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Estimating the speed of adjustment of leverage in the presence of interactive effects

Westerlund, Joakim; Karabiyik, Hande; Narayan, Paresh Kumar - In: Journal of financial econometrics 20 (2022) 5, pp. 942-960

Persistent link: https://www.econbiz.de/10013460044

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) approach, which uses the cross-sectional averages of the observables as proxies of the unobserved factors. The present paper proposes a simple test that is suitable for testing...

Persistent link: https://www.econbiz.de/10013461522

Structural breaks in interactive effects panels and the stock market reaction to COVID-19

Karavias, Yiannis; Narayan, Paresh Kumar; Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 653-666

Persistent link: https://www.econbiz.de/10014448426

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

Testing factors in CCE

Brown, Nicholas; Westerlund, Joakim - In: Economics letters 230 (2023), pp. 1-3

Persistent link: https://www.econbiz.de/10014460359

Using panel data to test for fiscal suatinabilitiy within the European Union

Prohl, Silika; Westerlund, Joakim - In: FinanzArchiv : European journal of public finance 65 (2009) 2, pp. 246-269

Persistent link: https://www.econbiz.de/10015099345

Breaks in persistence in fixed-T panel data

Westerlund, Joakim; Nordström, Marcus - In: Economics letters 205 (2021), pp. 1-3

Persistent link: https://www.econbiz.de/10013204922

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

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

Norkutė, Milda; Westerlund, Joakim - 2023

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

CCE in heterogenous fixed-T panels

Westerlund, Joakim; Kaddoura, Yousef - In: The econometrics journal 25 (2022) 3, pp. 719-738

Persistent link: https://www.econbiz.de/10013399863

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