Prof Joakim Westerlund

STAFF PROFILE

Position

Chair In Economics

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Melbourne Burwood Campus

Contact

j.westerlund@deakin.edu.au
+61 3 924 46973

Research interests

Time series and panel data models; unit root testing; cointegration testing and estimation; predictive regressions; common factor models; factor-augmented regression models.

Teaching interests

Econometrics

Units taught

MAE 406; MAF 723

Publications

Filter by

2016

The local power of the CADF and CIPS panel unit root tests

Prof Joakim Westerlund, Mehdi Hosseinkouchack, Martin Solberger

(2016), Vol. 35, pp. 845-870, Econometric reviews, London, Eng., C1

journal

Panel bootstrap tests of slope homogeneity

Johan Blomquist, Prof Joakim Westerlund

(2016), Vol. 50, pp. 1359-1381, Empirical economics, Berlin, Germany, C1

journal

Modified CADF and CIPS panel unit root statistics with standard chi-squared and normal limiting distributions

Prof Joakim Westerlund, Mehdi Hosseinkouchack

(2016), Vol. 78, pp. 347-364, Oxford bulletin of economics and statistics, London, Eng., C1

journal

The asymptotic distribution of the CADF unit root test in the presence of heterogeneous AR(p) errors

Prof Joakim Westerlund

(2016), Vol. 57, pp. 303-317, Statistical papers, Berlin, Germany, C1

journal

Pooled panel unit root tests and the effect of past initialization

Prof Joakim Westerlund

(2016), Vol. 35, pp. 396-427, Econometric reviews, London, Eng., C1-1

journal

Testing for predictability in panels of any time series dimension

Prof Joakim Westerlund, Prof Paresh Narayan

(2016), Vol. 32, pp. 1162-1177, International journal of forecasting, Amsterdam, The Netherlands, C1

journal

A GARCH model for testing market efficiency

Prof Paresh Narayan, Dr Ruipeng Liu, Prof Joakim Westerlund

(2016), Vol. 41, pp. 121-138, Journal of international financial markets, institutions and money, Amsterdam, The Netherlands, C1

journal
2015

A factor analytical approach to the efficient futures market hypothesis

Prof Joakim Westerlund, Milda Norkute, Prof Paresh Narayan

(2015), Vol. 35, pp. 357-370, Journal of futures markets, London, Eng., C1

journal

Small-sample improved seasonal unit root tests for trending and breaking series

Mauro Costantini, Prof Paresh Narayan, Stephan Popp, Prof Joakim Westerlund

(2015), Vol. 44, pp. 868-877, Communications in statistics: simulation and computation, London, Eng., C1

journal

Testing for predictability in conditionally heteroskedastic stock returns

Prof Joakim Westerlund, Prof Paresh Narayan

(2015), Vol. 13, pp. 342-375, Journal of financial econometrics, Oxford, Eng., C1

journal

Testing for stock return predictability in a large Chinese panel

Prof Joakim Westerlund, Prof Paresh Narayan, Dr Xinwei Zheng

(2015), Vol. 24, pp. 81-100, Emerging markets review, Amsterdam, The Netherlands, C1

journal

On the use of panel cointegration tests in energy economics

Prof Joakim Westerlund, Dr Kannan Thuraisamy, Dr Susan Sharma

(2015), Vol. 50, pp. 359-363, Energy economics, Amsterdam, The Netherlands, C1

journal

Cross-sectional averages versus principal components

Prof Joakim Westerlund, Jean-Pierre Urbain

(2015), Vol. 185, pp. 372-377, Journal of econometrics, Amsterdam, The Netherlands, C1

journal

New tools for understanding the local asymptotic power of panel unit root tests

Prof Joakim Westerlund, Rolf Larsson

(2015), Vol. 188, pp. 59-93, Journal of econometrics, Amsterdam, The Netherlands, C1

journal

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

Prof Joakim Westerlund

(2015), Vol. 77, pp. 152-161, Oxford bulletin of economics and statistics, London, Eng., C1

journal

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

Prof Joakim Westerlund

(2015), Vol. 33, pp. 430-443, Journal of business and economic statistics, London, Eng., C1

journal

The effect of recursive detrending on panel unit root tests

Prof Joakim Westerlund

(2015), Vol. 185, pp. 453-467, Journal of econometrics, Amsterdam, The Netherlands, C1

journal

The power of PANIC

Prof Joakim Westerlund

(2015), Vol. 185, pp. 495-509, Journal of econometrics, Amsterdam, The Netherlands, C1

journal

A sequential purchasing power parity test for panels of large cross-sections and implications for investors

Prof Joakim Westerlund, Prof Paresh Narayan

(2015), Vol. 21, pp. 1317-1333, European journal of finance, London, Eng., C1

journal

Do order imbalances predict Chinese stock returns? New evidence from intraday data

Prof Paresh Narayan, Seema Narayan, Prof Joakim Westerlund

(2015), Vol. 34, pp. 136-151, Pacific basin finance journal, Amsterdam, The Netherlands, C1

journal

Nonparametric rank tests for non-stationary panels

Peter Pedroni, Timothy Vogelsang, Martin Wagner, Prof Joakim Westerlund

(2015), Vol. 185, pp. 378-391, Journal of econometrics, Amsterdam, The Netherlands, C1

journal

A random coefficient approach to the predictability of stock returns in panels

Prof Joakim Westerlund, Prof Paresh Narayan

(2015), Vol. 13, pp. 605-664, Journal of financial econometrics, Oxford, Eng., C1

journal

A sequential purchasing power parity test for panels of large cross-sections and implications for investors

Prof Joakim Westerlund, Prof Paresh Narayan

(2015), Vol. 21, pp. 1317-1333, European journal of finance, Abingdon, Eng., C1

journal
2014

Do oil prices predict economic growth? New global evidence

Prof Paresh Narayan, Dr Susan Sharma, Wai Ching Poon, Prof Joakim Westerlund

(2014), Vol. 41, pp. 137-146, Energy economics, Amsterdam, The Netherlands, C1

journal

Panel versus GARCH information in unit root testing with an application to financial markets

Prof Joakim Westerlund, Prof Paresh Narayan

(2014), Vol. 41, pp. 173-176, Economic modelling, Amsterdam, The Netherlands, C1

journal

Does cash flow predict returns?

Prof Paresh Narayan, Prof Joakim Westerlund

(2014), Vol. 35, pp. 230-236, International review of financial analysis, Amsterdam, Netherlands, C1

journal

Heteroscedasticity robust panel unit root tests

Prof Joakim Westerlund

(2014), Vol. 32, pp. 112-135, Journal of business & economic statistics, London, Eng., C1

journal

Indirect estimation of semiparametric binary choice models*

Prof Joakim Westerlund, Per Hjertstrand

(2014), Vol. 76, pp. 298-314, Oxford bulletin of economics and statistics, London, Eng., C1

journal

On the asymptotic distribution of the Dickey Fuller-GLS test statistic

Prof Joakim Westerlund

(2014), Vol. 48, pp. 1233-1253, Statistics, London, Eng., C1

journal

On the choice of test for a unit root when the errors are conditionally heteroskedastic

Prof Joakim Westerlund

(2014), Vol. 69, pp. 40-53, Computational statistics & data analysis, Amsterdam, The Netherlands, C1

journal

A non-stationary panel data investigation of the unemployment–crime relationship

Johan Blomquist, Prof Joakim Westerlund

(2014), Vol. 44, pp. 114-125, Social science research, Amsterdam, The Netherlands, C1

journal

Application of air quality combination forecasting to Bogota

Prof Joakim Westerlund, Jean-Pierre Urbain, Jorge Bonilla

(2014), Vol. 89, pp. 22-28, Atmospheric environment, Amsterdam, The Netherlands, C1-1

journal

A simple test for nonstationarity in mixed panels with incidental trends

Prof Joakim Westerlund

(2014), Vol. 125, pp. 160-163, Economics letters, Amsterdam, The Netherlands, C1-1

journal
2013

On the estimation and inference in factor-augmented panel regressions with correlated loadings

Prof Joakim Westerlund, Jean-Pierre Urbain

(2013), Vol. 119, pp. 247-250, Economics letters, Amsterdam, The Netherlands, C1

journal

A sequential test for pair-wise convergence in Chinese provincial income

Prof Joakim Westerlund

(2013), Vol. 27, pp. 1-6, Journal of Asian economics, Amsterdam, The Netherlands, C1

journal

Simple unit root testing in generally trending data with an application to precious metal prices in Asia

Prof Joakim Westerlund

(2013), Vol. 28, pp. 12-27, Journal of Asian economics, Amsterdam, The Netherlands, C1

journal

Alternative representations for cointegrated panels with global stochastic trends

Christian Gengenbach, Jean-Pierre Urbain, Prof Joakim Westerlund

(2013), Vol. 118, pp. 485-488, Economics letters, Amsterdam, The Netherlands, C1

journal

A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending

Prof Joakim Westerlund

(2013), Vol. 34, pp. 477-495, Journal of time series analysis, Chichester, England, C1

journal

Testing the efficient market hypothesis in conditionally heteroskedastic futures markets

Prof Joakim Westerlund, Prof Paresh Narayan

(2013), Vol. 33, pp. 1024-1045, Journal of futures markets, Malden, Mass., C1

journal

On the implementation and use of factor-augmented regressions in panel data

Prof Joakim Westerlund, Jean-Pierre Urbain

(2013), Vol. 28, pp. 3-11, Journal of Asian economics, Amsterdam, The Netherlands, C1

journal

A modified LLC panel unit root test of the PPP hypothesis

Prof Joakim Westerlund, Johan Blomquist

(2013), Vol. 44, pp. 833-860, Empirical economics, Heidelberg, Germany, C1

journal

Lessons from a decade of IPS and LLC

Prof Joakim Westerlund, Jorg Breitung

(2013), Vol. 32, pp. 547-591, Econometric reviews, Abingdon, England, C1-1

journal

PANIC in the presence of uncertainty about the deterministic trend

Prof Joakim Westerlund, Johan Blomquist

(2013), Vol. 75, pp. 123-135, Oxford bulletin of economics and statistics, Chichester, England, C1

journal

Testing slope homogeneity in large panels with serial correlation

Johan Blomquist, Prof Joakim Westerlund

(2013), Vol. 121, pp. 374-378, Economics letters, Amsterdam, The Netherlands, C1-1

journal
2012

Testing for a unit root in a random coefficient panel data model

Prof Joakim Westerlund, Rolf Larsson

(2012), Vol. 167, pp. 254-273, Journal of econometrics, Amsterdam, The Netherlands, C1

journal

Does the choice of estimator matter when forecasting returns?

Prof Joakim Westerlund, Prof Paresh Narayan

(2012), Vol. 36, pp. 2632-2640, Journal of banking and finance, Amsterdam, The Netherlands, C1

journal

Effects of rent dependency on quality of government

Mette Anthonsen, Asa Lofgren, Klas Nilsson, Prof Joakim Westerlund

(2012), Vol. 13, pp. 145-168, Economics of governance, Heidelberg, Germany, C1-1

journal

Efficient but getting wet feet: A not-entirely-frivolous note on the side-effects of growth-promoting institutions

Carl Hampus Lyttkens, Prof Joakim Westerlund, Tommy Andersson

(2012), Vol. 115, pp. 118-121, Economics letters, Amsterdam, Netherlands, C1

journal

Testing for unit roots in panel time-series models with multiple level breaks

Prof Joakim Westerlund

(2012), Vol. 80, pp. 671-699, Manchester school, Chichester, England, C1-1

journal
2011

Financial systems and mechanisms of growth in different conditions of country risk

Su-Yin Cheng, Han Hou, Chia-Cheng Ho, Prof Joakim Westerlund

(2011), Vol. 18, pp. 1021-1028, Applied economics letters, Abingdon, England, C1-1

journal

A new poolability test for cointegrated panels

Prof Joakim Westerlund, Wolfgang Hess

(2011), Vol. 26, pp. 56-88, Journal of applied econometrics, London, England, C1-1

journal

The tax-spending nexus : evidence from a panel of US state–local governments

Prof Joakim Westerlund, Saeid Mahdavi, Fathali Firoozi

(2011), Vol. 28, pp. 885-890, Economic modelling, Amsterdam, The Netherlands, C1-1

journal

Estimating the gravity model without gravity using panel data

Prof Joakim Westerlund, Fredrik Wilhelmsson

(2011), Vol. 43, pp. 641-649, Applied economics, Abingdon, England, C1-1

journal

Fiscal stringency and fiscal sustainability : panel evidence from the American state and local governments

Saeid Mahdavi, Prof Joakim Westerlund

(2011), Vol. 33, pp. 953-969, Journal of policy modeling, Amsterdam, The Netherlands, C1-1

journal

Least squares asymptotics in spurious and cointegrated panel regressions with common and idiosyncratic stochastic trends

Jean-Pierre Urbain, Prof Joakim Westerlund

(2011), Vol. 73, pp. 119-139, Oxford bulletin of economics and statistics, London, England, C1-1

journal
2010

Why is Chinese provincial output diverging?

Prof Joakim Westerlund, David L. Edgerton, Sonja Opper

(2010), Vol. 21, pp. 333-344, Journal of Asian economics, Amsterdam, The Netherlands, C1-1

journal

Panel cointegration tests of the sustainability hypothesis in rich OECD countries

Prof Joakim Westerlund, Silika Prohl

(2010), Vol. 42, pp. 1355-1364, Applied economics, Abingdon, Eng., C1-1

journal
2009

A note on the use of the LLC panel unit root test

Prof Joakim Westerlund

(2009), Vol. 37, pp. 517-531, Empirical economics, New York, N.Y., C1-1

journal

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

Silika Prohl, Prof Joakim Westerlund

(2009), Vol. 65, pp. 246-269, Finanz-Archiv: Zeitschrift für das Gesamte Finanzwesen, Stuttgart, Germany, C1-1

journal

Panel cointegration and the monetary exchange rate model

Syed Basher, Prof Joakim Westerlund

(2009), Vol. 26, pp. 506-513, Economic modelling, Amsterdam, The Netherlands, C1-1

journal

Panel cointegration and the neutrality of money

Prof Joakim Westerlund, Mauro Costantini

(2009), Vol. 36, pp. 1-26, Empirical economics, New York, N. Y., C1-1

journal

A note on the pooling of individual panic unit root tests

Prof Joakim Westerlund, Rolf Larsson

(2009), Vol. 25, pp. 1851-1868, Econometric theory, Cambridge, Eng., C1-1

journal
2008

Testing for convergence in carbon dioxide emissions using a century of panel data

Prof Joakim Westerlund, Syed Basher

(2008), Vol. 40, pp. 109-120, Environmental and resource economics, Berlin, Germany, C1-1

journal

Class size and student evaluations in Sweden

Prof Joakim Westerlund

(2008), Vol. 16, pp. 19-28, Education economics, London, Eng., C1-1

journal

Mixed signals among tests for panel cointegration

Prof Joakim Westerlund, Syed Basher

(2008), Vol. 25, pp. 128-136, Economic modelling, Amsterdam, The Netherlands, C1-1

journal

Panel cointegration tests of the Fisher effect

Prof Joakim Westerlund

(2008), Vol. 23, pp. 193-233, Journal of applied econometrics, London, Eng., C1-1

journal

Error-correction-based cointegration tests for panel data

Damiaan Persyn, Prof Joakim Westerlund

(2008), Vol. 8, pp. 232-241, Stata journal, College Station, Tex., C1-1

journal

Is there really a unit root in the inflation rate? More evidence from panel data models

Syed Basher, Prof Joakim Westerlund

(2008), Vol. 15, pp. 161-164, Applied economics letters, London, Eng., C1-1

journal

A simple test for cointegration in dependent panels with structural breaks

Prof Joakim Westerlund, David L. Edgerton

(2008), Vol. 70, pp. 665-704, Oxford bulletin of economics and statistics, Chichester, Eng., C1-1

journal
2007

Can panel data really improve the predictability of the monetary exchange rate model?

Prof Joakim Westerlund, Syed Basher

(2007), Vol. 26, pp. 365-383, Journal of forecasting, London, Eng., C1-1

journal

Farmland prices, structural breaks and panel data

Luciano Gutierrez, Prof Joakim Westerlund, Kenneth Erickson

(2007), Vol. 34, pp. 161-179, European review of agricultural economics, Oxford, Eng., C1-1

journal

Estimating cointegrated panels with common factors and the forward rate unbiasedness hypothesis

Prof Joakim Westerlund

(2007), Vol. 5, pp. 491-522, Journal of financial econometrics, Oxford, Eng., C1-1

journal

A panel bootstrap cointegration test

Prof Joakim Westerlund, David L. Edgerton

(2007), Vol. 97, pp. 185-190, Economics letters, Amsterdam, The Netherlands, C1-1

journal

Testing for error correction in panel data

Prof Joakim Westerlund

(2007), Vol. 69, pp. 709-748, Oxford bulletin of economics and statistics, Chichester, Eng., C1-1

journal

New improved tests for cointegration with structural breaks

Prof Joakim Westerlund, David L. Edgerton

(2007), Vol. 28, pp. 188-224, Journal of time series analysis, Chichester, Eng., C1-1

journal
2006

Testing for panel cointegration with a level break

Prof Joakim Westerlund

(2006), Vol. 91, pp. 27-33, Economics letters, Amsterdam, The Netherlands, C1-1

journal

Reducing the size distortions of the panel LM test for cointegration

Prof Joakim Westerlund

(2006), Vol. 90, pp. 384-389, Economics letters, Amsterdam, The Netherlands, C1-1

journal

Testing for panel cointegration with multiple structural breaks

Prof Joakim Westerlund

(2006), Vol. 68, pp. 101-132, Oxford bulletin of economics and statistics, Chichester, Eng., C1-1

journal
2005

A panel CUSUM test of the null of cointegration

Prof Joakim Westerlund

(2005), Vol. 67, pp. 231-262, Oxford bulletin of economics and statistics, Chichester, Eng., C1-1

journal

Practitioners' corner: data dependent endogeneity correction in cointegrated panels

Prof Joakim Westerlund

(2005), Vol. 67, pp. 691-705, Oxford bulletin of economics and statistics, Chichester, Eng., C1-1

journal

Panel cointegration tests of the Fisher hypothesis

Prof Joakim Westerlund

(2005), pp. 1-1, Working Paper, Lund, Sweden, C1-1

journal

New simple tests for panel cointegration

Prof Joakim Westerlund

(2005), Vol. 24, pp. 297-316, Econometric reviews, Oxford, Eng., C1-1

journal