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Prof Joakim Westerlund

STAFF PROFILE

Position

Chair In Economics

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Melbourne Burwood Campus

Qualifications

Doctor of Philosophy, Lund University, 2005

Contact

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

Biography

Joakim Westerlund is a Professor and Chair in the Department of Economics in Deakin Business School. Joakim's primary research interest is the analysis of panel data. Joakim has been focusing on the case when both the number of time periods, T and the number cross-sectional units, N, are large but have also considered panels where N or T are small and only one of the indices are required to be large. To a lesser extent, he has considered data that are either time series or cross-sectional. Joakim has mainly been concerned with the development of procedures for estimation and testing of non-stationary panel data, but more recently his interest has shifted towards the development of econometric tools for factor-augmented regression models. 

Read more on Joakim's profile

Research interests

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

Affiliations

  • Member, Econometric Society.
  • Editor, Empirical Economics.
  • Associate Editor, Economic Modelling.

Teaching interests

  • Econometrics
  • Time Series Analysis

Units taught

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

Awards

  • Journal of Applied Econometrics Distinguished Author, Journal of Applied Econometrics, 2018.
  • Fellow of Journal of Econometrics, Journal of Econometrics, 2017.

Publications

Filter by

2020

On the robustness of the pooled CCE estimator

A Juodis, H Karabiyik, J Westerlund

(2020), pp. 1-24, Journal of econometrics, Amsterdam, The Netherlands, C1

journal article

Fixed effects demeaning in the presence of interactive effects in treatment effects regressions and elsewhere

Y Petrova, J Westerlund

(2020), pp. 1-5, Journal of Applied Econometrics, Chichester, Eng., C1

journal article

A cross-section average-based principal components approach for fixed-T panels

J Westerlund

(2020), pp. 1-10, Journal of Applied Econometrics, Chichester, Eng., C1

journal article
2019

Panel stationary tests against changes in persistence

R Cerqueti, M Costantini, L Gutierrez, J Westerlund

(2019), Vol. 60, pp. 1079-1100, Statistical papers, Berlin, Germany, C1

journal article

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

E Aylar, S Smeekes, J Westerlund

(2019), Vol. 60, pp. 2109-2118, Statistical papers, Berlin, Germany, C1

journal article

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

J Westerlund, S Sharma

(2019), Vol. 77, pp. 3-12, Energy economics, Amsterdam, The Netherlands, C1

journal article

Testing additive versus interactive effects in fixed-T panels

J Westerlund

(2019), Vol. 174, pp. 5-8, Economics letters, Amsterdam, The Netherlands, C1

journal article

CCE estimation of factor-augmented regression models with more factors than observables

H Karabiyik, J Urbain, J Westerlund

(2019), Vol. 34, pp. 268-284, Journal of applied econometrics, Chichester, Eng., C1

journal article

On estimation and inference in heterogeneous panel regressions with interactive effects

J Westerlund

(2019), Vol. 40, pp. 852-857, Journal of time series analysis, Chichester, Eng., C1

journal article

The factor analytical method for interactive effects dynamic panel models with moving average errors

M Norkut?, J Westerlund

(2019), Vol. 11, pp. 83-104, Econometrics and statistics, Amsteradm, The Netherlands, C1

journal article

Robust block bootstrap panel predictability tests

S Smeekes, J Westerlund

(2019), Vol. 38, pp. 1089-1107, Econometric reviews, Abingdon, Eng., C1

journal article

Common breaks in means for cross-correlated fixed-T panel data

J Westerlund

(2019), Vol. 40, pp. 248-255, Journal of time series analysis, Chichester, Eng., C1

journal article

Optimal panel unit root testing with covariates

Arturas Juodis, Joakim Westerlund

(2019), Vol. 22, pp. 57-72, Econometrics journal, Oxford, Eng., C1

journal article

CCE in fixed-T panels

J Westerlund, Y Petrova, M Norkute

(2019), Vol. 34, pp. 746-761, Journal of applied econometrics, Chichester, Eng., C1

journal article
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 article

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

H Karabiyik, P Narayan, D Phan, J Westerlund

(2018), Vol. 52, pp. 123-133, Pacific-basin finance journal, Amsterdam, The Netherlands, C1

journal article

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 article

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

D Robertson, V Sarafidis, J Westerlund

(2018), Vol. 36, pp. 493-504, Journal of business and economic statistics, Abingdon, Eng., C1

journal article

Asymptotic collinearity in CCE estimation of interactive effects models

J Westerlund, Y Petrova

(2018), Vol. 70, pp. 331-337, Economic modelling, Amsterdam, The Netherlands, C1

journal article

Some preliminary evidence of price discovery in Islamic banks

P Narayan, S Sharma, K Thuraisamy, J Westerlund

(2018), Vol. 52, pp. 107-122, Pacific-Basin finance journal, Amsterdam, The Netherlands, C1

journal article

CCE in panels with general unknown factors

J Westerlund

(2018), Vol. 21, pp. 264-276, Econometrics journal, Chichester, Eng., C1

journal article
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 article

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 article

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 article

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 article

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 article
2016

Panel bootstrap tests of slope homogeneity

J Blomquist, P Westerlund

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

journal article

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 article

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 article

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 article

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

J Westerlund

(2016), Vol. 173, pp. 1-30, Journal of Statistical Planning and Inference, C1

journal article

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 article

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 article

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 article

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 article

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 article

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 article

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 article

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 article

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 article
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 article

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 article

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 article

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 article

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 article

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 article

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 article

Panicca: panic on cross-section averages

S Reese, J Westerlund

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

journal article

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 article

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 article

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 article

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 article

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 article

The power of PANIC

P Westerlund

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

journal article

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 article

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

J Westerlund, P Narayan

(2015), Vol. 13, pp. 605-664, Journal of Financial Econometrics, C1

journal article
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, C1

journal article

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 article

Does cash flow predict returns?

P Narayan, J Westerlund

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

journal article

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 article

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 article

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

J Westerlund

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

journal article

Heteroscedasticity robust panel unit root tests

J Westerlund

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

journal article

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 article

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 article

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 article
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, C1

journal article

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, C1

journal article

Alternative representations for cointegrated panels with global stochastic trends

C Gengenbach, J Urbain, J Westerlund

(2013), Vol. 118, pp. 485-488, Economics Letters, C1

journal article

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, C1

journal article

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

J Westerlund

(2013), Vol. 27, pp. 1-6, Journal of Asian Economics, C1

journal article

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, C1

journal article

A modified LLC panel unit root test of the PPP hypothesis

J Westerlund, J Blomquist

(2013), Vol. 44, pp. 833-860, Empirical Economics, C1

journal article

Lessons from a Decade of IPS and LLC

J Westerlund, J Breitung

(2013), Vol. 32, pp. 547-591, Econometric Reviews, C1-1

journal article

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, C1

journal article

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, C1

journal article

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 article

Professional subcultures in nuclear power plants

C Rollenhagen, J Westerlund, K Nswall

(2013), Vol. 59, pp. 78-85, Safety science, Amsterdam, The Netherlands, C1-1

journal article
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, C1

journal article

Does the choice of estimator matter when forecasting returns?

J Westerlund, P Narayan

(2012), Vol. 36, pp. 2632-2640, Journal of Banking and Finance, C1

journal article

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, C1

journal article

Effects of rent dependency on quality of government

M Anthonsen, A Lfgren, K Nilsson, J Westerlund

(2012), Vol. 13, pp. 145-168, Economics of Governance, C1-1

journal article

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

J Westerlund

(2012), Vol. 80, pp. 671-699, Manchester School, C1-1

journal article
2011

A new poolability test for cointegrated panels

J Westerlund, W Hess

(2011), Vol. 26, pp. 56-88, Journal of Applied Econometrics, C1-1

journal article

Estimating the gravity model without gravity using panel data

J Westerlund, F Wilhelmsson

(2011), Vol. 43, pp. 641-649, Applied Economics, C1-1

journal article

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, C1-1

journal article

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, C1-1

journal article

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, C1-1

journal article

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, C1-1

journal article
2010

Why is Chinese provincial output diverging?

J Westerlund, D Edgerton, S Opper

(2010), Vol. 21, pp. 333-344, Journal of Asian Economics, C1-1

journal article

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 article
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 article

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 article

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 fr das Gesamte Finanzwesen, Stuttgart, Germany, C1-1

journal article
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 article

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 article

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 article

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 article

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 article

Class size and student evaluations in Sweden

J Westerlund

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

journal article
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 article

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 article

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 article

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 article

A panel bootstrap cointegration test

J Westerlund, D Edgerton

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

journal article

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 article
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 article

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 article

Testing for panel cointegration with a level break

J Westerlund

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

journal article

A bias caused by inappropriate averaging in experiments with randomized stimuli

J Dalkvist, J Westerlund

(2006), Vol. 70, pp. 233-254, Journal of parapsychology, Durham, N.C., C1-1

journal article
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 article

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 article

Funded Projects at Deakin

No Funded Projects at Deakin found

Supervisions

No completed student supervisions to report