The main result is that small, illiquid and undercapitalized banks are significantly affected by. Joakim westerlund lund university and financial econometrics group centre for research in economics and financial econometrics deakin university may 29, 2015 abstract one of the most wellknown facts about unit root testing in time series is that the dickeyfuller df test based on ols demeaned data suffers from low power, and that. On the determination of the number of factors using information criteria with datadriven penalty, statistical papers, springer, vol. There is a burgeoning literature based on using panel cointegration techniques to study the relationship between energy consumption and gdp. An iv test for a unit root in generally trending and correlated panels, oxford bulletin of economics and statistics, department of economics, university of oxford, vol. Testing for stock return predictability in a large chinese panel. Urbain, jeanpierre and westerlund, joakim lu in journal of applied econometrics 34 2. Buy essays on panel cointegration by joakim westerlund isbn. A common feature of these strands is that they all focus on the us for. Squared and normal limiting distributions june 2016. I joined lund university as professor of economics in 2014 at which time i also became wallenberg academy fellow. Oxford bulletin of economics and statistics 67, 231262, 2005. N2 this paper examines the source of price discovery for islamic stocks. Financial econometrics series swp 201511 testing for.
M6, we test for bank loan supply shifts by segregating banks by asset size, liquidity and capitalization. We pair a large number of islamic stocks to countryspecific index futures and estimate. My primary research interest is the analysis of nonstationary panel data. Joakim book is an economics graduate of the university of glasgow, and is currently a graduate student at the university of oxford. This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the crosssection. On the use of panel cointegration tests in energy economics. In this paper, we test the bank lending channel of monetary policy transmission in sweden. A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext. Empirical economics publishes high quality papers using econometric or statistical methods to fill the gap between economic theory and observed data.
Lund university publications lund university libraries. For any citation based criterion, only works that could be parsed by the citec project are considered. Buy essays on panel cointegration by westerlund, joakimauthor paperback by joakim westerlund isbn. Joakim westerlund research outputs lund university. Modified cadf and cips panel unit root statistics with. An iv test for a unit root in generally trending and. Lund university department of economics, lund university department of economics and deakin university school of accounting, economics and finance downloads 1 662,228. Joakim westerlund school of economics and management department of economics lund university box 7080 se220 07 lund. A new poolability test for cointegrated panels by joakim.
Hansen 2000, 20201 university of wisconsin department of economics this revision. Which is the best way to test for panel cointegration. Using a panel of bank balance sheet data covering the period 1998. The author would also like to thank the maastricht research school of economics of technology and organizations for its hospitality during a visit at the department of quantitative economics at the university of maastricht, where a part of this paper was written. This article describes a new stata command called xtwest, which implements the four errorcorrection based panel cointegration tests developed by westerlund 2007. Hjalmarsson predicting global stock returns, journal of financial and quantitative analysis 45, 4980, 2010 considers an olsbased estimator of predictive panel regressions that is claimed to. Financial econometrics series swp 201520 on the use of.
The tests are simple because they do not require any correction for the temporal dependencies of the data. I have been focusing on the case when both the number of time periods, t, and the number crosssectional units, n, are large, but i have also considered panels where n or t are small and only one of the indices are required to be large. Using principal component analysis to estimate a high dimensional factor model with highfrequency data. Yet they are able to accommodate individual specific shortrun dynamics, individual specific intercept and trend terms, and. Joakim westerlund, simon reese and paresh kumar narayan. Testing for error correction in panel data by joakim. This article describes a new stata command called xtwest, which implements the four errorcorrectionbased panel cointegration tests developed by westerlund 2007.
I have ordered numerous inspection copies of book but no luck so far. Westerlund, joakim, an iv test for a unit root in generally trending and correlated panels october 2016. Joakim westerlund is a professor and chair in the department of economics in deakin business school. A panel data test of the bank lending channel in sweden. Oxford bulletin of economics and statistics 67 2, 231262, 2005.
Errorcorrectionbased cointegration tests for panel data. Joakim westerlund is professor of economics at lund university and professor of financial econometrics at deakin university. For any ranking of people, only those registered with the repec author service can be taken into account. Most cited journal of econometrics articles elsevier. He has published over 100 papers in journals such as journal of econometrics, journal of applied econometrics, journal of financial econometrics, journal of business and economic statistics, oxford bulletin of economics. School of accounting, economics and finance financial econometrics series. Joakim westerlund, department of economics, lund university, sweden. On estimation and inference in heterogeneous panel.
Joakim westerlund, department of economics, lund university, box 7082, 220 07 lund, sweden. A bootstrap panel data analysis, economic modelling, elsevier, vol. Testing for error correction in panel data westerlund. It is based on a limited sample of the research output in economics and finance. Westerlund, joakim and hosseinkouchack, mehdi, modified cadf and cips panel unit root statistics with standard chi. Most cited journal of econometrics articles the most cited articles published since 2017, extracted from scopus. Joakim has been focusing on the case when both the number of time periods, t and the number crosssectional units, n, are large but have also considered panels. The tests are general enough to allow for a large degree of heterogeneity, both in the longrun cointegrating relationship and in the shortrun dynamics, and dependence within as well as across the cross. Kunst institute for advanced studies department of economics university of vienna josefstadter stra. February, 2020 comments welcome 1this manuscript may be printed and reproduced for individual or instructional use, but.
The working papers are a series of manuscripts in their draft form. The tests are general enough to allow for a large degree of heterogeneity, both in the longrun cointegrating relationship and in the shortrun dynamics, and dependence within as. In between i have professor of econometrics at the university of gothenburg and professor of financial econometrics. I actually started my academic carrier in lund back in 2001, which resulted in the completion of my phd thesis in 2005 and promotion to associate professor in 2007. Unfortunately, finding a book within the narrow field of time series and with the appropriate level is very difficult. Joakim westerlund, kannan thuraisamy, susan sharma, on the use of panel cointegration tests in energy economics, energy economics. The current paper illustrates how a rejection by such a test cannot be taken as evidence of cointegration for the panel as a whole, a fact that seems. Everyday low prices and free delivery on eligible orders.
Financial econometrics series swp 2014 time series. Most panel cointegration tests employed take no cointegration as the null hypothesis. Joakims primary research interest is the analysis of panel data. Papers explore such topics as estimation of established relationships between economic variables, testing of hypotheses derived from economic theory, treatment effect estimation, policy evaluation, simulation, forecasting, as well. Abstract in this paper, two new simple residualbased panel data tests are proposed for the null of no cointegration. I have also begun writing a book together with jushan bai. Panel cointegration and the monetary exchange rate model.
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