Joakim Westerlund

Publications (2)0.86 Total impact

• Source

  Available from: psu.edu

  Article: Testing for a Unit Root in a Random Coefficient Panel Data Model

  Joakim Westerlund, Rolf Larsson
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  ABSTRACT: This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small samples.
  G�teborg University, Department of Economics, Working Papers in Economics. 01/2009;
• Article: A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS

  Joakim Westerlund, Rolf Larsson
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  ABSTRACT: One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. The problem is that the asymptotic validity of PANIC as a platform for constructing pooled panel unit root tests based on averaging is not fully proven. This paper provides the required results, whose usefulness is verified through simulations.
  Econometric Theory 01/2009; 25(06):1851-1868. · 0.86 Impact Factor