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Cross-sectional averages versus principal components
Westerlund, Joakim; Urbain, Jean-Pierre - In: Journal of econometrics 185 (2015) 2, pp. 372-377
Persistent link: https://www.econbiz.de/10011349044
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A factor analytical method to interactive effects dynamic panel models with or without unit root
Westerlund, Joakim; Norkute, Milda - 2014
Persistent link: https://www.econbiz.de/10010346615
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Estimation of factor-augmented panel regressions with weakly influential factors
Reese, Simon; Westerlund, Joakim - In: Econometric reviews 37 (2018) 1/5, pp. 401-465
Persistent link: https://www.econbiz.de/10012039354
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A factor analytical approach to price discovery
Westerlund, Joakim; Reese, Simon; Narayan, Paresh Kumar - 2015
Persistent link: https://www.econbiz.de/10010507891
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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
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The factor analytical approach in trending near unit root panels
Norkutė, Milda; Westerlund, Joakim; Stauskas, Ovidijus - 2021
Persistent link: https://www.econbiz.de/10012601025
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The local power of the CADF and CIPS panel unit root tests
Westerlund, Joakim; Hosseinkouchack, Mehdi; Solberger, … - In: Econometric reviews 35 (2016) 5/7, pp. 845-870
Persistent link: https://www.econbiz.de/10011589920
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A factor analytical approach to price discovery
Westerlund, Joakim; Reese, Simon; Narayan, Paresh Kumar - In: Oxford bulletin of economics and statistics 79 (2017) 3, pp. 366-394
Persistent link: https://www.econbiz.de/10011771993
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Tests of equal forecasting accuracy for nested models with estimated CCE factors
Stauskas, Ovidijus; Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1745-1758
Persistent link: https://www.econbiz.de/10013540477
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Testing factors in CCE
Brown, Nicholas; Westerlund, Joakim - 2022
One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE …
Persistent link: https://www.econbiz.de/10013461522