Joakim Westerlund

A cross-section average-based principal components approach for fixed-T panels

Joakim Westerlund
(2020) Journal of Applied Econometrics, 35 p.776-785
Journal article

The Factor Analytical Approach in Near Unit Root Panels

Joakim Westerlund, Milda Norkute
(2020) Journal of Econometrics
Journal article

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
Journal article

CCE in fixed-T panels

Joakim Westerlund, Yana Petrova, Milda Norkute
(2019) Journal of Applied Econometrics, 34 p.746-761
Journal article

Common Breaks in Means for Cross-Correlated Fixed-T Panel Data

Joakim Westerlund
(2019) Journal of Time Series Analysis, 40 p.248-255
Journal article

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
Journal article

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
Journal article

On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects

Joakim Westerlund
(2019) Journal of Time Series Analysis, 40 p.852-857
Journal article

Optimal Panel Unit Root Testing with Covariates

Arturas Joudis, Joakim Westerlund
(2019) Econometrics Journal, 22 p.57-72
Journal article

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
Journal article

Panel stationary tests against changes in persistence

Roy Cerqueti, Mauro Costantini, Luciano Gutierrez, Joakim Westerlund
(2019) Statistical Papers, 60 p.1079-1100
Journal article

Robust Block Bootstrap Panel Predictability Tests

Stephan Smeekes, Joakim Westerlund
(2019) Econometric Reviews, 38 p.1089-1107
Journal article

Testing additive versus interactive effects in fixed-[Formula presented] panels

Joakim Westerlund
(2019) Economics Letters, 174 p.5-8
Journal article

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
Journal article

Asymptotic Collinearity in CCE Estimation of Interactive Effects Models

Joakim Westerlund, Yana Petrova
(2018) Economic Modelling, 70 p.331-337
Journal article

CCE in Panels with General Unknown Factors

Joakim Westerlund
(2018) Econometrics Journal, 21 p.264-276
Journal article

Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors

Simon Reese, Joakim Westerlund
(2018) Econometric Reviews, 37 p.401-465
Journal article

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
Journal article

On the Use of GLS Demeaning in Panel Unit Root Testing

Joakim Westerlund
(2018) Journal of Business & Economic Statistics, 36 p.309-320
Journal article

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
Journal article

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
Journal article

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
Journal article

A Factor Analytical Approach to Price Discovery

Joakim Westerlund, Simon Reese, Paresh Narayan
(2017) Oxford Bulletin of Economics and Statistics, 79 p.366-394
Journal article

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
Journal article

Likelihood Ratio Tests for a Unit Root in Panels with Random Effects

Rolf Larsson, Johan Lyhagen, Joakim Westerlund
(2017) Statistics, 51 p.627-654
Journal article

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
Journal article

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
Journal article

Testing for Predictability in Panels with General Predictors

Joakim Westerlund, Hande Karabiyik, Paresh Narayan
(2017) Journal of Applied Econometrics, 32 p.554-574
Journal article

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
Journal article

A Simple Test for Nonstationarity in Mixed Panels: A Further Investigation

Joakim Westerlund
(2016) Journal of Statistical Planning and Inference, 173
Journal article

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
Journal article

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
Journal article

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
Journal article

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
Journal article

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
Journal article

Panel bootstrap tests of slope homogeneity

Johan Blomquist, Joakim Westerlund
(2016) Empirical Economics, 50 p.1359-1381
Journal article

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
Journal article

Pooled Panel Unit Root Tests and the Effect of Past Initialization

Joakim Westerlund
(2016) Econometric Reviews, 35 p.396-427
Journal article

Price Discovery and Asset Pricing

Joakim Westerlund, Susan Sharma, Paresh Narayan, Kannan Thuraisamy
(2016) Pacific Basin Finance Journal, 40 p.224-235
Journal article

Testing for predictability in panels of any time series dimension

Joakim Westerlund, Paresh Narayan
(2016) International Journal of Forecasting, 32 p.1162-1177
Journal article

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
Journal article

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
Journal article

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

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
Journal article

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
Journal article

Cross-Sectional Averages versus Principal Components

Joakim Westerlund, Jean-Pierre Urbain
(2015) Journal of Econometrics, 185 p.372-377
Journal article

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
Journal article

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
Journal article

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
Journal article

On the Use of Panel Cointegration Tests in Energy Economics

Joakim Westerlund, Kannan Thuraisamy, Susan Sharma
(2015) Energy Economics, 50 p.359-363
Journal article

PANICCA - PANIC on Cross-Section Averages

Simon Reese, Joakim Westerlund
(2015)
Working paper

Panicca: Panic on Cross-Section Averages

Simon Reese, Joakim Westerlund
(2015) Journal of Applied Econometrics , p.1-21
Journal article

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
Journal article

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
Journal article

The Effect of Recursive Detrending on Panel Unit Root Tests

Joakim Westerlund
(2015) Journal of Econometrics, 185 p.453-467
Journal article

The Power of PANIC

Joakim Westerlund
(2015) Journal of Econometrics, 185 p.495-509
Journal article

A Non-Stationary Panel Data Investigation of the Unemployment–Crime Relationship

Johan Blomquist, Joakim Westerlund
(2014) Social Science Research, 44 p.114-125
Journal article

A Random Coefficient Approach to the Predictability of Stock Returns in Panels

Joakim Westerlund, Paresh Narayan
(2014) Journal of Financial Econometrics
Journal article

A Simple Test for Nonstationarity in Mixed Panels with Incidental Trends

Joakim Westerlund
(2014) Economics Letters, 125 p.160-163
Journal article

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
Journal article

Does Cash Flow Predict Returns?

Paresh Narayan, Joakim Westerlund
(2014) International Review of Financial Analysis, 35 p.230-236
Journal article

Heteroskedasticity Robust Panel Unit Root Tests

Joakim Westerlund
(2014) Journal of Business & Economic Statistics, 32 p.112-135
Journal article

Indirect Estimation of Semiparametric Binary Choice Models

Joakim Westerlund, Per Hjertstrand
(2014) Oxford Bulletin of Economics and Statistics, 76 p.299-314
Journal article

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
Journal article

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
Journal article

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
Journal article

Testing for Predictability in Conditionally Heteroskedastic Stock Returns

Joakim Westerlund, Paresh Narayan
(2014) Journal of Financial Econometrics
Journal article

A modified LLC panel unit root test of the PPP hypothesis

Joakim Westerlund, Johan Blomquist
(2013) Empirical Economics, 44 p.833-860
Journal article

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
Journal article

Testing slope homogeneity in large panels with serial correlation

Johan Blomquist, Joakim Westerlund
(2013) Economics Letters, 121 p.374-378
Journal article

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
Journal article

A New Poolability Test for Cointegrated Panels

Joakim Westerlund, Wolfgang Hess
(2011) Journal of Applied Econometrics, 26 p.56-88
Journal article

Estimating the gravity model without gravity using panel data

Joakim Westerlund, Fredrik Wilhelmsson
(2011) Applied Economics, 43 p.641-649
Journal article

Panel cointegration tests of the sustainability hypothesis in rich OECD countries

Joakim Westerlund, Silika Prohl
(2010) Applied Economics, 42 p.1355-1364
Journal article

Why is Chinese Regional Output Diverging?

Joakim Westerlund, David Edgerton, Sonja Opper
(2010) Journal of Asian Economics, 21 p.333-344
Journal article

A note on the use of the LLC panel unit root test

Joakim Westerlund
(2009) Empirical Economics, 37 p.517-531
Journal article

Panel cointegration and the monetary exchange rate model

Syed A. Basher, Joakim Westerlund
(2009) Economic Modelling, 26 p.506-513
Journal article

Panel cointegration and the neutrality of money

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

Class Size and Student Evaluations in Sweden

Joakim Westerlund
(2008) Education Economics, 16 p.19-28
Journal article

Error-correction-based cointegration tests for panel data

Damiaan Persyn, Joakim Westerlund
(2008) Stata Journal, 8 p.232-241
Journal article

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
Journal article

Mixed Signals Among Tests for Panel Cointegration

Joakim Westerlund, Syed Basher
(2008) Economic Modelling, 25 p.128-136
Journal article

Panel cointegration tests of the Fisher effect

Joakim Westerlund
(2008) Journal of Applied Econometrics, 23 p.193-233
Journal article

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
Journal article

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
Journal article

Why is Chinese Regional Output Diverging?

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

A Note on the Pooling of Individual PANIC Unit Root Tests

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

A panel bootstrap cointegration test

Joakim Westerlund, David Edgerton
(2007) Economics Letters, 97 p.185-190
Journal article

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
Journal article

Estimating cointegrated panels with common factors and the forward rate unbiasedness hypothesis

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

Farmland prices, structural breaks and panel data

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

New improved tests for cointegration with structural breaks

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

Testing for error correction in panel data

Joakim Westerlund
(2007) Oxford Bulletin of Economics and Statistics, 69 p.709-748
Journal article

New Improved Tests for Cointegration 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

Reducing the size distortions of the panel LM Test for cointegration

Joakim Westerlund
(2006) Economics Letters, 90 p.384-389
Journal article

Simple Tests for Cointegration in Dependent Panels 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
Journal article

Testing for panel cointegration with multiple structural breaks

Joakim Westerlund
(2006) Oxford Bulletin of Economics and Statistics, 68 p.101-132
Journal article

A panel CUSUM test of the null of cointegration

Joakim Westerlund
(2005) Oxford Bulletin of Economics and Statistics, 67 p.231-262
Journal article

Data dependent endogeneity correction in cointegrated panels

Joakim Westerlund
(2005) Oxford Bulletin of Economics and Statistics, 67 p.691-705
Journal article

Essays on Panel Cointegration

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

Introduktion till ekonometri

Joakim Westerlund
(2005)
Book

New simple tests for panel cointegration

Joakim Westerlund
(2005) Econometric Reviews, 24 p.297-316
Journal article

New Simple Tests for Panel Cointegration

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

Panel Cointegration Tests of the Fisher Hypothesis

Joakim Westerlund, David Edgerton
(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

Pooled Unit Root Tests in Panels with a Common Factor

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

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

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

Preattentive bias for emotional information in panic disorder with agoraphobia.

Lars-Gunnar Lundh, Jenny Wikström, Joakim Westerlund, Lars-Göran Öst
(1999) Journal of Abnormal Psychology, 108 p.222-232
Journal article