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Johan Lyhagen

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Personal Details

First Name: Johan
Middle Name:
Last Name: Lyhagen
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RePEc Short-ID: ply8

Email:
Homepage: http://www.anst.uu.se/jolyh103/
Postal Address: Department of Statistics Uppsala University P.O. 513 SE-751 20 Uppsala Sweden
Phone: +46 18 471 2844

Affiliation

Works

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Working papers

  1. Carlsson, Mikael & Lyhagen, Johan & Österholm, Pär, 2007. "Testing for Purchasing Power Parity in Cointegrated Panels," Working Paper Series, Uppsala University, Department of Economics 2008:1, Uppsala University, Department of Economics.
  2. Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén, 2002. "Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data D4-2, International Conferences on Panel Data.
  3. Yao, Yudong & Lyhagen, Johan, 2001. "Using A Trade-induced Catch-up Model to Explain China's Provincial Economic Growth 1978-97," Working Paper Series in Economics and Finance 0435, Stockholm School of Economics.
  4. Lyhagen, Johan, 2001. "A method to generate multivariate data with moments arbitrary close to the desired moments," Working Paper Series in Economics and Finance 481, Stockholm School of Economics.
  5. Lyhagen, Johan & Löf, Mårten, 2000. "On seasonal error correction when the processes include different numbers of unit roots," Working Paper Series in Economics and Finance 0418, Stockholm School of Economics, revised 15 Mar 2001.
  6. Lyhagen, Johan, 2000. "Why not use standard panel unit root test for testing PPP," Working Paper Series in Economics and Finance 413, Stockholm School of Economics.
  7. Lyhagen, Johan, 2000. "The seasonal KPSS statistic," Working Paper Series in Economics and Finance 354, Stockholm School of Economics.
  8. Larsson, Rolf & Lyhagen, Johan, 2000. "Testing for common cointegrating rank in dynamic panels," Working Paper Series in Economics and Finance 378, Stockholm School of Economics.
  9. Rolf Larsson & Johan Lyhagen, 2000. "Likelihood-Based Inference in Multivariate Panel Cointegration Models," Econometric Society World Congress 2000 Contributed Papers 1313, Econometric Society.
  10. Löf, Mårten & Lyhagen, Johan, 1999. "Forecasting performance of seasonal cointegration models," Working Paper Series in Economics and Finance 336, Stockholm School of Economics.
  11. Lyhagen, Johan, 1999. "Efficient estimation of price adjustment coefficients," Working Paper Series in Economics and Finance 332, Stockholm School of Economics.
  12. Andersson, Michael K. & Eklund, Bruno & Lyhagen, Johan, 1999. "A Simple Linear Time Series Model with Misleading Nonlinear Properties," Working Paper Series in Economics and Finance 300, Stockholm School of Economics.
  13. Söderberg, Hans & Lyhagen, Johan, 1999. "Testing for Independence in Multivariate Duration Models," Working Paper Series in Economics and Finance 302, Stockholm School of Economics.
  14. Andersson, Michael K. & Eklund, Bruno & Lyhagen, Johan, 1999. "An ARCH Robust STAR Test," Working Paper Series in Economics and Finance 317, Stockholm School of Economics.
  15. Andersson, Jonas & Lyhagen, Johan, 1999. "A long memory panel unit root test: PPP revisited," Working Paper Series in Economics and Finance 303, Stockholm School of Economics.
  16. Lyhagen, Johan & Forsberg, Lars, 1999. "Starting values in estimation of cointegrating vectors with restrictions," Working Paper Series in Economics and Finance 297, Stockholm School of Economics.
  17. Lyhagen, Johan, 1998. "Maximum likelihood estimation of the multivariate fractional cointegrating model," Working Paper Series in Economics and Finance 233, Stockholm School of Economics.
  18. Larsson, Rolf & Lyhagen, Johan & Löthgren, Mickael, 1998. "Likelihood-Based Cointegration Tests in Heterogeneous Panels," Working Paper Series in Economics and Finance 250, Stockholm School of Economics, revised 27 Aug 1998.
  19. Lyhagen, Johan, 1997. "The Effect of Precautionary Saving on Consumption in Sweden," Working Paper, National Institute of Economic Research 58, National Institute of Economic Research.
  20. Berg, Lennart & Lyhagen, Johan, 1996. "Short and Long Run Dependence in Swedish Stock Returns," Working Paper Series, Uppsala University, Department of Economics 1996:19, Uppsala University, Department of Economics.

Articles

  1. Tor Jacobson & Johan Lyhagen & Rolf Larsson & Marianne Nessén, 2008. "Inflation, exchange rates and PPP in a multivariate panel cointegration model," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 11(1), pages 58-79, 03.
  2. Larsson, Rolf & Lyhagen, Johan, 2007. "Inference in Panel Cointegration Models With Long Panels," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 25, pages 473-483, October.
  3. Lyhagen, Johan, 2005. "The exact covariance matrix of dynamic models with latent variables," Statistics & Probability Letters, Elsevier, Elsevier, vol. 75(2), pages 133-139, November.
  4. Mårten Löf & Johan Lyhagen, 2003. "On seasonal error correction when the processes include different numbers of unit roots," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(5), pages 377-389.
  5. Lof, Marten & Lyhagen, Johan, 2002. "Forecasting performance of seasonal cointegration models," International Journal of Forecasting, Elsevier, Elsevier, vol. 18(1), pages 31-44.
  6. Rolf Larsson & Johan Lyhagen & Mickael Lothgren, 2001. "Likelihood-based cointegration tests in heterogeneous panels," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 4(1), pages 41.
  7. Andersson, Michael K. & Eklund, Bruno & Lyhagen, Johan, 1999. "A simple linear time series model with misleading nonlinear properties," Economics Letters, Elsevier, Elsevier, vol. 65(3), pages 281-284, December.
  8. Oke, T. & Lyhagen, J., 1999. "Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 30(4), pages 457-469, June.
  9. Lyhagen, Johan, 1997. "A matrix evaluation of the moving-average representation," Economics Letters, Elsevier, Elsevier, vol. 55(2), pages 179-183, August.

NEP Fields

18 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2001-12-26
  2. NEP-DEV: Development (1) 2001-02-27
  3. NEP-ECM: Econometrics (16) 1998-05-04 1998-09-07 1999-02-08 1999-02-22 1999-02-22 1999-02-22 1999-05-25 2000-01-24 2000-01-24 2000-01-24 2000-02-07 2000-05-08 2001-12-26 2002-07-10 2003-01-12 2008-01-26. Author is listed
  4. NEP-ETS: Econometric Time Series (14) 1998-05-04 1998-09-07 1999-02-08 1999-02-15 1999-02-15 1999-05-25 2000-01-24 2000-01-24 2000-02-07 2000-05-08 2001-12-26 2002-07-04 2003-01-12 2008-01-26. Author is listed
  5. NEP-FMK: Financial Markets (1) 1998-08-03
  6. NEP-IFN: International Finance (5) 1998-08-03 1998-09-07 2002-07-04 2003-01-12 2008-01-26. Author is listed
  7. NEP-IND: Industrial Organization (1) 2000-01-24
  8. NEP-MON: Monetary Economics (1) 2003-01-12

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