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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

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

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

On the importance of the first observation in GLS detrending in unit root testing

Westerlund, Joakim - In: Oxford bulletin of economics and statistics 77 (2015) 1, pp. 152-161

Persistent link: https://www.econbiz.de/10011373616

Nonparametric rank tests for non-stationary panels

Pedroni, Peter Louis; Vogelsang, Timothy J.; Wagner, Martin - 2011

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of...

Persistent link: https://www.econbiz.de/10009686205

A GARCH model for testing market efficiency

Narayan, Paresh Kumar; Liu, Ruipeng; Westerlund, Joakim - In: Journal of international financial markets, … 41 (2016), pp. 121-138

Persistent link: https://www.econbiz.de/10011475947

Subnational government tax revenue capacity and effort convergence : new evidence from sequential unit root tests

Mahdavi, Saeid; Westerlund, Joakim - In: Economic modelling 73 (2018), pp. 174-183

Persistent link: https://www.econbiz.de/10012100521

Rethinking the univariate approach to panel unit root testing : using covariates to resolve the incidental trend problem

Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 430-443

Persistent link: https://www.econbiz.de/10011391381

An IV test for a unit root in generally trending and correlated panels

Westerlund, Joakim - In: Oxford bulletin of economics and statistics 78 (2016) 5, pp. 752-764

Persistent link: https://www.econbiz.de/10011579106

Pooled panel unit root tests and the effect of past initialization

Westerlund, Joakim - In: Econometric reviews 35 (2016) 1/4, pp. 396-427

Persistent link: https://www.econbiz.de/10011550017