Publications
- Lanne, M., and J. Luoto (2020). GMM Estimation of Non-Gaussian Structural Vector Autoregression, Journal of Business and Economic Statistics (forthcoming).
- Lanne, M., and J. Luoto (2020). Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression, Oxford Bulletin of Economics and Statistics 82, 425 – 452.
- Lanne, M., and J. Luoto (2019). A Comment on ‘On Inflation Expectations in the NKPC Model. Empirical Economics 57, 1865 – 1867.
- Lanne, M., and J. Luoto (2018). Data-Driven Identification Constraints for DSGE Models. Oxford Bulletin of Economics and Statistics 80, 236 – 258.
- Lanne, M., and J. Luoto (2017). A New Time-Varying Parameter Autoregressive Model of U.S. Inflation Expectations, Journal of Money, Credit and Banking 49, 969 – 995. (working paper version)
- Lanne, M., M. Meitz, and P. Saikkonen (2017). Identification and Estimation of Non-Gaussian Structural Vector Autoregressions, Journal of Econometrics 196, 288 – 304. (open access)
- Lanne, M., and J. Luoto (2016). Noncausal Bayesian Vector Autoregression, Journal of Applied Econometrics 31, 1392 – 1406. (working paper version)
- Lanne, M., and H. Nyberg (2016). Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models, Oxford Bulletin of Economics and Statistics 78, 595 – 603. (working paper version)
- Lanne, M. (2015). Noncausality and Inflation Persistence, Studies in Nonlinear Dynamics and Econometrics 19, 469 – 481. (working paper version)
- Lanne, M, and J. Luoto (2014). Does Output Gap, Labour’s Share or Unemployment Rate Drive Inflation? Oxford Bulletin of Economics and Statistics 76, 717 – 726. (working paper version)
- Lanne, M., and H. Lütkepohl (2014). A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks. In Knif, J., and B. Pape (eds.), Contributions to Mathematics, Statistics, Econometrics, and Finance: Essays is Honour of Professor Seppo Pynnönen, University of Vaasa, 137 – 152.
- Laakkonen, H., and M. Lanne (2013). The Relevance of Accuracy for the Impact of Macroeconomic News on Exchange Rate Volatility. International Journal of Finance and Economics 18, 339 – 351. (working paper version)
- Lanne, M., M. Meitz, and P. Saikkonen (2013). Testing for Linear and Nonlinear Predictability of Stock Returns. Journal of Financial Econometrics 11, 682 – 705. (working paper version)
- Ahoniemi, K., and M. Lanne (2013). Overnight Stock Returns and Realized Volatility, International Journal of Forecasting 29, 592 – 604. (working paper version)
- Lanne, M., and P. Saikkonen (2013). Noncausal Vector Autoregression. Econometric Theory 29, 447 – 481. (working paper version)
- Lanne, M., and J. Luoto (2013). Autoregression-Based Estimation of the New Keynesian Phillips Curve. Journal of Economic Dynamics and Control 37, 561 – 570. (working paper version)
- Lanne, M., H. Nyberg, and E. Saarinen (2012). Does Noncausality Help in Forecasting Economic Time Series? Economics Bulletin 32, 2849 – 2859.
- Lanne, M., A. Luoma, and J. Luoto (2012). Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models. Journal of Applied Econometrics 27, 812 – 830. (working paper version)
- Lanne, M., J. Luoto, and P. Saikkonen (2012). Optimal Forecasting of Noncausal Autoregressive Time Series. International Journal of Forecasting 28, 623 – 631. (working paper version)
- Lanne, M., and J. Luoto (2012). Has U.S. Inflation Really Become Harder to Forecast? Economics Letters 115, 383 – 386. (working paper version)
- Lanne, M., and P. Saikkonen (2011). Noncausal Autoregressions for Economic Time Series. Journal of Time Series Econometrics 3 (3), Article 2. (working paper version)
- Lanne, M., and P. Saikkonen (2011). GMM Estimation with Noncausal Instruments. Oxford Bulletin of Economics and Statistics 73, 581 – 592. (working paper version)
- Lanne, M., and H. Lütkepohl (2010). Structural Vector Autoregressions with Nonnormal Residuals, Journal of Business and Economic Statistics 28, 159 – 168. (working paper version)
- Lanne, M., and T. Vesala (2010). The Effect of Transaction Tax on Exchange Rate Volatility, International Journal of Finance and Economics 15, 123 – 133. (working paper version)
- Laakkonen, H., and M. Lanne (2010). Asymmetric Effects on Volatility: Good vs. Bad News in Good vs. Bad Times. Studies in Nonlinear Dynamics and Econometrics 14.
- Lanne, M., H. Lütkepohl, and K. Maciejowska (2010). Structural Vector Autoregressions with Markov Switching, Journal of Economic Dynamics and Control 34, 121 – 131. (working paper version)
- Lanne, M. (2009). Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases, Economics Bulletin 29, 2227 – 2236.
- Lanne, M., A. Luoma, and J. Luoto (2009). A Naïve Sticky Information Model of Households’ Inflation Expectations, Journal of Economic Dynamics and Control 33, 1332 – 1344. (working paper version)
- Ahoniemi, K., and M. Lanne (2009). Joint Modeling of Call and Put Implied Volatility, International Journal of Forecasting 25, 239 – 258. (working paper version)
- Lanne, M., and H. Lütkepohl (2008). Identifying Monetary Policy Shocks via Changes in Volatility, Journal of Money, Credit, and Banking 40, 1131 – 1149. (working paper version)
- Lanne, M., and J. Luoto (2008). Robustness of the Risk-Return Relationship in the U.S. Stock Market, Finance Research Letters 5, 118 – 127. (working paper version)
- Lanne, M., and P. Saikkonen (2007). Modeling Conditional Skewness in Stock Returns, European Journal of Finance 19, 691 – 704. (working paper version)
- Lanne, M. (2007). Forecasting Realized Exchange Rate Volatility by Decomposition, International Journal of Forecasting 23, 307 – 320. (working paper version)
- Lanne, M., and P. Saikkonen (2007). A Multivariate Generalized Orthogonal Factor GARCH Model, Journal of Business and Economic Statistics 25, 61 – 75. (working paper version)
- Lanne, M. (2006). Nonlinear Dynamics of Interest Rate and Inflation, Journal of Applied Econometrics 21, 1157 – 1168. (working paper version)
- Lanne, M. (2006). A Mixture Multiplicative Error Model for Realized Volatility, Journal of Financial Econometrics 4, 594 – 616. (working paper version)
- Lanne, M., and P. Saikkonen (2005). Why Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns? Economics Letters 92, 118 – 125.
- Lanne, M., and P. Saikkonen (2005). Nonlinear GARCH Models for Highly Persistent Volatility, Econometrics Journal 8, 251 – 276. (working paper version)
- Lanne, M., and E. Jokivuolle (2005). Trading Volume and Liquidity: A Case Study of Nokia’s Cross Listing Using the ACD Model, Finnish Journal of Business Economics 3/2005. (working paper version)
- Lanne, M., and M. Liski (2004). Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870 – 2028, Energy Journal 25, 41 – 65. (working paper version)
- Lanne, M. (2003). Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift, Manchester School 71, 54 – 77. (working paper version)
- Lanne, M., and P. Saikkonen (2003). Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes, Journal of Financial Econometrics 1, 96 – 125. (working paper version)
- Lanne, M., H. Lütkepohl, and P. Saikkonen (2003). Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time, Oxford Bulletin of Economics and Statistics 65, 91 – 115.
- Lanne, M., and P. Saikkonen (2003). Reducing Size Distortions of Parametric Stationarity Tests, Journal of Time Series Analysis 24, 423 – 439.
- Lanne, M., and H. Lütkepohl (2002). Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals, Economics Letters 75, 109 – 114.
- Lanne, M., and P. Saikkonen (2002). Threshold Autoregressions for Strongly Autocorrelated Time Series, Journal of Business and Economic Statistics 28, 282 – 289.
- Lanne, M. (2002). Testing the Predictability of Stock Returns, Review of Economics and Statistics 84, 407 – 415.
- Lanne, M., H. Lütkepohl, and P. Saikkonen (2002). Comparison of Unit Root Tests for Time Series with Level Shifts, Journal of Time Series Analysis 23, 667 – 685.
- Lanne, M. (2001). Near Unit Root and the Relationship between Inflation and Interest Rates: A Reexamination of the Fisher Effect, Empirical Economics 26, 357 – 366.
- Lanne, M. (2000). Near Unit Roots, Cointegration and the Term Structure of Interest Rates, Journal of Applied Econometrics 15, 513 – 529.
- Lanne, M. (1999). Near Unit Roots and the Predictive Power of Yield Spreads for Changes in Long-Term Interest Rates, Review of Economics and Statistics 81, 393 – 398.
- Lanne, M. (1995). Co-Integration and the Term Structure of Finnish Short-Term Interest Rates, Finnish Economic Papers 8, 3 – 16.