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Robust block bootstrap panel predictability tests

Smeekes, Stephan; Westerlund, Joakim - In: Econometric reviews 38 (2019) 9, pp. 1089-1107

Persistent link: https://www.econbiz.de/10012181384

Difference-in-differences via common correlated effects

Brown, Nicholas; Butts, Kyle; Westerlund, Joakim - 2023

We study the effect of treatment on an outcome when parallel trends hold conditional on an interactive fixed effects structure. In contrast to the majority of the literature, we propose identification using time-varying covariates. We assume the untreated outcomes and covariates follow a common...

Persistent link: https://www.econbiz.de/10013556879

A sequential purchasing power parity test for panels of large cross-sections and implications for investors

Westerlund, Joakim; Narayan, Paresh Kumar - In: The European journal of finance 21 (2015) 13/15, pp. 1317-1333

Persistent link: https://www.econbiz.de/10011419881

Panel versus GARCH information in unit root testing with an application to financial markets

Westerlund, Joakim; Narayan, Paresh Kumar - In: Economic modelling 41 (2014), pp. 173-176

Persistent link: https://www.econbiz.de/10010438367

Heterocedasticity robust panel unit root tests

Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 112-135

Persistent link: https://www.econbiz.de/10010380473

A modified LLC panel unit root test of the PPP hypothesis

Westerlund, Joakim; Blomquist, Johan - In: Empirical economics : a journal of the Institute for … 44 (2013) 2, pp. 833-860

Persistent link: https://www.econbiz.de/10009724074

Some cautions on the use of the LLC panel unit root test

Westerlund, Joakim - 2006

Persistent link: https://www.econbiz.de/10003483115

Unit root inference in generally trending and cross-correlated fixed-T panels

Robertson, Donald; Sarafidis, Vasilis; Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 493-504

Persistent link: https://www.econbiz.de/10012249189

Optimal panel unit root testing with covariates

Juodis, Artūras; Westerlund, Joakim - In: The econometrics journal 22 (2019) 1, pp. 57-72

Persistent link: https://www.econbiz.de/10012166653

New tools for understanding the local asymptotic power of panel unit root tests

Westerlund, Joakim; Larsson, Rolf - In: Journal of econometrics 188 (2015) 1, pp. 59-93

Persistent link: https://www.econbiz.de/10011500261