Details about Joakim Westerlund

Access statistics for papers by Joakim Westerlund.

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

Short-id: pwe289

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

2022

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

2021

7. Estimation of Panel Data Models with Interactive Effects and Multiple Structural Breaks When T Is Fixed
   Working Papers, Lund University, Department of Economics
8. Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
   Papers, arXiv.org 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) View citations (6) (2023)
9. Testing and Estimating Structural Breaks in Time Series and Panel Data in Stata
   Papers, arXiv.org View citations (29)
   Also in Discussion Papers, Department of Economics, University of Birmingham (2021) View citations (30)
10. The Factor Analytical Approach in Trending Near Unit Root Panels
    Bank of Lithuania Working Paper Series, Bank of Lithuania 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) View citations (2) (2022)

2020

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

2015

12. Does cash flow predict returns?
    Working Papers, Deakin University, Department of Economics
    See also Journal Article Does cash flow predict returns?, International Review of Financial Analysis, Elsevier (2014) View citations (4) (2014)
13. 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) View citations (25) (2016)
14. Testing for predictability in panels with general predictors
    Working Papers, Deakin University, Department of Economics
    See also Journal Article Testing for Predictability in panels with General Predictors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (17) (2017)
15. Testing for stock return predictability in a large Chinese panel
    Working Papers, Deakin University, Department of Economics View citations (24)
    See also Journal Article Testing for stock return predictability in a large Chinese panel, Emerging Markets Review, Elsevier (2015) View citations (23) (2015)

2014

16. 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) View citations (4) (2017)
17. A Factor Analytical Method to Interactive Effects Dynamic Panel Models with or without Unit Root
    Working Papers, Lund University, Department of Economics
18. A factor analytical approach to the efficient futures market hypothesis
    Working Papers, Deakin University, Department of Economics 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) View citations (9) (2015)
19. 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
20. A random coefficient approach to the predictability of stock returns in panels
    Working Papers, Deakin University, Department of Economics 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) View citations (18) (2015)
21. CCE estimation of factor-augmented regression models with more factors than observables
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) 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) View citations (12) (2019)
22. Do oil prices predict economic growth? New global evidence
    Working Papers, Deakin University, Department of Economics View citations (93)
    See also Journal Article Do oil prices predict economic growth? New global evidence, Energy Economics, Elsevier (2014) View citations (86) (2014)
23. 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) View citations (6) (2018)
24. GMM Unit Root Inference in Generally Trending and Cross-Correlated Dynamic Panels
    MPRA Paper, University Library of Munich, Germany View citations (6)
25. Heteroskedasticity robust panel unit root tests
    Working Papers, Deakin University, Department of Economics View citations (4)
    See also Journal Article Heteroscedasticity Robust Panel Unit Root Tests, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (11) (2014)
26. On the asymptotic distribution of the DF-GLS test statistic
    Working Papers, Deakin University, Department of Economics View citations (2)
27. On the importance of the first observation in GLS detrending in unit root testing
    Working Papers, Deakin University, Department of Economics 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) View citations (1) (2015)
28. Pooled panel unit root tests and the effect of past initialization
    Working Papers, Deakin University, Department of Economics
    See also Journal Article Pooled Panel Unit Root Tests and the Effect of Past Initialization, Econometric Reviews, Taylor & Francis Journals (2016) View citations (1) (2016)
29. Testing for predictability in conditionally heteroskedastic stock returns
    Working Papers, Deakin University, Department of Economics View citations (20)
    See also Journal Article Testing for Predictability in Conditionally Heteroskedastic Stock Returns, Journal of Financial Econometrics, Oxford University Press (2015) View citations (134) (2015)
30. 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)
31. Testing slope homogeneity in large panels with serial correlation
    Working Papers, Deakin University, Department of Economics
    See also Journal Article Testing slope homogeneity in large panels with serial correlation, Economics Letters, Elsevier (2013) View citations (117) (2013)
32. The local power of the CADF and CIPS panel unit root tests
    Working Papers, Deakin University, Department of Economics 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) View citations (11) (2016)

2013

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

2012

34. Does the choice of estimator matter when forecasting returns?
    Working Papers, Deakin University, Department of Economics View citations (182)
    See also Journal Article Does the choice of estimator matter when forecasting returns?, Journal of Banking & Finance, Elsevier (2012) View citations (185) (2012)

2011

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

2009

37. Are Crime Rates Really Stationary?
    Working Papers, Lund University, Department of Economics
    Also in Working Papers in Economics, University of Gothenburg, Department of Economics (2009)
38. Myths and Facts about Panel Unit Root Tests
    Working Papers in Economics, University of Gothenburg, Department of Economics View citations (4)
39. Seasonal Unit Root Tests for Trending and Breaking Series with Application to Industrial Production
    Working Papers in Economics, University of Gothenburg, Department of Economics
40. Testing for Unit Roots in Panel Time Series Models with Multiple Breaks
    Working Papers in Economics, University of Gothenburg, Department of Economics
41. Testing for a Unit Root in a Random Coefficient Panel Data Model
    Working Papers in Economics, University of Gothenburg, Department of Economics
    See also Journal Article Testing for a unit root in a random coefficient panel data model, Journal of Econometrics, Elsevier (2012) View citations (7) (2012)
42. The Tax-Spending Nexus: Evidence from a Panel of US State- Local Governments
    Working Papers in Economics, University of Gothenburg, Department of Economics View citations (1)
    Also in Working Papers, College of Business, University of Texas at San Antonio (2008)
    See also Journal Article The tax-spending nexus: Evidence from a panel of US state-local governments, Economic Modelling, Elsevier (2011) View citations (16) (2011)
43. 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

2008

44. Panel Cointegration and the Monetary Exchange Rate Model
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article Panel cointegration and the monetary exchange rate model, Economic Modelling, Elsevier (2009) View citations (34) (2009)
45. Panel error correction testing with global stochastic trends
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (24)
46. 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)
47. Why is Chinese Regional Output Diverging?
    Working Papers, Lund University, Department of Economics View citations (1)

2007

48. A Note on the Pooling of Individual PANIC Unit Root Tests
    Working Papers, Lund University, Department of Economics View citations (8)
    See also Journal Article A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS, Econometric Theory, Cambridge University Press (2009) View citations (9) (2009)
49. Mixed Signals Among Tests for Panel Cointegration
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Mixed signals among tests for panel cointegration, Economic Modelling, Elsevier (2008) View citations (4) (2008)
50. 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) View citations (279) (2008)
51. Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data
    MPRA Paper, University Library of Munich, Germany 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) View citations (104) (2008)

2006

52. Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?
    MPRA Paper, University Library of Munich, Germany 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) View citations (6) (2007)
53. Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models
    MPRA Paper, University Library of Munich, Germany 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) View citations (5) (2007)
54. 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) View citations (41) (2007)
55. 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) View citations (14) (2009)
56. Panel cointegration tests of the Fisher effect
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (2)
    See also Journal Article Panel cointegration tests of the Fisher effect, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2008) View citations (223) (2008)
57. 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) View citations (1)
58. Spurious regression in nonstationary panels with cross-unit cointegration
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (28)
59. Testing for error correction in panel data
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) 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) View citations (1954) (2007)

2005

60. 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) View citations (346) (2005)
61. Panel Cointegration Tests of the Fisher Hypothesis
    Working Papers, Lund University, Department of Economics View citations (3)
62. Panel Cointegration Tests with Deterministic Trends and Structural Breaks
    Working Papers, Lund University, Department of Economics View citations (2)
63. Pooled Unit Root Tests in Panels with a Common Factor
    Working Papers, Lund University, Department of Economics View citations (1)
64. 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) View citations (151) (2006)
65. The Present Value Model, Farmland Prices and Structural Breaks
    2005 International Congress, August 23-27, 2005, Copenhagen, Denmark, European Association of Agricultural Economists View citations (1)

2003

66. 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) View citations (23) (2005)
67. A Panel Data Test of the Bank Lending Channel in Sweden
    Working Papers, Lund University, Department of Economics View citations (13)
68. 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 View citations (2)
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 View citations (6)
   See also Working Paper Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19, Papers (2021) View citations (3) (2021)
3. Testing factors in CCE
   Economics Letters, 2023, 230, (C)
   See also Working Paper TESTING FACTORS IN CCE, Working Paper (2022) View citations (1) (2022)

2022

4. 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 View citations (1)
5. 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 View citations (1)
6. Panel data measures of price discovery
   Econometric Reviews, 2022, 41, (3), 269-290 View citations (2)
7. Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
   Journal of Business & Economic Statistics, 2022, 40, (4), 1745-1758 View citations (1)
8. The factor analytical approach in trending near unit root panels
   Journal of Time Series Analysis, 2022, 43, (3), 501-508 View citations (2)
   See also Working Paper The Factor Analytical Approach in Trending Near Unit Root Panels, Bank of Lithuania Working Paper Series (2021) View citations (3) (2021)

2021

9. Breaks in persistence in fixed-T panel data
   Economics Letters, 2021, 205, (C)
10. Essays in honor of Professor Badi H Baltagi
    Empirical Economics, 2021, 60, (1), 1-11
11. Forecasting using cross-section average–augmented time series regressions
    The Econometrics Journal, 2021, 24, (2), 315-333 View citations (4)
12. On the robustness of the pooled CCE estimator
    Journal of Econometrics, 2021, 220, (2), 325-348 View citations (19)
13. The factor analytical approach in near unit root interactive effects panels
    Journal of Econometrics, 2021, 221, (2), 569-590 View citations (6)

2020

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

2019

16. CCE estimation of factor‐augmented regression models with more factors than observables
    Journal of Applied Econometrics, 2019, 34, (2), 268-284 View citations (12)
    See also Working Paper CCE estimation of factor-augmented regression models with more factors than observables, Research Memorandum (2014) View citations (6) (2014)
17. CCE in fixed‐T panels
    Journal of Applied Econometrics, 2019, 34, (5), 746-761 View citations (20)
18. Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data
    Journal of Time Series Analysis, 2019, 40, (2), 248-255 View citations (2)
19. Lag truncation and the local asymptotic distribution of the ADF test for a unit root
    Statistical Papers, 2019, 60, (6), 2109-2118 View citations (3)
20. On CCE estimation of factor-augmented models when regressors are not linear in the factors
    Economics Letters, 2019, 178, (C), 5-7 View citations (11)
21. On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
    Journal of Time Series Analysis, 2019, 40, (5), 852-857 View citations (5)
22. Optimal panel unit root testing with covariates
    The Econometrics Journal, 2019, 22, (1), 57-72 View citations (4)
23. Panel evidence on the ability of oil returns to predict stock returns in the G7 area
    Energy Economics, 2019, 77, (C), 3-12 View citations (14)
24. Panel stationary tests against changes in persistence
    Statistical Papers, 2019, 60, (4), 1079-1100
25. Robust block bootstrap panel predictability tests
    Econometric Reviews, 2019, 38, (9), 1089-1107 View citations (4)
    See also Working Paper Robust block bootstrap panel predictability tests, Research Memorandum (2013) View citations (1) (2013)
26. Testing additive versus interactive effects in fixed-T panels
    Economics Letters, 2019, 174, (C), 5-8 View citations (4)
27. The factor analytical method for interactive effects dynamic panel models with moving average errors
    Econometrics and Statistics, 2019, 11, (C), 83-104 View citations (1)

2018

28. Asymptotic collinearity in CCE estimation of interactive effects models
    Economic Modelling, 2018, 70, (C), 331-337 View citations (3)
29. CCE in panels with general unknown factors
    Econometrics Journal, 2018, 21, (3), 264-276 View citations (20)
30. Estimation of factor-augmented panel regressions with weakly influential factors
    Econometric Reviews, 2018, 37, (5), 401-465 View citations (6)
    See also Working Paper Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors, Working Papers (2014) (2014)
31. Islamic spot and index futures markets: Where is the price discovery?
    Pacific-Basin Finance Journal, 2018, 52, (C), 123-133 View citations (7)
32. On the Use of GLS Demeaning in Panel Unit Root Testing
    Journal of Business & Economic Statistics, 2018, 36, (2), 309-320 View citations (1)
33. Some preliminary evidence of price discovery in Islamic banks
    Pacific-Basin Finance Journal, 2018, 52, (C), 107-122 View citations (11)
34. Subnational government tax revenue capacity and effort convergence: New evidence from sequential unit root tests
    Economic Modelling, 2018, 73, (C), 174-183 View citations (2)
35. Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
    Journal of Business & Economic Statistics, 2018, 36, (3), 493-504 View citations (5)

2017

36. A Factor Analytical Approach to Price Discovery
    Oxford Bulletin of Economics and Statistics, 2017, 79, (3), 366-394 View citations (4)
    See also Working Paper A Factor Analytical Approach to Price Discovery, Working Papers (2014) View citations (1) (2014)
37. Are state–local government expenditures converging? New evidence based on sequential unit root tests
    Empirical Economics, 2017, 53, (2), 373-403 View citations (1)
38. On the determination of the number of factors using information criteria with data-driven penalty
    Statistical Papers, 2017, 58, (1), 161-184
39. On the role of the rank condition in CCE estimation of factor-augmented panel regressions
    Journal of Econometrics, 2017, 197, (1), 60-64 View citations (30)
40. Testing for Predictability in panels with General Predictors
    Journal of Applied Econometrics, 2017, 32, (3), 554-574 View citations (17)
    See also Working Paper Testing for predictability in panels with general predictors, Working Papers (2015) (2015)

2016

41. A GARCH model for testing market efficiency
    Journal of International Financial Markets, Institutions and Money, 2016, 41, (C), 121-138 View citations (43)
42. An IV Test for a Unit Root in Generally Trending and Correlated Panels
    Oxford Bulletin of Economics and Statistics, 2016, 78, (5), 752-764 View citations (1)
43. Are Islamic stock returns predictable? A global perspective
    Pacific-Basin Finance Journal, 2016, 40, (PA), 210-223 View citations (55)
44. Error Correction Testing in Panels with Common Stochastic Trends
    Journal of Applied Econometrics, 2016, 31, (6), 982-1004 View citations (27)
45. 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 View citations (3)
46. On the estimation and testing of predictive panel regressions
    Journal of International Financial Markets, Institutions and Money, 2016, 45, (C), 115-125 View citations (2)
47. Panel bootstrap tests of slope homogeneity
    Empirical Economics, 2016, 50, (4), 1359-1381 View citations (4)
48. Panel multi-predictor test procedures with an application to emerging market sovereign risk
    Emerging Markets Review, 2016, 28, (C), 44-60 View citations (2)
49. Panicca: Panic on Cross‐Section Averages
    Journal of Applied Econometrics, 2016, 31, (6), 961-981 View citations (25)
    See also Working Paper PANICCA - PANIC on Cross-Section Averages, Working Papers (2015) View citations (2) (2015)
50. Pooled Panel Unit Root Tests and the Effect of Past Initialization
    Econometric Reviews, 2016, 35, (3), 396-427 View citations (1)
    See also Working Paper Pooled panel unit root tests and the effect of past initialization, Working Papers (2014) (2014)
51. Price discovery and asset pricing
    Pacific-Basin Finance Journal, 2016, 40, (PA), 224-235 View citations (20)
52. Testing for predictability in panels of any time series dimension
    International Journal of Forecasting, 2016, 32, (4), 1162-1177 View citations (10)
53. The Local Power of the CADF and CIPS Panel Unit Root Tests
    Econometric Reviews, 2016, 35, (5), 845-870 View citations (11)
    See also Working Paper The local power of the CADF and CIPS panel unit root tests, Working Papers (2014) View citations (3) (2014)

2015

54. A Factor Analytical Approach to the Efficient Futures Market Hypothesis
    Journal of Futures Markets, 2015, 35, (4), 357-370 View citations (9)
    See also Working Paper A factor analytical approach to the efficient futures market hypothesis, Working Papers (2014) View citations (1) (2014)
55. A Random Coefficient Approach to the Predictability of Stock Returns in Panels
    Journal of Financial Econometrics, 2015, 13, (3), 605-664 View citations (18)
    See also Working Paper A random coefficient approach to the predictability of stock returns in panels, Working Papers (2014) View citations (15) (2014)
56. 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 View citations (3)
57. Cross-sectional averages versus principal components
    Journal of Econometrics, 2015, 185, (2), 372-377 View citations (77)
58. Do order imbalances predict Chinese stock returns? New evidence from intraday data
    Pacific-Basin Finance Journal, 2015, 34, (C), 136-151 View citations (29)
59. New tools for understanding the local asymptotic power of panel unit root tests
    Journal of Econometrics, 2015, 188, (1), 59-93 View citations (5)
60. Nonparametric rank tests for non-stationary panels
    Journal of Econometrics, 2015, 185, (2), 378-391 View citations (7)
    See also Working Paper Nonparametric Rank Tests for Non-stationary Panels, Economics Series (2011) (2011)
61. 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 View citations (1)
    See also Working Paper On the importance of the first observation in GLS detrending in unit root testing, Working Papers (2014) View citations (1) (2014)
62. On the use of panel cointegration tests in energy economics
    Energy Economics, 2015, 50, (C), 359-363 View citations (14)
63. 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 View citations (1)
64. Testing for Predictability in Conditionally Heteroskedastic Stock Returns
    Journal of Financial Econometrics, 2015, 13, (2), 342-375 View citations (134)
    See also Working Paper Testing for predictability in conditionally heteroskedastic stock returns, Working Papers (2014) View citations (20) (2014)
65. Testing for stock return predictability in a large Chinese panel
    Emerging Markets Review, 2015, 24, (C), 81-100 View citations (23)
    See also Working Paper Testing for stock return predictability in a large Chinese panel, Working Papers (2015) View citations (24) (2015)
66. The effect of recursive detrending on panel unit root tests
    Journal of Econometrics, 2015, 185, (2), 453-467 View citations (9)
67. The power of PANIC
    Journal of Econometrics, 2015, 185, (2), 495-509 View citations (4)

2014

68. A simple test for nonstationarity in mixed panels with incidental trends
    Economics Letters, 2014, 125, (2), 160-163
69. Do oil prices predict economic growth? New global evidence
    Energy Economics, 2014, 41, (C), 137-146 View citations (86)
    See also Working Paper Do oil prices predict economic growth? New global evidence, Working Papers (2014) View citations (93) (2014)
70. Does cash flow predict returns?
    International Review of Financial Analysis, 2014, 35, (C), 230-236 View citations (4)
    See also Working Paper Does cash flow predict returns?, Working Papers (2015) (2015)
71. Heteroscedasticity Robust Panel Unit Root Tests
    Journal of Business & Economic Statistics, 2014, 32, (1), 112-135 View citations (11)
    See also Working Paper Heteroskedasticity robust panel unit root tests, Working Papers (2014) View citations (4) (2014)
72. Indirect Estimation of Semiparametric Binary Choice Models
    Oxford Bulletin of Economics and Statistics, 2014, 76, (2), 298-314 View citations (2)
73. On the choice of test for a unit root when the errors are conditionally heteroskedastic
    Computational Statistics & Data Analysis, 2014, 69, (C), 40-53 View citations (3)
74. Panel versus GARCH information in unit root testing with an application to financial markets
    Economic Modelling, 2014, 41, (C), 173-176 View citations (4)

2013

75. A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
    Journal of Time Series Analysis, 2013, 34, (4), 477-495 View citations (6)
76. A modified LLC panel unit root test of the PPP hypothesis
    Empirical Economics, 2013, 44, (2), 833-860 View citations (1)
77. Alternative representations for cointegrated panels with global stochastic trends
    Economics Letters, 2013, 118, (3), 485-488 View citations (2)
78. Lessons from a Decade of IPS and LLC
    Econometric Reviews, 2013, 32, (5-6), 547-591 View citations (47)
79. On the estimation and inference in factor-augmented panel regressions with correlated loadings
    Economics Letters, 2013, 119, (3), 247-250 View citations (115)
80. On the implementation and use of factor-augmented regressions in panel data
    Journal of Asian Economics, 2013, 28, (C), 3-11 View citations (73)
81. PANIC in the Presence of Uncertainty about the Deterministic Trend
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 123-135
82. 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 View citations (2)
83. Testing slope homogeneity in large panels with serial correlation
    Economics Letters, 2013, 121, (3), 374-378 View citations (117)
    See also Working Paper Testing slope homogeneity in large panels with serial correlation, Working Papers (2014) (2014)
84. Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets
    Journal of Futures Markets, 2013, 33, (11), 1024-1045 View citations (25)

2012

85. Does the choice of estimator matter when forecasting returns?
    Journal of Banking & Finance, 2012, 36, (9), 2632-2640 View citations (185)
    See also Working Paper Does the choice of estimator matter when forecasting returns?, Working Papers (2012) View citations (182) (2012)
86. Effects of rent dependency on quality of government
    Economics of Governance, 2012, 13, (2), 145-168 View citations (19)
87. 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
88. TESTING FOR UNIT ROOTS IN PANEL TIME-SERIES MODELS WITH MULTIPLE LEVEL BREAKS
    Manchester School, 2012, 80, (6), 671-699 View citations (6)
89. Testing for a unit root in a random coefficient panel data model
    Journal of Econometrics, 2012, 167, (1), 254-273 View citations (7)
    See also Working Paper Testing for a Unit Root in a Random Coefficient Panel Data Model, Working Papers in Economics (2009) (2009)

2011

90. A new poolability test for cointegrated panels
    Journal of Applied Econometrics, 2011, 26, (1), 56-88 View citations (10)
91. Financial systems and mechanisms of growth in different conditions of country risk
    Applied Economics Letters, 2011, 18, (11), 1021-1028 View citations (4)
92. Fiscal stringency and fiscal sustainability: Panel evidence from the American state and local governments
    Journal of Policy Modeling, 2011, 33, (6), 953-969 View citations (48)
93. 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)
94. The tax-spending nexus: Evidence from a panel of US state-local governments
    Economic Modelling, 2011, 28, (3), 885-890 View citations (16)
    See also Working Paper The Tax-Spending Nexus: Evidence from a Panel of US State- Local Governments, Working Papers in Economics (2009) View citations (1) (2009)

2010

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

2009

97. A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS
    Econometric Theory, 2009, 25, (6), 1851-1868 View citations (9)
    See also Working Paper A Note on the Pooling of Individual PANIC Unit Root Tests, Working Papers (2007) View citations (8) (2007)
98. A note on the use of the LLC panel unit root test
    Empirical Economics, 2009, 37, (3), 517-531 View citations (10)
99. Estimating the gravity model without gravity using panel data
    Applied Economics, 2009, 43, (6), 641-649 View citations (55)
100. Panel cointegration and the monetary exchange rate model
     Economic Modelling, 2009, 26, (2), 506-513 View citations (34)
     See also Working Paper Panel Cointegration and the Monetary Exchange Rate Model, MPRA Paper (2008) View citations (4) (2008)
101. Panel cointegration and the neutrality of money
     Empirical Economics, 2009, 36, (1), 1-26 View citations (14)
     See also Working Paper Panel Cointegration and the Neutrality of Money, Working Papers (2006) View citations (2) (2006)
102. Using Panel Data to Test for Fiscal Sustainability within the European Union
     FinanzArchiv: Public Finance Analysis, 2009, 65, (2), 246-269 View citations (8)

2008

103. A Simple Test for Cointegration in Dependent Panels with Structural Breaks*
     Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 665-704 View citations (279)
     See also Working Paper Simple Tests for Cointegration in Dependent Panels with Structural Breaks, Working Papers (2007) View citations (12) (2007)
104. Error-correction–based cointegration tests for panel data
     Stata Journal, 2008, 8, (2), 232-241 View citations (335)
105. Mixed signals among tests for panel cointegration
     Economic Modelling, 2008, 25, (1), 128-136 View citations (4)
     See also Working Paper Mixed Signals Among Tests for Panel Cointegration, MPRA Paper (2007) View citations (1) (2007)
106. Panel cointegration tests of the Fisher effect
     Journal of Applied Econometrics, 2008, 23, (2), 193-233 View citations (223)
     See also Working Paper Panel cointegration tests of the Fisher effect, Research Memorandum (2006) View citations (2) (2006)
107. Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data
     Environmental & Resource Economics, 2008, 40, (1), 109-120 View citations (104)
     See also Working Paper Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data, MPRA Paper (2007) View citations (9) (2007)

2007

108. A panel bootstrap cointegration test
     Economics Letters, 2007, 97, (3), 185-190 View citations (258)
109. Can panel data really improve the predictability of the monetary exchange rate model?
     Journal of Forecasting, 2007, 26, (5), 365-383 View citations (6)
     See also Working Paper Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?, MPRA Paper (2006) View citations (2) (2006)
110. Class size and student evaluations in Sweden
     Education Economics, 2007, 16, (1), 19-28
111. Farmland prices, structural breaks and panel data
     European Review of Agricultural Economics, 2007, 34, (2), 161-179 View citations (27)
112. Is there really a unit root in the inflation rate? More evidence from panel data models
     Applied Economics Letters, 2007, 15, (3), 161-164 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) View citations (21) (2006)
113. New Improved Tests for Cointegration with Structural Breaks
     Journal of Time Series Analysis, 2007, 28, (2), 188-224 View citations (41)
     See also Working Paper New Improved Tests for Cointegration with Structural Breaks, Working Papers (2006) View citations (11) (2006)
114. Testing for Error Correction in Panel Data*
     Oxford Bulletin of Economics and Statistics, 2007, 69, (6), 709-748 View citations (1954)
     See also Working Paper Testing for error correction in panel data, Research Memorandum (2006) View citations (1) (2006)

2006

115. Reducing the size distortions of the panel LM Test for cointegration
     Economics Letters, 2006, 90, (3), 384-389 View citations (2)
116. Testing for Panel Cointegration with Multiple Structural Breaks*
     Oxford Bulletin of Economics and Statistics, 2006, 68, (1), 101-132 View citations (151)
     See also Working Paper Testing for Panel Cointegration with Multiple Structural Breaks, Working Papers (2005) View citations (10) (2005)
117. Testing for panel cointegration with a level break
     Economics Letters, 2006, 91, (1), 27-33 View citations (43)

2005

118. A Panel CUSUM Test of the Null of Cointegration
     Oxford Bulletin of Economics and Statistics, 2005, 67, (2), 231-262 View citations (23)
     See also Working Paper A Panel CUSUM Test of the Null of Cointegration, Working Papers (2003) (2003)
119. Data Dependent Endogeneity Correction in Cointegrated Panels
     Oxford Bulletin of Economics and Statistics, 2005, 67, (5), 691-705 View citations (9)
120. New Simple Tests for Panel Cointegration
     Econometric Reviews, 2005, 24, (3), 297-316 View citations (346)
     See also Working Paper New Simple Tests for Panel Cointegration, Working Papers (2005) View citations (269) (2005)

Undated

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

Editor

1. Empirical Economics
   Springer