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Westerlund, Joakim - In: Journal of econometrics 185 (2015) 2, pp. 495-509

Persistent link: https://www.econbiz.de/10011348960

On the estimation and testing of predictive panel regressions

Karabiyik, Hande; Westerlund, Joakim; Narayan, Paresh Kumar - In: Journal of international financial markets, … 45 (2016), pp. 115-125

Persistent link: https://www.econbiz.de/10011690459

Estimation of panel data models with interactive effects and multiple structural breaks when T is fixed

Kaddoura, Yousef; Westerlund, Joakim - 2021

Persistent link: https://www.econbiz.de/10012698558

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

The factor analytical approach in near unit root interactive effects panels

Norkutė, Milda; Westerlund, Joakim - In: Journal of econometrics 221 (2021) 2, pp. 569-590

Persistent link: https://www.econbiz.de/10012619250

Estimation of panel data models with random interactive effects and multiple structural breaks when T is fixed

Kaddoura, Yousef; Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 778-790

Persistent link: https://www.econbiz.de/10014448434

A factor-augmented new Keynesian Phillips curve for the European Union countries

Norkutė, Milda; Westerlund, Joakim - 2023

Persistent link: https://www.econbiz.de/10013502506

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

Estimation of Panel Data Models with Interactive Effects and Multiple Structural Breaks When T Is Fixed

Kaddoura, Yousef; Westerlund, Joakim - 2021

In this article, we propose a new estimator of panel data models with interactive fixed effects and multiple structural breaks that is suitable when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large. This is done by viewing the determination of the...

Persistent link: https://www.econbiz.de/10013208906

The power of PANIC

Westerlund, Joakim - In: Journal of Econometrics 185 (2015) 2, pp. 495-509

The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to the presence of cross-section dependence in the form of common factors. As a basis for our analysis, we take the PANIC approach of Bai and Ng (2004, 2010), which is one of the...

Persistent link: https://www.econbiz.de/10011190726