary Exchange Rate Model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article Panel cointegration and the monetary exchange rate model, Economic Modelling, Elsevier (2009) Downloads View citations (33) (2009)
  2. Panel error correction testing with global stochastic trends
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (24)
  3. Spurious Regression in Nonstationary Panels time Series with Cross-Member Cointegration
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads
  4. Why is Chinese Regional Output Diverging?
    Working Papers, Lund University, Department of Economics View citations (1)

2007

  1. A Note on the Pooling of Individual PANIC Unit Root Tests
    Working Papers, Lund University, Department of Economics Downloads View citations (8)
    See also Journal Article A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2009) Downloads View citations (9) (2009)
  2. Mixed Signals Among Tests for Panel Cointegration
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article Mixed signals among tests for panel cointegration, Economic Modelling, Elsevier (2008) Downloads View citations (3) (2008)
  3. Simple Tests for Cointegration in Dependent Panels with Structural Breaks
    Working Papers, Lund University, Department of Economics View citations (12)
    See also Journal Article A Simple Test for Cointegration in Dependent Panels with Structural Breaks*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2008) Downloads View citations (249) (2008)
  4. Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
    See also Journal Article Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data, Environmental & Resource Economics, Springer (2008) Downloads View citations (99) (2008)

2006

  1. Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article Can panel data really improve the predictability of the monetary exchange rate model?, Journal of Forecasting, John Wiley & Sons, Ltd. (2007) Downloads View citations (6) (2007)
  2. Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (21)
    See also Journal Article Is there really a unit root in the inflation rate? More evidence from panel data models, Applied Economics Letters, Taylor & Francis Journals (2007) Downloads View citations (5) (2007)
  3. New Improved Tests for Cointegration with Structural Breaks
    Working Papers, Lund University, Department of Economics View citations (11)
    See also Journal Article New Improved Tests for Cointegration with Structural Breaks, Journal of Time Series Analysis, Wiley Blackwell (2007) Downloads View citations (39) (2007)
  4. Panel Cointegration and the Neutrality of Money
    Working Papers, Lund University, Department of Economics View citations (2)
    See also Journal Article Panel cointegration and the neutrality of money, Empirical Economics, Springer (2009) Downloads View citations (14) (2009)
  5. Panel cointegration tests of the Fisher effect
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (2)
    See also Journal Article Panel cointegration tests of the Fisher effect, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2008) Downloads View citations (200) (2008)
  6. Some cautions on the use of the LLC panel unit root test
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (1)
  7. Spurious regression in nonstationary panels with cross-unit cointegration
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (27)
  8. Testing for error correction in panel data
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (1)
    Also in Working Papers, Lund University, Department of Economics (2005) View citations (7)

    See also Journal Article Testing for Error Correction in Panel Data*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2007) Downloads View citations (1720) (2007)

2005

  1. New Simple Tests for Panel Cointegration
    Working Papers, Lund University, Department of Economics View citations (269)
    See also Journal Article New Simple Tests for Panel Cointegration, Econometric Reviews, Taylor & Francis Journals (2005) Downloads View citations (295) (2005)
  2. Panel Cointegration Tests of the Fisher Hypothesis
    Working Papers, Lund University, Department of Economics View citations (3)
  3. Panel Cointegration Tests with Deterministic Trends and Structural Breaks
    Working Papers, Lund University, Department of Economics Downloads View citations (2)
  4. Pooled Unit Root Tests in Panels with a Common Factor
    Working Papers, Lund University, Department of Economics Downloads View citations (1)
  5. Testing for Panel Cointegration with Multiple Structural Breaks
    Working Papers, Lund University, Department of Economics View citations (10)
    See also Journal Article Testing for Panel Cointegration with Multiple Structural Breaks*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) Downloads View citations (150) (2006)
  6. The Present Value Model, Farmland Prices and Structural Breaks
    2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists Downloads View citations (1)

2003

  1. A Panel CUSUM Test of the Null of Cointegration
    Working Papers, Lund University, Department of Economics
    See also Journal Article A Panel CUSUM Test of the Null of Cointegration, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) Downloads View citations (22) (2005)
  2. A Panel Data Test of the Bank Lending Channel in Sweden
    Working Papers, Lund University, Department of Economics Downloads View citations (13)
  3. Feasible Estimation in Cointegrated Panels
    Working Papers, Lund University, Department of Economics View citations (4)

Journal Articles

2023

  1. Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed
    Journal of Business & Economic Statistics, 2023, 41, (3), 778-790 Downloads View citations (1)
  2. Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
    Journal of Business & Economic Statistics, 2023, 41, (3), 653-666 Downloads View citations (2)
    See also Working Paper Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19, Papers (2021) Downloads View citations (3) (2021)
  3. Testing factors in CCE
    Economics Letters, 2023, 230, (C) Downloads
    See also Working Paper TESTING FACTORS IN CCE, Working Paper (2022) Downloads (2022)

2022

  1. CCE in heterogenous fixed-T panels
    (To pool or not to pool: Homogeneous versus heterogenous estimators applied to cigarette demand)
    The Econometrics Journal, 2022, 25, (3), 719-738 Downloads View citations (1)
  2. Estimating the Speed of Adjustment of Leverage in the Presence of Interactive Effects*
    (The Determinants of Capital Structure: Capital Market-Oriented versus Bank-Oriented Institutions)
    Journal of Financial Econometrics, 2022, 20, (5), 942-960 Downloads
  3. Panel data measures of price discovery
    Econometric Reviews, 2022, 41, (3), 269-290 Downloads View citations (2)
  4. Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
    Journal of Business & Economic Statistics, 2022, 40, (4), 1745-1758 Downloads
  5. The factor analytical approach in trending near unit root panels
    Journal of Time Series Analysis, 2022, 43, (3), 501-508 Downloads View citations (2)
    See also Working Paper The Factor Analytical Approach in Trending Near Unit Root Panels, Bank of Lithuania Working Paper Series (2021) Downloads View citations (3) (2021)

2021

  1. Breaks in persistence in fixed-T panel data
    Economics Letters, 2021, 205, (C) Downloads
  2. Essays in honor of Professor Badi H Baltagi
    Empirical Economics, 2021, 60, (1), 1-11 Downloads
  3. Forecasting using cross-section average–augmented time series regressions
    The Econometrics Journal, 2021, 24, (2), 315-333 Downloads View citations (4)
  4. On the robustness of the pooled CCE estimator
    Journal of Econometrics, 2021, 220, (2), 325-348 Downloads View citations (14)
  5. The factor analytical approach in near unit root interactive effects panels
    Journal of Econometrics, 2021, 221, (2), 569-590 Downloads View citations (6)

2020

  1. A cross‐section average‐based principal components approach for fixed‐T panels
    Journal of Applied Econometrics, 2020, 35, (6), 776-785 Downloads
  2. Fixed effects demeaning in the presence of interactive effects in treatment effects regressions and elsewhere
    Journal of Applied Econometrics, 2020, 35, (7), 960-964 Downloads View citations (5)

2019

  1. CCE estimation of factor‐augmented regression models with more factors than observables
    Journal of Applied Econometrics, 2019, 34, (2), 268-284 Downloads View citations (10)
    See also Working Paper CCE estimation of factor-augmented regression models with more factors than observables, Research Memorandum (2014) Downloads View citations (6) (2014)
  2. CCE in fixed‐T panels
    Journal of Applied Econometrics, 2019, 34, (5), 746-761 Downloads View citations (20)
  3. Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data
    Journal of Time Series Analysis, 2019, 40, (2), 248-255 Downloads View citations (2)
  4. Lag truncation and the local asymptotic distribution of the ADF test for a unit root
    Statistical Papers, 2019, 60, (6), 2109-2118 Downloads View citations (1)
  5. On CCE estimation of factor-augmented models when regressors are not linear in the factors
    Economics Letters, 2019, 178, (C), 5-7 Downloads View citations (10)
  6. On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
    Journal of Time Series Analysis, 2019, 40, (5), 852-857 Downloads View citations (5)
  7. Optimal panel unit root testing with covariates
    The Econometrics Journal, 2019, 22, (1), 57-72 Downloads View citations (3)
  8. Panel evidence on the ability of oil returns to predict stock returns in the G7 area
    Energy Economics, 2019, 77, (C), 3-12 Downloads View citations (12)
  9. Panel stationary tests against changes in persistence
    Statistical Papers, 2019, 60, (4), 1079-1100 Downloads
  10. Robust block bootstrap panel predictability tests
    Econometric Reviews, 2019, 38, (9), 1089-1107 Downloads View citations (4)
    See also Working Paper Robust block bootstrap panel predictability tests, Research Memorandum (2013) Downloads View citations (1) (2013)
  11. Testing additive versus interactive effects in fixed-T panels
    Economics Letters, 2019, 174, (C), 5-8 Downloads View citations (3)
  12. The factor analytical method for interactive effects dynamic panel models with moving average errors
    Econometrics and Statistics, 2019, 11, (C), 83-104 Downloads View citations (1)

2018

  1. Asymptotic collinearity in CCE estimation of interactive effects models
    Economic Modelling, 2018, 70, (C), 331-337 Downloads View citations (2)
  2. CCE in panels with general unknown factors
    Econometrics Journal, 2018, 21, (3), 264-276 Downloads View citations (19)
  3. Estimation of factor-augmented panel regressions with weakly influential factors
    Econometric Reviews, 2018, 37, (5), 401-465 Downloads View citations (6)
    See also Working Paper Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors, Working Papers (2014) (2014)
  4. Islamic spot and index futures markets: Where is the price discovery?
    Pacific-Basin Finance Journal, 2018, 52, (C), 123-133 Downloads View citations (6)
  5. On the Use of GLS Demeaning in Panel Unit Root Testing
    Journal of Business & Economic Statistics, 2018, 36, (2), 309-320 Downloads View citations (1)
  6. Some preliminary evidence of price discovery in Islamic banks
    Pacific-Basin Finance Journal, 2018, 52, (C), 107-122 Downloads View citations (10)
  7. Subnational government tax revenue capacity and effort convergence: New evidence from sequential unit root tests
    Economic Modelling, 2018, 73, (C), 174-183 Downloads View citations (2)
  8. Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
    Journal of Business & Economic Statistics, 2018, 36, (3), 493-504 Downloads View citations (5)

2017

  1. A Factor Analytical Approach to Price Discovery
    Oxford Bulletin of Economics and Statistics, 2017, 79, (3), 366-394 Downloads View citations (3)
    See also Working Paper A Factor Analytical Approach to Price Discovery, Working Papers (2014) View citations (1) (2014)
  2. Are state–local government expenditures converging? New evidence based on sequential unit root tests
    Empirical Economics, 2017, 53, (2), 373-403 Downloads View citations (1)
  3. On the determination of the number of factors using information criteria with data-driven penalty
    Statistical Papers, 2017, 58, (1), 161-184 Downloads
  4. On the role of the rank condition in CCE estimation of factor-augmented panel regressions
    Journal of Econometrics, 2017, 197, (1), 60-64 Downloads View citations (27)
  5. Testing for Predictability in panels with General Predictors
    Journal of Applied Econometrics, 2017, 32, (3), 554-574 Downloads View citations (16)
    See also Working Paper Testing for predictability in panels with general predictors, Working Papers (2015) Downloads (2015)

2016

  1. A GARCH model for testing market efficiency
    Journal of International Financial Markets, Institutions and Money, 2016, 41, (C), 121-138 Downloads View citations (41)
  2. An IV Test for a Unit Root in Generally Trending and Correlated Panels
    Oxford Bulletin of Economics and Statistics, 2016, 78, (5), 752-764 Downloads View citations (1)
  3. Are Islamic stock returns predictable? A global perspective
    Pacific-Basin Finance Journal, 2016, 40, (PA), 210-223 Downloads View citations (54)
  4. Error Correction Testing in Panels with Common Stochastic Trends
    Journal of Applied Econometrics, 2016, 31, (6), 982-1004 Downloads View citations (26)
  5. Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi-squared and Normal Limiting Distributions
    Oxford Bulletin of Economics and Statistics, 2016, 78, (3), 347-364 Downloads View citations (3)
  6. On the estimation and testing of predictive panel regressions
    Journal of International Financial Markets, Institutions and Money, 2016, 45, (C), 115-125 Downloads View citations (2)
  7. Panel bootstrap tests of slope homogeneity
    Empirical Economics, 2016, 50, (4), 1359-1381 Downloads View citations (3)
  8. Panel multi-predictor test procedures with an application to emerging market sovereign risk
    Emerging Markets Review, 2016, 28, (C), 44-60 Downloads View citations (2)
  9. Panicca: Panic on Cross‐Section Averages
    Journal of Applied Econometrics, 2016, 31, (6), 961-981 Downloads View citations (25)
    See also Working Paper PANICCA - PANIC on Cross-Section Averages, Working Papers (2015) View citations (2) (2015)
  10. Pooled Panel Unit Root Tests and the Effect of Past Initialization
    Econometric Reviews, 2016, 35, (3), 396-427 Downloads View citations (1)
    See also Working Paper Pooled panel unit root tests and the effect of past initialization, Working Papers (2014) Downloads (2014)
  11. Price discovery and asset pricing
    Pacific-Basin Finance Journal, 2016, 40, (PA), 224-235 Downloads View citations (18)
  12. Testing for predictability in panels of any time series dimension
    International Journal of Forecasting, 2016, 32, (4), 1162-1177 Downloads View citations (10)
  13. The Local Power of the CADF and CIPS Panel Unit Root Tests
    Econometric Reviews, 2016, 35, (5), 845-870 Downloads View citations (6)
    See also Working Paper The local power of the CADF and CIPS panel unit root tests, Working Papers (2014) Downloads View citations (3) (2014)

2015

  1. A Factor Analytical Approach to the Efficient Futures Market Hypothesis
    Journal of Futures Markets, 2015, 35, (4), 357-370 Downloads View citations (9)
    See also Working Paper A factor analytical approach to the efficient futures market hypothesis, Working Papers (2014) Downloads View citations (1) (2014)
  2. A Random Coefficient Approach to the Predictability of Stock Returns in Panels
    Journal of Financial Econometrics, 2015, 13, (3), 605-664 Downloads View citations (18)
    See also Working Paper A random coefficient approach to the predictability of stock returns in panels, Working Papers (2014) Downloads View citations (15) (2014)
  3. A sequential purchasing power parity test for panels of large cross-sections and implications for investors
    The European Journal of Finance, 2015, 21, (15), 1317-1333 Downloads View citations (3)
  4. Cross-sectional averages versus principal components
    Journal of Econometrics, 2015, 185, (2), 372-377 Downloads View citations (72)
  5. Do order imbalances predict Chinese stock returns? New evidence from intraday data
    Pacific-Basin Finance Journal, 2015, 34, (C), 136-151 Downloads View citations (29)
  6. New tools for understanding the local asymptotic power of panel unit root tests
    Journal of Econometrics, 2015, 188, (1), 59-93 Downloads View citations (5)
  7. Nonparametric rank tests for non-stationary panels
    Journal of Econometrics, 2015, 185, (2), 378-391 Downloads View citations (7)
    See also Working Paper Nonparametric Rank Tests for Non-stationary Panels, Economics Series (2011) Downloads (2011)
  8. On the Importance of the First Observation in GLS Detrending in Unit Root Testing
    Oxford Bulletin of Economics and Statistics, 2015, 77, (1), 152-161 Downloads View citations (1)
    See also Working Paper On the importance of the first observation in GLS detrending in unit root testing, Working Papers (2014) Downloads View citations (1) (2014)
  9. On the use of panel cointegration tests in energy economics
    Energy Economics, 2015, 50, (C), 359-363 Downloads View citations (13)
  10. Rethinking the Univariate Approach to Panel Unit Root Testing: Using Covariates to Resolve the Incidental Trend Problem
    Journal of Business & Economic Statistics, 2015, 33, (3), 430-443 Downloads View citations (1)
  11. Testing for Predictability in Conditionally Heteroskedastic Stock Returns
    Journal of Financial Econometrics, 2015, 13, (2), 342-375 Downloads View citations (125)
    See also Working Paper Testing for predictability in conditionally heteroskedastic stock returns, Working Papers (2014) Downloads View citations (20) (2014)
  12. Testing for stock return predictability in a large Chinese panel
    Emerging Markets Review, 2015, 24, (C), 81-100 Downloads View citations (23)
    See also Working Paper Testing for stock return predictability in a large Chinese panel, Working Papers (2015) Downloads View citations (24) (2015)
  13. The effect of recursive detrending on panel unit root tests
    Journal of Econometrics, 2015, 185, (2), 453-467 Downloads View citations (9)
  14. The power of PANIC
    Journal of Econometrics, 2015, 185, (2), 495-509 Downloads View citations (4)

2014

  1. A simple test for nonstationarity in mixed panels with incidental trends
    Economics Letters, 2014, 125, (2), 160-163 Downloads
  2. Do oil prices predict economic growth? New global evidence
    Energy Economics, 2014, 41, (C), 137-146 Downloads View citations (86)
    See also Working Paper Do oil prices predict economic growth? New global evidence, Working Papers (2014) Downloads View citations (89) (2014)
  3. Does cash flow predict returns?
    International Review of Financial Analysis, 2014, 35, (C), 230-236 Downloads View citations (4)
    See also Working Paper Does cash flow predict returns?, Working Papers (2015) Downloads (2015)
  4. Heteroscedasticity Robust Panel Unit Root Tests
    Journal of Business & Economic Statistics, 2014, 32, (1), 112-135 Downloads View citations (10)
    See also Working Paper Heteroskedasticity robust panel unit root tests, Working Papers (2014) Downloads View citations (3) (2014)
  5. Indirect Estimation of Semiparametric Binary Choice Models
    Oxford Bulletin of Economics and Statistics, 2014, 76, (2), 298-314 Downloads View citations (2)
  6. On the choice of test for a unit root when the errors are conditionally heteroskedastic
    Computational Statistics & Data Analysis, 2014, 69, (C), 40-53 Downloads View citations (3)
  7. Panel versus GARCH information in unit root testing with an application to financial markets
    Economic Modelling, 2014, 41, (C), 173-176 Downloads View citations (4)

2013

  1. A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
    Journal of Time Series Analysis, 2013, 34, (4), 477-495 Downloads View citations (6)
  2. A modified LLC panel unit root test of the PPP hypothesis
    Empirical Economics, 2013, 44, (2), 833-860 Downloads View citations (1)
  3. Alternative representations for cointegrated panels with global stochastic trends
    Economics Letters, 2013, 118, (3), 485-488 Downloads View citations (2)
  4. Lessons from a Decade of IPS and LLC
    Econometric Reviews, 2013, 32, (5-6), 547-591 Downloads View citations (45)
  5. On the estimation and inference in factor-augmented panel regressions with correlated loadings
    Economics Letters, 2013, 119, (3), 247-250 Downloads View citations (110)
  6. On the implementation and use of factor-augmented regressions in panel data
    Journal of Asian Economics, 2013, 28, (C), 3-11 Downloads View citations (72)
  7. PANIC in the Presence of Uncertainty about the Deterministic Trend
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 123-135 Downloads
  8. Simple unit root testing in generally trending data with an application to precious metal prices in Asia
    Journal of Asian Economics, 2013, 28, (C), 12-27 Downloads View citations (2)
  9. Testing slope homogeneity in large panels with serial correlation
    Economics Letters, 2013, 121, (3), 374-378 Downloads View citations (81)
    See also Working Paper Testing slope homogeneity in large panels with serial correlation, Working Papers (2014) Downloads (2014)
  10. Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets
    Journal of Futures Markets, 2013, 33, (11), 1024-1045 Downloads View citations (24)

2012

  1. Does the choice of estimator matter when forecasting returns?
    Journal of Banking & Finance, 2012, 36, (9), 2632-2640 Downloads View citations (179)
    See also Working Paper Does the choice of estimator matter when forecasting returns?, Working Papers (2012) Downloads View citations (176) (2012)
  2. Effects of rent dependency on quality of government
    Economics of Governance, 2012, 13, (2), 145-168 Downloads View citations (18)
  3. Efficient but getting wet feet: A not-entirely-frivolous note on the side-effects of growth-promoting institutions
    Economics Letters, 2012, 115, (1), 118-121 Downloads
  4. TESTING FOR UNIT ROOTS IN PANEL TIME-SERIES MODELS WITH MULTIPLE LEVEL BREAKS
    Manchester School, 2012, 80, (6), 671-699 Downloads View citations (6)
  5. Testing for a unit root in a random coefficient panel data model
    Journal of Econometrics, 2012, 167, (1), 254-273 Downloads View citations (7)
    See also Working Paper Testing for a Unit Root in a Random Coefficient Panel Data Model, Working Papers in Economics (2009) Downloads (2009)

2011

  1. A new poolability test for cointegrated panels
    Journal of Applied Econometrics, 2011, 26, (1), 56-88 Downloads View citations (9)
  2. Financial systems and mechanisms of growth in different conditions of country risk
    Applied Economics Letters, 2011, 18, (11), 1021-1028 Downloads View citations (3)
  3. Fiscal stringency and fiscal sustainability: Panel evidence from the American state and local governments
    Journal of Policy Modeling, 2011, 33, (6), 953-969 Downloads View citations (47)
  4. Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends
    Oxford Bulletin of Economics and Statistics, 2011, 73, (1), 119-139 View citations (12)
  5. The tax-spending nexus: Evidence from a panel of US state-local governments
    Economic Modelling, 2011, 28, (3), 885-890 Downloads View citations (15)
    See also Working Paper The Tax-Spending Nexus: Evidence from a Panel of US State- Local Governments, Working Papers in Economics (2009) Downloads View citations (1) (2009)

2010

  1. Panel cointegration tests of the sustainability hypothesis in rich OECD countries
    Applied Economics, 2010, 42, (11), 1355-1364 Downloads View citations (49)
  2. Why is Chinese provincial output diverging?
    Journal of Asian Economics, 2010, 21, (4), 333-344 Downloads View citations (10)

2009

  1. A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS
    Econometric Theory, 2009, 25, (6), 1851-1868 Downloads View citations (9)
    See also Working Paper A Note on the Pooling of Individual PANIC Unit Root Tests, Working Papers (2007) Downloads View citations (8) (2007)
  2. A note on the use of the LLC panel unit root test
    Empirical Economics, 2009, 37, (3), 517-531 Downloads View citations (9)
  3. Estimating the gravity model without gravity using panel data
    Applied Economics, 2009, 43, (6), 641-649 Downloads View citations (55)
  4. Panel cointegration and the monetary exchange rate model
    Economic Modelling, 2009, 26, (2), 506-513 Downloads View citations (33)
    See also Working Paper Panel Cointegration and the Monetary Exchange Rate Model, MPRA Paper (2008) Downloads View citations (4) (2008)
  5. Panel cointegration and the neutrality of money
    Empirical Economics, 2009, 36, (1), 1-26 Downloads View citations (14)
    See also Working Paper Panel Cointegration and the Neutrality of Money, Working Papers (2006) View citations (2) (2006)
  6. Using Panel Data to Test for Fiscal Sustainability within the European Union
    FinanzArchiv: Public Finance Analysis, 2009, 65, (2), 246-269 Downloads View citations (8)

2008

  1. A Simple Test for Cointegration in Dependent Panels with Structural Breaks*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 665-704 Downloads View citations (249)
    See also Working Paper Simple Tests for Cointegration in Dependent Panels with Structural Breaks, Working Papers (2007) View citations (12) (2007)
  2. Error-correction–based cointegration tests for panel data
    Stata Journal, 2008, 8, (2), 232-241 Downloads View citations (320)
  3. Mixed signals among tests for panel cointegration
    Economic Modelling, 2008, 25, (1), 128-136 Downloads View citations (3)
    See also Working Paper Mixed Signals Among Tests for Panel Cointegration, MPRA Paper (2007) Downloads View citations (1) (2007)
  4. Panel cointegration tests of the Fisher effect
    Journal of Applied Econometrics, 2008, 23, (2), 193-233 Downloads View citations (200)
    See also Working Paper Panel cointegration tests of the Fisher effect, Research Memorandum (2006) Downloads View citations (2) (2006)
  5. Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data
    Environmental & Resource Economics, 2008, 40, (1), 109-120 Downloads View citations (99)
    See also Working Paper Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data, MPRA Paper (2007) Downloads View citations (9) (2007)

2007

  1. A panel bootstrap cointegration test
    Economics Letters, 2007, 97, (3), 185-190 Downloads View citations (229)
  2. Can panel data really improve the predictability of the monetary exchange rate model?
    Journal of Forecasting, 2007, 26, (5), 365-383 Downloads View citations (6)
    See also Working Paper Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?, MPRA Paper (2006) Downloads View citations (2) (2006)
  3. Class size and student evaluations in Sweden
    Education Economics, 2007, 16, (1), 19-28 Downloads
  4. Farmland prices, structural breaks and panel data
    European Review of Agricultural Economics, 2007, 34, (2), 161-179 Downloads View citations (27)
  5. Is there really a unit root in the inflation rate? More evidence from panel data models
    Applied Economics Letters, 2007, 15, (3), 161-164 Downloads View citations (5)
    See also Working Paper Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models, MPRA Paper (2006) Downloads View citations (21) (2006)
  6. New Improved Tests for Cointegration with Structural Breaks
    Journal of Time Series Analysis, 2007, 28, (2), 188-224 Downloads View citations (39)
    See also Working Paper New Improved Tests for Cointegration with Structural Breaks, Working Papers (2006) View citations (11) (2006)
  7. Testing for Error Correction in Panel Data*
    Oxford Bulletin of Economics and Statistics, 2007, 69, (6), 709-748 Downloads View citations (1720)
    See also Working Paper Testing for error correction in panel data, Research Memorandum (2006) Downloads View citations (1) (2006)

2006

  1. Reducing the size distortions of the panel LM Test for cointegration
    Economics Letters, 2006, 90, (3), 384-389 Downloads View citations (2)
  2. Testing for Panel Cointegration with Multiple Structural Breaks*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (1), 101-132 Downloads View citations (150)
    See also Working Paper Testing for Panel Cointegration with Multiple Structural Breaks, Working Papers (2005) View citations (10) (2005)
  3. Testing for panel cointegration with a level break
    Economics Letters, 2006, 91, (1), 27-33 Downloads View citations (43)

2005

  1. A Panel CUSUM Test of the Null of Cointegration
    Oxford Bulletin of Economics and Statistics, 2005, 67, (2), 231-262 Downloads View citations (22)
    See also Working Paper A Panel CUSUM Test of the Null of Cointegration, Working Papers (2003) (2003)
  2. Data Dependent Endogeneity Correction in Cointegrated Panels
    Oxford Bulletin of Economics and Statistics, 2005, 67, (5), 691-705 Downloads View citations (9)
  3. New Simple Tests for Panel Cointegration
    Econometric Reviews, 2005, 24, (3), 297-316 Downloads View citations (295)
    See also Working Paper New Simple Tests for Panel Cointegration, Working Papers (2005) View citations (269) (2005)

Undated

  1. Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis
    Journal of Financial Econometrics, 5, (3), 491-522 Downloads View citations (27)

Software Items

2022

  1. XTBREAK: Stata module for detecting and dating multiple structural breaks in time series and panel data
    Statistical Software Components, Boston College Department of Economics Downloads

Editor

  1. Empirical Economics
    Springer
 
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