← All authors Joakim Westerlund Lund University (from arXiv:2606.12184, 2026) · ORCID · OpenAlex
143 papers in scope · 140 published · 6 on the econ.EM arXiv · 16,281 citations · h-index 41 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Yiannis Karavias Jan Ditzen Paresh Kumar Narayan Chongxian Zhu Marco Barassi Simon Reese Joonhwah Lee Likai Chen Georg Keilbar Ovidijus Stauskas Martin Weidner Hugo Freeman Artūras Juodis Fei Liu Liangjun Su Yayi Yan Hyungsik Roger Moon Bin Peng Jiti Gao Iván Fernández-Val Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (6 of 143)
published 2026 · Oxford Bulletin of Economics and Statistics · first circulated 2023
Direct and Indirect Treatment Effects With Time‐Varying Covariates
published 2026 · Journal of Applied Econometrics
Panel Sequential Group Estimation of Interactive Effects Models
published 2026 · Oxford Bulletin of Economics and Statistics
with Ignace De Vos
On Robustness to Random Breaks in Panel Data
published 2025 · Oxford Bulletin of Economics and Statistics
with Yousef Kaddoura
working paper 2025 · arXiv
The PCDID Approach to Treatment Effects Estimation: A Further Investigation
published 2025 · Journal of Applied Econometrics · 1 citations
with Tilman Bretschneider
Testing and estimating structural breaks in time series and panel data in Stata
published 2025 · The Stata Journal Promoting communications on statistics and Stata · 49 citations
Estimating Aggregate Relationships in Panel Data via the LASSO
published 2025 · Oxford Bulletin of Economics and Statistics
CCE under nonrandom heterogeneity
published 2024 · Econometrics Journal · 2 citations
with Yousef Kaddoura
Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed
published 2024 · Journal of Applied Econometrics · 45 citations · first circulated 2021
A Factor‐Augmented New Keynesian Phillips Curve for the European Union Countries
published 2024 · Oxford Bulletin of Economics and Statistics · 1 citations
with Milda Norkutė
published 2023 · Econometric Theory · 2 citations · first circulated 2020
Testing factors in CCE
published 2023 · Economics Letters · 3 citations
with Nicholas M. Brown, Nicholas Brown
Using information criteria to select averages in CCE
published 2023 · Econometrics Journal · 8 citations
working paper 2023 · arXiv · 3 citations
working paper 2022 · arXiv · 8 citations
CCE in heterogenous fixed-T panels
published 2022 · Econometrics Journal · 11 citations
with Yousef Kaddoura
published 2022 · Journal of Business and Economic Statistics · 13 citations · first circulated 2021
The factor analytical approach in trending near unit root panels
published 2021 · Journal of Time Series Analysis · 1 citations · first circulated 2020
Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
published 2021 · Journal of Business and Economic Statistics · 4 citations
Breaks in persistence in fixed-T panel data
published 2021 · Economics Letters
with Marcus Nordström
Panel data measures of price discovery
published 2021 · Econometric Reviews · 8 citations
Estimating the Speed of Adjustment of Leverage in the Presence of Interactive Effects
published 2021 · Journal of Financial Econometrics · 7 citations
Essays in honor of Professor Badi H Baltagi
published 2021 · Empirical Economics · 4 citations · first circulated 2020
Forecasting using cross-section average–augmented time series regressions
published 2020 · Econometrics Journal · 12 citations
with Hande Karabiyik
The factor analytical approach in near unit root interactive effects panels
published 2020 · Journal of Econometrics · 6 citations
with Milda Norkutė
On the robustness of the pooled CCE estimator
published 2020 · Journal of Econometrics · 56 citations
Fixed effects demeaning in the presence of interactive effects in treatment effects regressions and elsewhere
published 2020 · Journal of Applied Econometrics · 12 citations
with Yana Petrova
A cross‐section average‐based principal components approach for fixed‐ T panels
published 2020 · Journal of Applied Econometrics
CCE in fixed‐ T panels
published 2019 · Journal of Applied Econometrics · 68 citations
with Yana Petrova, Milda Norkutė
On CCE estimation of factor-augmented models when regressors are not linear in the factors
published 2019 · Economics Letters · 11 citations
with Ignace De Vos
Robust block bootstrap panel predictability tests
published 2018 · Econometric Reviews · 7 citations · first circulated 2013
Testing additive versus interactive effects in fixed-T panels
published 2018 · Economics Letters · 9 citations
On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
published 2018 · Journal of Time Series Analysis · 12 citations
The factor analytical method for interactive effects dynamic panel models with moving average errors
published 2018 · Econometrics and Statistics · 4 citations
with Milda Norkutė
CCE estimation of factor‐augmented regression models with more factors than observables
published 2018 · Journal of Applied Econometrics · 27 citations · first circulated 2014
Optimal panel unit root testing with covariates
published 2018 · Econometrics Journal · 9 citations
Common Breaks in Means for Cross‐Correlated Fixed‐ T Panel Data
published 2018 · Journal of Time Series Analysis · 8 citations
Panel evidence on the ability of oil returns to predict stock returns in the G7 area
published 2018 · Energy Economics · 25 citations
with Susan Sunila Sharma
Subnational government tax revenue capacity and effort convergence: New evidence from sequential unit root tests
published 2018 · Economic Modelling · 11 citations
with Saeid Mahdavi
CCE in panels with general unknown factors
published 2018 · Econometrics Journal · 32 citations
Some preliminary evidence of price discovery in Islamic banks
published 2017 · Pacific-Basin Finance Journal · 16 citations
Asymptotic collinearity in CCE estimation of interactive effects models
published 2017 · Economic Modelling · 9 citations
with Yana Petrova
Lag truncation and the local asymptotic distribution of the ADF test for a unit root
published 2017 · Statistical Papers · 14 citations
Islamic spot and index futures markets: Where is the price discovery?
published 2017 · Pacific-Basin Finance Journal · 24 citations
A Factor Analytical Approach to Price Discovery
published 2017 · Oxford Bulletin of Economics and Statistics · 9 citations · first circulated 2014
Likelihood ratio tests for a unit root in panels with random effects
published 2016 · Statistics · 2 citations
with Rolf Larsson, Johan Lyhagen
Panel stationary tests against changes in persistence
published 2016 · Statistical Papers · 2 citations
On the role of the rank condition in CCE estimation of factor-augmented panel regressions
published 2016 · Journal of Econometrics · 76 citations
Are Islamic stock returns predictable? A global perspective
published 2016 · Pacific-Basin Finance Journal · 77 citations
Price discovery and asset pricing
published 2016 · Pacific-Basin Finance Journal · 35 citations
Are state–local government expenditures converging? New evidence based on sequential unit root tests
published 2016 · Empirical Economics · 5 citations
with Saeid Mahdavi
On the estimation and testing of predictive panel regressions
published 2016 · Journal of International Financial Markets Institutions and Money · 5 citations
Testing for Predictability in panels with General Predictors
published 2016 · Journal of Applied Econometrics · 41 citations · first circulated 2015
Panel multi-predictor test procedures with an application to emerging market sovereign risk
published 2016 · Emerging Markets Review · 6 citations
with Kannan Thuraisamy
An IV Test for a Unit Root in Generally Trending and Correlated Panels
published 2016 · Oxford Bulletin of Economics and Statistics · 2 citations
Testing for predictability in panels of any time series dimension
published 2016 · International Journal of Forecasting · 19 citations
Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
published 2016 · Journal of Business and Economic Statistics · 7 citations · first circulated 2014
Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi‐squared and Normal Limiting Distributions
published 2016 · Oxford Bulletin of Economics and Statistics · 23 citations
with Mehdi Hosseinkouchack
On the Use of GLS Demeaning in Panel Unit Root Testing
published 2016 · Journal of Business and Economic Statistics · 3 citations
A simple test for nonstationarity in mixed panels: A further investigation
published 2016 · Journal of Statistical Planning and Inference · 3 citations
A GARCH model for testing market efficiency
published 2015 · Journal of International Financial Markets Institutions and Money · 72 citations
Estimation of factor-augmented panel regressions with weakly influential factors
published 2015 · Econometric Reviews · 8 citations · first circulated 2014
Panicca: Panic on Cross‐Section Averages
published 2015 · Journal of Applied Econometrics · 124 citations
Do order imbalances predict Chinese stock returns? New evidence from intraday data
published 2015 · Pacific-Basin Finance Journal · 45 citations
Panel bootstrap tests of slope homogeneity
published 2015 · Empirical Economics · 29 citations
with Johan Blomquist
Error Correction Testing in Panels with Common Stochastic Trends
published 2015 · Journal of Applied Econometrics · 130 citations · first circulated 2008
On the determination of the number of factors using information criteria with data-driven penalty
published 2015 · Statistical Papers · 4 citations · first circulated 2014
with Sagarika Mishra
Testing for stock return predictability in a large Chinese panel
published 2015 · Emerging Markets Review · 38 citations
New tools for understanding the local asymptotic power of panel unit root tests
published 2015 · Journal of Econometrics · 13 citations
with Rolf Larsson
Cross-sectional averages versus principal components
published 2014 · Journal of Econometrics · 152 citations · first circulated 2011
Nonparametric rank tests for non-stationary panels
published 2014 · Journal of Econometrics · 1 citations
The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR( $$p$$ p ) errors
published 2014 · Statistical Papers · 2 citations
The Local Power of the CADF and CIPS Panel Unit Root Tests
published 2014 · Econometric Reviews · 72 citations
with Mehdi Hosseinkouchack, Martin Solberger
Does cash flow predict returns?
published 2014 · International Review of Financial Analysis · 9 citations
Rethinking the Univariate Approach to Panel Unit Root Testing: Using Covariates to Resolve the Incidental Trend Problem
published 2014 · Journal of Business and Economic Statistics · 4 citations
A simple test for nonstationarity in mixed panels with incidental trends
published 2014 · Economics Letters · 1 citations
On the use of panel cointegration tests in energy economics
published 2014 · Energy Economics · 39 citations
with Kannan Thuraisamy, Susan Sunila Sharma
A sequential purchasing power parity test for panels of large cross-sections and implications for investors
published 2014 · European Journal of Finance · 7 citations
A Factor Analytical Approach to the Efficient Futures Market Hypothesis
published 2014 · Journal of Futures Markets · 17 citations
The effect of recursive detrending on panel unit root tests
published 2014 · Journal of Econometrics · 30 citations
The power of PANIC
published 2014 · Journal of Econometrics · 14 citations
Small-Sample Improved Seasonal Unit Root Tests for Trending and Breaking Series
published 2014 · Communications in Statistics - Simulation and Computation · 3 citations
Panel versus GARCH information in unit root testing with an application to financial markets
published 2014 · Economic Modelling · 9 citations
A Random Coefficient Approach to the Predictability of Stock Returns in Panels
published 2014 · Journal of Financial Econometrics · 57 citations
Testing for Predictability in Conditionally Heteroskedastic Stock Returns
published 2014 · Journal of Financial Econometrics · 280 citations
Do oil prices predict economic growth? New global evidence
published 2013 · Energy Economics · 141 citations
Heteroscedasticity Robust Panel Unit Root Tests
published 2013 · Journal of Business and Economic Statistics · 25 citations
On the Importance of the First Observation in GLS Detrending in Unit Root Testing
published 2013 · Oxford Bulletin of Economics and Statistics · 1 citations
On the asymptotic distribution of the Dickey Fuller-GLS test statistic
published 2013 · Statistics · 3 citations
Testing slope homogeneity in large panels with serial correlation
published 2013 · Economics Letters · 681 citations
with Johan Blomquist
Pooled Panel Unit Root Tests and the Effect of Past Initialization
published 2013 · Econometric Reviews · 7 citations
On the choice of test for a unit root when the errors are conditionally heteroskedastic
published 2013 · Computational Statistics & Data Analysis · 5 citations
Testing the Efficient Market Hypothesis in Conditionally Heteroskedastic Futures Markets
published 2013 · Journal of Futures Markets · 50 citations
A sequential test for pair-wise convergence in Chinese provincial income
published 2013 · Journal of Asian Economics · 17 citations
Simple unit root testing in generally trending data with an application to precious metal prices in Asia
published 2013 · Journal of Asian Economics · 3 citations
On the estimation and inference in factor-augmented panel regressions with correlated loadings
published 2013 · Economics Letters · 86 citations
A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending
published 2013 · Journal of Time Series Analysis · 7 citations
On the implementation and use of factor-augmented regressions in panel data
published 2013 · Journal of Asian Economics · 43 citations
Alternative representations for cointegrated panels with global stochastic trends
published 2013 · Economics Letters · 6 citations
PANIC in the Presence of Uncertainty about the Deterministic Trend*
published 2012 · Oxford Bulletin of Economics and Statistics · 2 citations
with Johan Blomquist
Lessons from a Decade of IPS and LLC
published 2012 · Econometric Reviews · 100 citations
Indirect Estimation of Semiparametric Binary Choice Models*
published 2012 · Oxford Bulletin of Economics and Statistics · 3 citations
TESTING FOR UNIT ROOTS IN PANEL TIME‐SERIES MODELS WITH MULTIPLE LEVEL BREAKS*
published 2012 · Manchester School · 13 citations · first circulated 2009
Does the choice of estimator matter when forecasting returns?
published 2012 · Journal of Banking & Finance · 264 citations
A modified LLC panel unit root test of the PPP hypothesis
published 2012 · Empirical Economics · 19 citations
with Johan Blomquist
Effects of rent dependency on quality of government
published 2012 · Economics of Governance · 83 citations
with Mette Anthonsen, Åsa Löfgren, Klas Nilsson
Efficient but getting wet feet: A not-entirely-frivolous note on the side-effects of growth-promoting institutions
published 2011 · Economics Letters
with Carl Hampus Lyttkens, Tommy Andersson
Testing for a unit root in a random coefficient panel data model
published 2011 · Journal of Econometrics · 29 citations · first circulated 2009
with Rolf Larsson
Fiscal stringency and fiscal sustainability: Panel evidence from the American state and local governments
published 2011 · Journal of Policy Modeling · 76 citations
with Saeid Mahdavi
Financial systems and mechanisms of growth in different conditions of country risk
published 2011 · Applied Economics Letters · 8 citations
with Su-Yin Cheng, Han Hou, Chia-Cheng Ho
The tax-spending nexus: Evidence from a panel of US state–local governments
published 2010 · Economic Modelling · 42 citations · first circulated 2009
with Saeid Mahdavi, Fathali Firoozi
Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends*
published 2010 · Oxford Bulletin of Economics and Statistics · 15 citations
Why is Chinese provincial output diverging?
published 2010 · Journal of Asian Economics · 12 citations
with David Edgerton, Sonja Opper
A new poolability test for cointegrated panels
published 2009 · Journal of Applied Econometrics · 16 citations
with Wolfgang Heß
A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS
published 2009 · Econometric Theory · 41 citations · first circulated 2007
with Rolf Larsson
Estimating the gravity model without gravity using panel data
published 2009 · Applied Economics · 363 citations
with Fredrik Wilhelmsson
Using Panel Data to Test for Fiscal Sustainability within the European Union
published 2009 · FinanzArchiv Public Finance Analysis · 11 citations
with Silika Prohl
A note on the use of the LLC panel unit root test
published 2008 · Empirical Economics · 29 citations
Panel cointegration and the monetary exchange rate model
published 2008 · Economic Modelling · 62 citations
with Syed Abul Basher
Scheduling of a continuous plant with recycling of byproducts: A case study from a tissue paper mill
published 2008 · Computers & Chemical Engineering · 34 citations
with Pedro M. Castro, Sebastian Forssell
A Simple Test for Cointegration in Dependent Panels with Structural Breaks*
published 2008 · Oxford Bulletin of Economics and Statistics · 776 citations · first circulated 2007
with David Edgerton
Error-Correction–Based Cointegration Tests for Panel Data
published 2008 · The Stata Journal Promoting communications on statistics and Stata · 751 citations
with Damiaan Persyn
Panel cointegration tests of the sustainability hypothesis in rich OECD countries
published 2008 · Applied Economics · 72 citations
with Silika Prohl
Panel cointegration and the neutrality of money
published 2008 · Empirical Economics · 21 citations · first circulated 2006
with Mauro Costantini
Is there really a unit root in the inflation rate? More evidence from panel data models
published 2007 · Applied Economics Letters · 61 citations · first circulated 2006
with Syed Abul Basher
Panel cointegration tests of the Fisher effect
published 2007 · Journal of Applied Econometrics · 1180 citations · first circulated 2006
Can panel data really improve the predictability of the monetary exchange rate model?
published 2007 · Journal of Forecasting · 1 citations
with Syed Abul Basher
Testing for Error Correction in Panel Data*
published 2007 · Oxford Bulletin of Economics and Statistics · 5832 citations · first circulated 2005
Testing for Convergence in Carbon Dioxide Emissions Using a Century of Panel Data
published 2007 · Environmental and Resource Economics · 20 citations
with Syed Abul Basher
A panel bootstrap cointegration test
published 2007 · Economics Letters · 1069 citations
with David Edgerton
Mixed signals among tests for panel cointegration
published 2007 · Economic Modelling · 19 citations
with Syed Abul Basher
Farmland prices, structural breaks and panel data
published 2007 · European Review of Agricultural Economics · 30 citations
with Luciano Gutierrez, Kenneth W. Erickson, Ken Erickson
Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis
published 2007 · Journal of Financial Econometrics · 65 citations
A MILP model for N-dimensional allocation
published 2007 · Computers & Chemical Engineering · 28 citations
with Lazaros G. Papageorgiou, Tapio Westerlund
New Improved Tests for Cointegration with Structural Breaks
published 2006 · Journal of Time Series Analysis · 122 citations
with David Edgerton
Testing for panel cointegration with a level break
published 2006 · Economics Letters · 24 citations
Testing for Panel Cointegration with Multiple Structural Breaks*
published 2006 · Oxford Bulletin of Economics and Statistics · 339 citations · first circulated 2005
Reducing the size distortions of the panel LM Test for cointegration
published 2005 · Economics Letters · 16 citations
Optimization of block layout design problems with unequal areas: A comparison of MILP and MINLP optimization methods
published 2005 · Computers & Chemical Engineering · 117 citations
with Ignacio Castillo, Stefan Emet, Tapio Westerlund
Data Dependent Endogeneity Correction in Cointegrated Panels*
published 2005 · Oxford Bulletin of Economics and Statistics · 22 citations
New Simple Tests for Panel Cointegration
published 2005 · Econometric Reviews · 1284 citations
A Panel CUSUM Test of the Null of Cointegration*
published 2005 · Oxford Bulletin of Economics and Statistics · 118 citations · first circulated 2003
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