Similar Search Results

Narrow search

A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending

Westerlund, Joakim - In: Journal of Time Series Analysis 34 (2013) 4, pp. 477-495

Persistent link: https://www.econbiz.de/10010713450

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

Westerlund, Joakim - In: Journal of Time Series Analysis 40 (2018) 2, pp. 248-255

Persistent link: https://www.econbiz.de/10012094938

On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects

Westerlund, Joakim - In: Journal of Time Series Analysis 40 (2018) 5, pp. 852-857

Persistent link: https://www.econbiz.de/10012094956

The factor analytical approach in trending near unit root panels

Westerlund, Joakim; Norkutė, Milda; Stauskas, Ovidijus - In: Journal of Time Series Analysis 43 (2021) 3, pp. 501-508

Persistent link: https://www.econbiz.de/10012636184

New Improved Tests for Cointegration with Structural Breaks

Westerlund, Joakim; Edgerton, David L. - In: Journal of Time Series Analysis 28 (2007) 2, pp. 188-224

This article proposes Lagrange multiplier-based tests for the null hypothesis of no cointegration. The tests are general enough to allow for heteroskedastic and serially correlated errors, deterministic trends, and a structural break of unknown timing in both the intercept and slope. The...

Persistent link: https://www.econbiz.de/10005161533