In this paper, we test the bank lending channel of monetary policy transmission in sweden. Using a panel of bank balance sheet data covering the period 1998. Oxford bulletin of economics and statistics 67 2, 231262, 2005. Westerlund, joakim, an iv test for a unit root in generally trending and correlated panels october 2016.
Lund university department of economics, lund university department of economics and deakin university school of accounting, economics and finance downloads 1 662,228. This article describes a new stata command called xtwest, which implements the four errorcorrection based panel cointegration tests developed by westerlund 2007. He has published over 100 papers in journals such as journal of econometrics, journal of applied econometrics, journal of financial econometrics, journal of business and economic statistics, oxford bulletin of economics. Joakim book is an economics graduate of the university of glasgow, and is currently a graduate student at the university of oxford. On the use of panel cointegration tests in energy economics.
Financial econometrics series swp 201511 testing for. Joakim westerlund, simon reese and paresh kumar narayan. Westerlund, joakim and hosseinkouchack, mehdi, modified cadf and cips panel unit root statistics with standard chi. Which is the best way to test for panel cointegration. An iv test for a unit root in generally trending and. N2 this paper examines the source of price discovery for islamic stocks. Oxford bulletin of economics and statistics 67, 231262, 2005.
Urbain, jeanpierre and westerlund, joakim lu in journal of applied econometrics 34 2. Joakim westerlund is a professor and chair in the department of economics in deakin business school. Lund university publications lund university libraries. Joakim westerlund research outputs lund university. An iv test for a unit root in generally trending and correlated panels, oxford bulletin of economics and statistics, department of economics, university of oxford, vol. Panel cointegration and the monetary exchange rate model. Joakim has been focusing on the case when both the number of time periods, t and the number crosssectional units, n, are large but have also considered panels. I actually started my academic carrier in lund back in 2001, which resulted in the completion of my phd thesis in 2005 and promotion to associate professor in 2007. The tests are general enough to allow for a large degree of heterogeneity, both in the longrun cointegrating relationship and in the shortrun dynamics, and dependence within as well as across the cross. We pair a large number of islamic stocks to countryspecific index futures and estimate. Buy essays on panel cointegration by joakim westerlund isbn. February, 2020 comments welcome 1this manuscript may be printed and reproduced for individual or instructional use, but.
Financial econometrics series swp 201520 on the use of. The main result is that small, illiquid and undercapitalized banks are significantly affected by. Hansen 2000, 20201 university of wisconsin department of economics this revision. A bootstrap panel data analysis, economic modelling, elsevier, vol. On the determination of the number of factors using information criteria with datadriven penalty, statistical papers, springer, vol. Financial econometrics series swp 2014 time series. The current paper illustrates how a rejection by such a test cannot be taken as evidence of cointegration for the panel as a whole, a fact that seems. It is based on a limited sample of the research output in economics and finance. Everyday low prices and free delivery on eligible orders. I have been focusing on the case when both the number of time periods, t, and the number crosssectional units, n, are large, but i have also considered panels where n or t are small and only one of the indices are required to be large. A read is counted each time someone views a publication summary such as the title, abstract, and list of authors, clicks on a figure, or views or downloads the fulltext.
This article describes a new stata command called xtwest, which implements the four errorcorrectionbased panel cointegration tests developed by westerlund 2007. Testing for error correction in panel data westerlund. Unfortunately, finding a book within the narrow field of time series and with the appropriate level is very difficult. The author would also like to thank the maastricht research school of economics of technology and organizations for its hospitality during a visit at the department of quantitative economics at the university of maastricht, where a part of this paper was written. My primary research interest is the analysis of nonstationary panel data. I have also begun writing a book together with jushan bai. School of accounting, economics and finance financial econometrics series. Most panel cointegration tests employed take no cointegration as the null hypothesis. Most cited journal of econometrics articles the most cited articles published since 2017, extracted from scopus. Joakim westerlund is professor of economics at lund university and professor of financial econometrics at deakin university. Joakim westerlund school of economics and management department of economics lund university box 7080 se220 07 lund. Joakims primary research interest is the analysis of panel data. Yet they are able to accommodate individual specific shortrun dynamics, individual specific intercept and trend terms, and. I have ordered numerous inspection copies of book but no luck so far.
Joakim westerlund, department of economics, lund university, sweden. A common feature of these strands is that they all focus on the us for. Empirical economics publishes high quality papers using econometric or statistical methods to fill the gap between economic theory and observed data. There is a burgeoning literature based on using panel cointegration techniques to study the relationship between energy consumption and gdp. Modified cadf and cips panel unit root statistics with. The working papers are a series of manuscripts in their draft form. Testing for error correction in panel data by joakim. The tests are general enough to allow for a large degree of heterogeneity, both in the longrun cointegrating relationship and in the shortrun dynamics, and dependence within as.
On estimation and inference in heterogeneous panel. Squared and normal limiting distributions june 2016. The tests are simple because they do not require any correction for the temporal dependencies of the data. For any citation based criterion, only works that could be parsed by the citec project are considered. Buy essays on panel cointegration by westerlund, joakimauthor paperback by joakim westerlund isbn. Kunst institute for advanced studies department of economics university of vienna josefstadter stra. Hjalmarsson predicting global stock returns, journal of financial and quantitative analysis 45, 4980, 2010 considers an olsbased estimator of predictive panel regressions that is claimed to. Papers explore such topics as estimation of established relationships between economic variables, testing of hypotheses derived from economic theory, treatment effect estimation, policy evaluation, simulation, forecasting, as well. Testing for stock return predictability in a large chinese panel. Joakim westerlund lund university and financial econometrics group centre for research in economics and financial econometrics deakin university may 29, 2015 abstract one of the most wellknown facts about unit root testing in time series is that the dickeyfuller df test based on ols demeaned data suffers from low power, and that. Joakim westerlund, kannan thuraisamy, susan sharma, on the use of panel cointegration tests in energy economics, energy economics.
For any ranking of people, only those registered with the repec author service can be taken into account. In between i have professor of econometrics at the university of gothenburg and professor of financial econometrics. A new poolability test for cointegrated panels by joakim. A panel data test of the bank lending channel in sweden. M6, we test for bank loan supply shifts by segregating banks by asset size, liquidity and capitalization. Joakim westerlund, department of economics, lund university, box 7082, 220 07 lund, sweden.
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