Joakim Westerlund

A Factor-Augmented New Keynesian Phillips Curve for the European Union Countries

Milda Norkute, Joakim Westerlund
(2024) Oxford Bulletin of Economics and Statistics
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CCE under Non-Random Heterogeneity

Joakim Westerlund, Yousef Kaddoura
(2024) Econometrics Journal
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Multiple Structural Breaks in Interactive Effects Panel Data Models

Joakim Westerlund, Ioannis Karavias, Jan Ditzen
(2024) Journal of Applied Econometrics
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Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19

Yiannis Karavias, Paresh Kumar Narayan, Joakim Westerlund
(2023) Journal of Business and Economic Statistics, 41 p.653-666
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Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed

Yousef Kaddoura, Joakim Westerlund
(2023) Journal of Business and Economic Statistics, 41 p.778-790
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Using Information Criteria to Select Averages in CCE

Joakim Westerlund, Luca Margaritella
(2023) Econometrics Journal
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Testing Factors in CCE

Nicholas Brown, Joakim Westerlund
(2023) Economics Letters, 230
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Interactive Effects Panel Data Models with General Factors and Regressors

Joakim Westerlund, Liangjun Su, Bin Peng, Yanrong Yang
(2023) Econometric Theory
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Mostly Panel Econometrics : Essays on Asymptotic Analysis and Enhanced Inference

Ovidijus Stauskas, Joakim Westerlund, Ignace De Vos, Milda Norkute
(2022) Lund Economic Studies
Doktorsavhandling

Panel data measures of price discovery

Hande Karabiyik, Joakim Westerlund, Paresh Narayan
(2022) Econometric Reviews, 41 p.269-290
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The factor analytical approach in trending near unit root panels

Joakim Westerlund, Milda Norkutė, Ovidijus Stauskas
(2022) Journal of Time Series Analysis, 43 p.501-508
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Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*

Ovidijus Stauskas, Joakim Westerlund
(2022) Journal of Business and Economic Statistics, 40 p.1745-1758
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CCE in Heterogenous Fixed-T Panels

Joakim Westerlund, Yousef Kaddoura
(2022) Econometrics Journal, 25 p.719-738
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Breaks in persistence in fixed-T panel data

Joakim Westerlund, Marcus Nordström
(2021) Economics Letters, 205
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Essays in honor of Professor Badi H Baltagi

Qi Li, Vasilis Sarafidis, Joakim Westerlund
(2021) Empirical Economics, 60 p.1-11
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Estimation of Panel Data Models with Interactive Effects and Multiple Structural Breaks When T Is Fixed

Yousef Kaddoura, Joakim Westerlund
(2021) Working Papers
Working paper

On the Robustness of the Pooled CCE Estimator

Arturas Juodis, Hande Karabiyik, Joakim Westerlund
(2021) Journal of Econometrics, 220 p.325-348
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The factor analytical approach in near unit root interactive effects panels

Milda Norkutė, Joakim Westerlund
(2021) Journal of Econometrics, 221 p.569-590
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Fixed Effects Demeaning in the Presence of Interactive Effects in Treatment Effects Regressions and Elsewhere

Yana Petrova, Joakim Westerlund
(2020) Journal of Applied Econometrics, 35 p.960-964
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A cross-section average-based principal components approach for fixed-T panels

Joakim Westerlund
(2020) Journal of Applied Econometrics, 35 p.776-785
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The Factor Analytical Approach in Near Unit Root Panels

Joakim Westerlund, Milda Norkute
(2020) Journal of Econometrics
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Lag truncation and the local asymptotic distribution of the ADF test for a unit root

Emre Aylar, Stephan Smeekes, Joakim Westerlund
(2019) Statistical Papers, 60 p.2109-2118
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Panel stationary tests against changes in persistence

Roy Cerqueti, Mauro Costantini, Luciano Gutierrez, Joakim Westerlund
(2019) Statistical Papers, 60 p.1079-1100
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On CCE estimation of factor-augmented models when regressors are not linear in the factors

Ignace De Vos, Joakim Westerlund
(2019) Economics Letters, 178 p.5-7
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On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects

Joakim Westerlund
(2019) Journal of Time Series Analysis, 40 p.852-857
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Common Breaks in Means for Cross-Correlated Fixed-T Panel Data

Joakim Westerlund
(2019) Journal of Time Series Analysis, 40 p.248-255
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Robust Block Bootstrap Panel Predictability Tests

Stephan Smeekes, Joakim Westerlund
(2019) Econometric Reviews, 38 p.1089-1107
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Panel Evidence on the Ability of Oil Returns to Predict Stock Returns in the G7 Area

Joakim Westerlund, Susan Sharma
(2019) Energy Economics, 77 p.3-12
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Optimal Panel Unit Root Testing with Covariates

Arturas Joudis, Joakim Westerlund
(2019) Econometrics Journal, 22 p.57-72
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CCE Estimation of Factor-Augmented Regression Models with more Factors than Observables

Hande Karabiyik, Jean-Pierre Urbain, Joakim Westerlund
(2019) Journal of Applied Econometrics, 34 p.268-284
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Testing additive versus interactive effects in fixed-[Formula presented] panels

Joakim Westerlund
(2019) Economics Letters, 174 p.5-8
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The factor analytical method for interactive effects dynamic panel models with moving average errors

Milda Norkutė, Joakim Westerlund
(2019) Econometrics and Statistics, 11 p.83-104
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CCE in fixed-T panels

Joakim Westerlund, Yana Petrova, Milda Norkute
(2019) Journal of Applied Econometrics, 34 p.746-761
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Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels

Donald Robertson, Vasilis Sarafidis, Joakim Westerlund
(2018) Journal of Business & Economic Statistics, 36 p.493-504
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Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors

Simon Reese, Joakim Westerlund
(2018) Econometric Reviews, 37 p.401-465
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Subnational government tax revenue capacity and effort convergence : New evidence from sequential unit root tests

Saeid Mahdavi, Joakim Westerlund
(2018) Economic Modelling, 73 p.174-183
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On the Use of GLS Demeaning in Panel Unit Root Testing

Joakim Westerlund
(2018) Journal of Business & Economic Statistics, 36 p.309-320
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Islamic spot and index futures markets : Where is the price discovery?

Hande Karabiyik, Paresh Kumar Narayan, Dinh Hoang Bach Phan, Joakim Westerlund
(2018) Pacific Basin Finance Journal, 52 p.123-133
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CCE in Panels with General Unknown Factors

Joakim Westerlund
(2018) Econometrics Journal, 21 p.264-276
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Some preliminary evidence of price discovery in Islamic banks

Paresh Kumar Narayan, Susan Sunila Sharma, Kannan Sivananthan Thuraisamy, Joakim Westerlund
(2018) Pacific Basin Finance Journal, 52 p.107-122
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Asymptotic Collinearity in CCE Estimation of Interactive Effects Models

Joakim Westerlund, Yana Petrova
(2018) Economic Modelling, 70 p.331-337
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Are State-local Government Expenditures Converging? : New Evidence Based on Sequential Unit Root Tests

Joakim Westerlund, Saeid Mahdavi
(2017) Empirical Economics, 53 p.373-403
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A Factor Analytical Approach to Price Discovery

Joakim Westerlund, Simon Reese, Paresh Narayan
(2017) Oxford Bulletin of Economics and Statistics, 79 p.366-394
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Likelihood Ratio Tests for a Unit Root in Panels with Random Effects

Rolf Larsson, Johan Lyhagen, Joakim Westerlund
(2017) Statistics, 51 p.627-654
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Testing for Predictability in Panels with General Predictors

Joakim Westerlund, Hande Karabiyik, Paresh Narayan
(2017) Journal of Applied Econometrics, 32 p.554-574
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On the determination of the number of factors using information criteria with data-driven penalty

Joakim Westerlund, Sagarika Mishra
(2017) Statistical Papers, 58 p.161-184
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On the Role of the Rank Condition in CCE Estimation of Factor-Augmented Panel Regressions

Joakim Westerlund, Simon Reese, Hande Karabiyik
(2017) Journal of Econometrics, 197 p.60-64
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An IV Test for a Unit Root in Generally Trending and Correlated Panels

Joakim Westerlund
(2016) Oxford Bulletin of Economics and Statistics, 78 p.752-764
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Error Correction Testing in Panels with Common Stochastic Trends

Christian Gengenbach, Jean Pierre Urbain, Joakim Westerlund
(2016) Journal of Applied Econometrics, 31 p.982-1004
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Panel Multi-Predictor Test Procedures with an Application to Emerging Market Sovereign Risk

Joakim Westerlund, Kannan Thuraisamy
(2016) Emerging Markets Review, 28 p.44-60
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A Simple Test for Nonstationarity in Mixed Panels: A Further Investigation

Joakim Westerlund
(2016) Journal of Statistical Planning and Inference, 173
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Panel bootstrap tests of slope homogeneity

Johan Blomquist, Joakim Westerlund
(2016) Empirical Economics, 50 p.1359-1381
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Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi-squared and Normal Limiting Distributions

Joakim Westerlund, Mehdi Hosseinkouchack
(2016) Oxford Bulletin of Economics and Statistics , p.347-364
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Pooled Panel Unit Root Tests and the Effect of Past Initialization

Joakim Westerlund
(2016) Econometric Reviews, 35 p.396-427
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The Local Power of the CADF and CIPS Panel Unit Root Tests

Joakim Westerlund, Mehdi Hosseinkouchack, Martin Solberger
(2016) Econometric Reviews, 35 p.845-870
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A GARCH Model for Testing Market Efficiency

Joakim Westerlund, Paresh Narayan, Puipeng Liu
(2016) Journal of International Financial Markets, Institutions, and Money, 41 p.121-138
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Testing for predictability in panels of any time series dimension

Joakim Westerlund, Paresh Narayan
(2016) International Journal of Forecasting, 32 p.1162-1177
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The Asymptotic Distribution of the CADF Unit Root Test in the Presence of Heterogeneous AR(p) Errors

Joakim Westerlund
(2016) Statistical Papers, 57 p.303-317
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On the Estimation and Testing of Predictive Panel Regressions

Hande Karabiyik, Joakim Westerlund, Paresh Kumar Narayan
(2016) Journal of International Financial Markets, Institutions, and Money, 45 p.115-125
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Are Islamic Stock Returns Predictable? A Global Perspective

Joakim Westerlund, Paresh Narayan, Susan Sharma, Dinh Phan
(2016) Pacific Basin Finance Journal, 40 p.210-223
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Price Discovery and Asset Pricing

Joakim Westerlund, Susan Sharma, Paresh Narayan, Kannan Thuraisamy
(2016) Pacific Basin Finance Journal, 40 p.224-235
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A sequential purchasing power parity test for panels of large cross- sections and implications for investors

Joakim Westerlund, Paresh Narayan
(2015) European Journal of Finance, 21 p.1317-1333
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New Tools for Understanding the Local Asymptotic Power of Panel Unit Root Tests

Joakim Westerlund, Rolf Larsson
(2015) Journal of Econometrics, 188 p.59-93
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Panicca: Panic on Cross-Section Averages

Simon Reese, Joakim Westerlund
(2015) Journal of Applied Econometrics , p.1-21
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A Factor Analytical Approach to the Efficient Futures Market Hypothesis

Joakim Westerlund, Milda Norkute, Paresh Narayan
(2015) Journal of Futures Markets, 35 p.357-370
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Nonparametric Rank Tests for Non-Stationary Panels

Peter Pedroni, Timothy Vogelsang, Martin Wagner, Joakim Westerlund
(2015) Journal of Econometrics , p.378-391
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Rethinking the Univariate Approach to Panel Unit Root Testing: Using Covariates to Resolve the Incidental Trend Problem: Using Covariates to Resolve the Incidental Trend Problem

Joakim Westerlund
(2015) Journal of Business & Economic Statistics, 33 p.430-443
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Testing for stock return predictability in a large Chinese panel

Joakim Westerlund, Paresh Kumar Narayan, Xinwei Zheng
(2015) Emerging Markets Review, 24 p.81-100
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On the Use of Panel Cointegration Tests in Energy Economics

Joakim Westerlund, Kannan Thuraisamy, Susan Sharma
(2015) Energy Economics, 50 p.359-363
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The Effect of Recursive Detrending on Panel Unit Root Tests

Joakim Westerlund
(2015) Journal of Econometrics, 185 p.453-467
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Nonparametric rank tests for non-stationary panels

Peter L. Pedroni, Timothy J. Vogelsang, Martin Wagner, Joakim Westerlund
(2015) Journal of Econometrics, 185 p.378-391
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The Power of PANIC

Joakim Westerlund
(2015) Journal of Econometrics, 185 p.495-509
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Cross-Sectional Averages versus Principal Components

Joakim Westerlund, Jean-Pierre Urbain
(2015) Journal of Econometrics, 185 p.372-377
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PANICCA - PANIC on Cross-Section Averages

Simon Reese, Joakim Westerlund
(2015) Journal of Applied Econometrics
Working paper

A Factor Analytical Approach to Price Discovery

Simon Reese, Joakim Westerlund, Paresh Narayan
(2015) Working Paper / Department of Economics, School of Economics and Management, Lund University
Working paper

Do order imbalances predict Chinese stock returns? New evidence from intraday data

Paresh Kumar Narayan, Seema Narayan, Joakim Westerlund
(2015) Pacific-Basin Finance Journal, 34 p.136-151
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Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series

Joakim Westerlund, Paresh Narayan, Mauro Costantini
(2014) Communications in Statistics: Simulation and Computation
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A Random Coefficient Approach to the Predictability of Stock Returns in Panels

Joakim Westerlund, Paresh Narayan
(2014) Journal of Financial Econometrics
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Testing for Predictability in Conditionally Heteroskedastic Stock Returns

Joakim Westerlund, Paresh Narayan
(2014) Journal of Financial Econometrics
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Heteroskedasticity Robust Panel Unit Root Tests

Joakim Westerlund
(2014) Journal of Business & Economic Statistics, 32 p.112-135
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Panel versus GARCH Information in Unit Root Testing with an Application to Financial Markets

Joakim Westerlund, Paresh Narayan
(2014) Economic Modelling, Volume 41 p.173-176
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Do Oil Prices Predict Economic Growth? New Global Evidence

Paresh Narayan, Susan Sharma, Wai Ching Poon, Joakim Westerlund
(2014) Energy Economics, 41 p.137-146
Artikel i tidskrift

Does Cash Flow Predict Returns?

Paresh Narayan, Joakim Westerlund
(2014) International Review of Financial Analysis, 35 p.230-236
Artikel i tidskrift

A Simple Test for Nonstationarity in Mixed Panels with Incidental Trends

Joakim Westerlund
(2014) Economics Letters, 125 p.160-163
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Indirect Estimation of Semiparametric Binary Choice Models

Joakim Westerlund, Per Hjertstrand
(2014) Oxford Bulletin of Economics and Statistics, 76 p.299-314
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On the Choice of Test for a Unit Root when the Errors are Conditionally Heteroskedastic

Joakim Westerlund
(2014) Computational Statistics & Data Analysis, 69 p.40-53
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A Non-Stationary Panel Data Investigation of the Unemployment–Crime Relationship

Johan Blomquist, Joakim Westerlund
(2014) Social Science Research, 44 p.114-125
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A modified LLC panel unit root test of the PPP hypothesis

Joakim Westerlund, Johan Blomquist
(2013) Empirical Economics, 44 p.833-860
Artikel i tidskrift

Testing slope homogeneity in large panels with serial correlation

Johan Blomquist, Joakim Westerlund
(2013) Economics Letters, 121 p.374-378
Artikel i tidskrift

PANIC in the Presence of Uncertainty about the Deterministic Trend

Joakim Westerlund, Johan Blomquist
(2013) Oxford Bulletin of Economics and Statistics, 75 p.123-135
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Efficient but getting wet feet. A not-entirely-frivolous note on the side-effects of growth-promoting institutions

Carl Hampus Lyttkens, Joakim Westerlund, Tommy Andersson
(2012) Economics Letters, 115 p.118-121
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A New Poolability Test for Cointegrated Panels

Joakim Westerlund, Wolfgang Hess
(2011) Journal of Applied Econometrics, 26 p.56-88
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Estimating the gravity model without gravity using panel data

Joakim Westerlund, Fredrik Wilhelmsson
(2011) Applied Economics, 43 p.641-649
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Why is Chinese Regional Output Diverging?

Joakim Westerlund, David Edgerton, Sonja Opper
(2010) Journal of Asian Economics, 21 p.333-344
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Panel cointegration tests of the sustainability hypothesis in rich OECD countries

Joakim Westerlund, Silika Prohl
(2010) Applied Economics, 42 p.1355-1364
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A note on the use of the LLC panel unit root test

Joakim Westerlund
(2009) Empirical Economics, 37 p.517-531
Artikel i tidskrift

Panel cointegration and the neutrality of money

Joakim Westerlund, Mauro Costantini
(2009) Empirical Economics, 36 p.1-26
Konferensbidrag

Panel cointegration and the monetary exchange rate model

Syed A. Basher, Joakim Westerlund
(2009) Economic Modelling, 26 p.506-513
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Error-correction-based cointegration tests for panel data

Damiaan Persyn, Joakim Westerlund
(2008) Stata Journal, 8 p.232-241
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Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models

Syed A. Basher, Joakim Westerlund
(2008) Applied Economics Letters, 15 p.161-164
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Panel cointegration tests of the Fisher effect

Joakim Westerlund
(2008) Journal of Applied Econometrics, 23 p.193-233
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Mixed Signals Among Tests for Panel Cointegration

Joakim Westerlund, Syed Basher
(2008) Economic Modelling, 25 p.128-136
Artikel i tidskrift

Why is Chinese Regional Output Diverging?

Joakim Westerlund, David Edgerton, Sonja Opper
(2008) Working Papers, Department of Economics, Lund University, 2008
Working paper

A simple test for cointegration in dependent panels with structural breaks

Joakim Westerlund, David Edgerton
(2008) Oxford Bulletin of Economics and Statistics, 70 p.665-704
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Simple Tests for Cointegration in Dependent Panels with Structural Breaks

Joakim Westerlund, David Edgerton
(2008) Oxford Bulletin of Economics and Statistics, 70 p.665-704
Artikel i tidskrift

Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data

Joakim Westerlund, Syed Basher
(2008) Environmental and Resource Economics, 40 p.109-120
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Class Size and Student Evaluations in Sweden

Joakim Westerlund
(2008) Education Economics, 16 p.19-28
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Estimating cointegrated panels with common factors and the forward rate unbiasedness hypothesis

Joakim Westerlund
(2007) Journal of Financial Econometrics, 5 p.491-522
Artikel i tidskrift

Testing for error correction in panel data

Joakim Westerlund
(2007) Oxford Bulletin of Economics and Statistics, 69 p.709-748
Artikel i tidskrift

A panel bootstrap cointegration test

Joakim Westerlund, David Edgerton
(2007) Economics Letters, 97 p.185-190
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Farmland prices, structural breaks and panel data

Luciano Gutierrez, Joakim Westerlund, Kenneth Erickson
(2007) European Review of Agricultural Economics, 34 p.161-179
Artikel i tidskrift

A Note on the Pooling of Individual PANIC Unit Root Tests

Joakim Westerlund
(2007) Working Papers, Department of Economics, Lund University
Working paper

Can panel data really improve the predictability of the monetary exchange rate model?

Joakim Westerlund, Syed A. Basher
(2007) Journal of Forecasting, 26 p.365-383
Artikel i tidskrift

New improved tests for cointegration with structural breaks

Joakim Westerlund, David Edgerton
(2007) Journal of Time Series Analysis, 28 p.188-224
Artikel i tidskrift

Reducing the size distortions of the panel LM Test for cointegration

Joakim Westerlund
(2006) Economics Letters, 90 p.384-389
Artikel i tidskrift

Simple Tests for Cointegration in Dependent Panels with Structural Breaks

Joakim Westerlund, David Edgerton
(2006) Working Papers, Department of Economics, Lund University
Working paper

Panel Cointegration and the Neutrality of Money

Joakim Westerlund, Mauro Costantini
(2006) Working Papers, Department of Economics, Lund University
Working paper

New Improved Tests for Cointegration with Structural Breaks

Joakim Westerlund, David Edgerton
(2006) Working Papers, Department of Economics, Lund University
Working paper

Testing for panel cointegration with a level break

Joakim Westerlund
(2006) Economics Letters, 91 p.27-33
Artikel i tidskrift

Testing for panel cointegration with multiple structural breaks

Joakim Westerlund
(2006) Oxford Bulletin of Economics and Statistics, 68 p.101-132
Artikel i tidskrift

Data dependent endogeneity correction in cointegrated panels

Joakim Westerlund
(2005) Oxford Bulletin of Economics and Statistics, 67 p.691-705
Artikel i tidskrift

Essays on Panel Cointegration

Joakim Westerlund
(2005) Lund Economic Studies, no. 129
Doktorsavhandling

New simple tests for panel cointegration

Joakim Westerlund
(2005) Econometric Reviews, 24 p.297-316
Artikel i tidskrift

New Simple Tests for Panel Cointegration

Joakim Westerlund
(2005) Working Papers. Department of Economics, Lund University
Working paper

Panel Cointegration Tests with Deterministic Trends and Structural Breaks

Joakim Westerlund
(2005) Working Papers, Department of Economics, Lund University
Working paper

Testing for Error Correction in Panel Data

Joakim Westerlund
(2005) Working Papers. Department of Economics, Lund University
Working paper

Pooled Unit Root Tests in Panels with a Common Factor

Joakim Westerlund
(2005) Working Papers. Department of Economics, Lund University
Working paper

Introduktion till ekonometri

Joakim Westerlund
(2005)
Bok

Panel Cointegration Tests of the Fisher Hypothesis

Joakim Westerlund, David Edgerton
(2005) Working Papers. Department of Economics, Lund University
Working paper

Testing for Panel Cointegration with Multiple Structural Breaks

Joakim Westerlund
(2005) Working Papers. Department of Economics, Lund University
Working paper

A panel CUSUM test of the null of cointegration

Joakim Westerlund
(2005) Oxford Bulletin of Economics and Statistics, 67 p.231-262
Artikel i tidskrift

A Panel Data Test of the Bank Lending Channel in Sweden

Joakim Westerlund
(2003) Working Papers. Department of Economics, Lund University
Working paper

Feasible Estimation in Cointegrated Panels

Joakim Westerlund
(2003) Working Papers. Department of Economics, Lund University
Working paper

A Panel CUSUM Test of the Null of Cointegration

Joakim Westerlund
(2003) Working Papers. Department of Economics, Lund University
Working paper