Profile image of Joakim Westerlund

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

  • Panel Data
  • Time Series Data
  • Cross-section Data

Teaching interests

  • Econometrics
  • Time Series Analysis

Units taught

  • MAE406 - Business and Financial Econometrics
  • MAF723 - Business and Financial Econometrics

Publications

Filter by

2018

Estimation of factor-augmented panel regressions with weakly influential factors

S Reese, P Westerlund

(2018), Vol. 37, pp. 401-465, Econometric reviews, New York, N.Y., C1

journal

On the use of GLS demeaning in panel unit root testing

J Westerlund

(2018), Vol. 36, pp. 309-320, Journal of business and economic statistics, Abingdon, Eng., C1

journal

Panel evidence on the ability of oil returns to predict stock returns in the G7 area

J Westerlund, S Sharma

(2018), pp. 1-10, Energy economics, Amsterdam, The Netherlands, C1

journal
2017

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

J Westerlund, S Mishra

(2017), Vol. 58, pp. 161-184, Statistical papers, Berlin, Germany, C1

journal

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

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

S Mahdavi, J Westerlund

(2017), Vol. 53, pp. 373-403, Empirical economics, Berlin, Germany, C1

journal

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

R Larsson, J Lyhagen, J Westerlund

(2017), Vol. 51, pp. 627-654, Statistics, London, 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

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

Asymptotic collinearity in CCE estimation of interactive effects models

J Westerlund, Y Petrova

(2017), pp. 1-6, Economic modelling, Amsterdam, The Netherlands, C1

journal

Some preliminary evidence of price discovery in Islamic banks

P Narayan, S Sharma, K Thuraisamy, J Westerlund

(2017), pp. 1-16, Pacific-Basin Finance Journal, Amsterdam, The Netherlands, C1

journal
2016

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

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
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

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

Funded Projects at Deakin

No Funded Projects at Deakin found

Supervisions

No completed student supervisions to report