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

2017

Testing for predictability in panels with general predictors

J Westerlund, H Karabiyik, P Narayan

(2017), Vol. 32, pp. 554-574, Journal of applied econometrics, Chichester, Eng., C1

journal

On the role of the rank condition in CCE estimation of factor-augmented panel regressions

H Karabiyik, S Reese, J Westerlund

(2017), Vol. 197, pp. 60-64, Journal of econometrics, Amsterdam, The Netherlands, C1

journal

Islamic spot and index futures markets: where is the price discovery?

H Karabiyik, P Narayan, D Phan, J Westerlund

(2017), pp. 1-11, Pacific-basin finance journal, Amsterdam, The Netherlands, C1

journal

Lag truncation and the local asymptotic distribution of the ADF test for a unit root

E Aylar, S Smeekes, J Westerlund

(2017), pp. 1-10, Statistical papers, Berlin, Germany, C1

journal

On the use of GLS demeaning in panel unit root testing

J Westerlund

(2017), pp. 1-12, Journal of business and economic statistics, Abingdon, Eng., C1

journal

Unit root inference in generally trending and cross-correlated fixed-T panels

D Robertson, V Sarafidis, J Westerlund

(2017), pp. 1-12, Journal of business and economic statistics, Abingdon, Eng., C1

journal
2016

Estimation of factor-augmented panel regressions with weakly influential factors

S Reese, Westerlund

(2016), Vol. In press, pp. 1-123, Econometric reviews, New York, N.Y., C1

journal

Panel bootstrap tests of slope homogeneity

J Blomquist, P Westerlund

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

journal

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

J Westerlund

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

journal

Pooled panel unit root tests and the effect of past initialization

J Westerlund

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

journal

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

Westerlund, M Hosseinkouchack, M Solberger

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

journal

A simple test for nonstationarity in mixed panels: A further investigation

Westerlund

(2016), Vol. 173, pp. 1-30, Journal of statistical planning and inference, Amsterdam, The Netherlands, C1

journal

A GARCH model for testing market efficiency

P Narayan, R Liu, J Westerlund

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

journal

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

J Westerlund, M Hosseinkouchack

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

journal

Testing for predictability in panels of any time series dimension

J Westerlund, P Narayan

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

journal

Panel multi-predictor test procedures with an application to emerging market sovereign risk

J Westerlund, K Thuraisamy

(2016), Vol. 28, pp. 44-60, Emerging markets review, Amsterdam, The Netherlands, C1

journal

On the estimation and testing of predictive panel regressions

H Karabiyik, J Westerlund, P Narayan

(2016), Vol. 45, pp. 115-125, Journal of international financial markets, institutions and money, Amsterdam, The Netherlands, C1

journal

Are state-local government expenditures converging? New evidence based on sequential unit root tests

S Mahdavi, J Westerlund

(2016), Vol. 53, pp. 1-31, Empirical economics, Berlin, Germany, C1

journal

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

J Westerlund

(2016), Vol. 78, pp. 752-764, Oxford bulletin of economics and statistics, Chichester, Eng., C1

journal

Error correction testing in panels with common stochastic trends

C Gengenbach, J Urbain, J Westerlund

(2016), Vol. 31, pp. 982-1004, Journal of applied econometrics, Chichester, Eng., C1

journal

Are Islamic stock returns predictable? : a global perspective

P Narayan, D Phan, S Sharma, J Westerlund

(2016), Vol. 40, pp. 210-223, Pacific-basin finance journal, Amsterdam, The Netherlands, C1

journal

Price discovery and asset pricing

P Narayan, D Phan, K Thuraisamy, J Westerlund

(2016), Vol. 40, pp. 224-235, Pacific-basin finance journal, Amsterdam, The Netherlands, C1

journal

Panel stationary tests against changes in persistence

R Cerqueti, M Costantini, L Gutierrez, J Westerlund

(2016), pp. 1-22, Statistical papers, Berlin, Germany, C1

journal

Likelihood ratio tests for a unit root in panels with random effects

R Larsson, J Lyhagen, P Westerlund

(2016), Vol. 51, pp. 1-28, Statistics, London, Eng., C1

journal
2015

A factor analytical approach to the efficient futures market hypothesis

J Westerlund, M Norkute, P Narayan

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

journal

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

P Westerlund, P Narayan

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

journal

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

M Costantini, P Narayan, S Popp, J Westerlund

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

journal

Nonparametric rank tests for non-stationary panels

P Pedroni, T Vogelsang, M Wagner, J Westerlund

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

journal

On the use of panel cointegration tests in energy economics

J Westerlund, K Thuraisamy, S Sharma

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

journal

Testing for predictability in conditionally heteroskedastic stock returns

J Westerlund, P Narayan

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

journal

On the determination of the number of factors using information criteria with data-driven penalty

J Westerlund, S Mishra

(2015), Vol. 58, pp. 1-24, Statistical papers, Berlin, Germany, C1

journal

Testing for stock return predictability in a large Chinese panel

Westerlund, P Narayan, X Zheng

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

journal

Panicca: panic on cross-section averages

S Reese, J Westerlund

(2015), pp. 1-21, Journal of applied econometrics, London, Eng., C1-1

journal

The effect of recursive detrending on panel unit root tests

P Westerlund

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

journal

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

P Westerlund

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

journal

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

P Narayan, S Narayan, J Westerlund

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

journal

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

P Westerlund, R Larsson

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

journal

Cross-sectional averages versus principal components

P Westerlund, J-P Urbain

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

journal

The power of PANIC

P Westerlund

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

journal

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

Westerlund

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

journal

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

Westerlund, P Narayan

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

journal
2014

Do oil prices predict economic growth? New global evidence

P Narayan, S Sharma, W Poon, J 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

J Westerlund, P Narayan

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

journal

Does cash flow predict returns?

P Narayan, J Westerlund

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

journal

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

J Blomquist, J Westerlund

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

journal

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

J Westerlund

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

journal

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

J Westerlund

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

journal

Heteroscedasticity robust panel unit root tests

J Westerlund

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

journal

Indirect estimation of semiparametric binary choice models*

J Westerlund, P Hjertstrand

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

journal

A simple test for nonstationarity in mixed panels with incidental trends

J Westerlund

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

journal

Application of air quality combination forecasting to Bogota

J Westerlund, J-P Urbain, J Bonilla

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

journal
2013

Testing the efficient market hypothesis in conditionally heteroskedastic futures markets

J Westerlund, P Narayan

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

journal

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

J 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

C Gengenbach, J Urbain, J 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

J Westerlund

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

journal

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

J Westerlund

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

journal

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

J Westerlund, J 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

J Westerlund, J Blomquist

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

journal

Lessons from a decade of IPS and LLC

J Westerlund, J Breitung

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

journal

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

J Westerlund, J Urbain

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

journal

PANIC in the presence of uncertainty about the deterministic trend

J Westerlund, J 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

J Blomquist, J 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

J Westerlund, R Larsson

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

journal

Does the choice of estimator matter when forecasting returns?

J Westerlund, P Narayan

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

journal

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

C Lyttkens, J Westerlund, T Andersson

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

journal

Effects of rent dependency on quality of government

M Anthonsen, Å Löfgren, K Nilsson, J Westerlund

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

journal

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

J Westerlund

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

journal
2011

A new poolability test for cointegrated panels

J Westerlund, W Hess

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

journal

Estimating the gravity model without gravity using panel data

J Westerlund, F Wilhelmsson

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

journal

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

S Cheng, H Hou, C Ho, J Westerlund

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

journal

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

S Mahdavi, J 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

J Urbain, J Westerlund

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

journal

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

J Westerlund, S Mahdavi, F Firoozi

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

journal
2010

Why is Chinese provincial output diverging?

J Westerlund, D Edgerton, S 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

J Westerlund, S 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

J Westerlund

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

journal

Panel cointegration and the monetary exchange rate model

S Basher, J Westerlund

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

journal

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

S Prohl, J Westerlund

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

journal
2008

Panel cointegration tests of the Fisher effect

J Westerlund

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

journal

Mixed signals among tests for panel cointegration

J Westerlund, S Basher

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

journal

Error-correction-based cointegration tests for panel data

D Persyn, J Westerlund

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

journal

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

J Westerlund, S Basher

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

journal

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

S Basher, J Westerlund

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

journal

Class size and student evaluations in Sweden

J Westerlund

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

journal
2007

Testing for error correction in panel data

J 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

J Westerlund, D Edgerton

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

journal

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

J Westerlund, S Basher

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

journal

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

J Westerlund

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

journal

A panel bootstrap cointegration test

J Westerlund, D Edgerton

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

journal

Farmland prices, structural breaks and panel data

L Gutierrez, J Westerlund, K Erickson

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

journal
2006

Testing for panel cointegration with multiple structural breaks

J Westerlund

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

journal

Reducing the size distortions of the panel LM test for cointegration

J Westerlund

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

journal

Testing for panel cointegration with a level break

J Westerlund

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

journal
2005

A panel CUSUM test of the null of cointegration

J 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

J Westerlund

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

journal

Grants

No grants found

Supervisions

No completed student supervisions to report