Publications
- 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 (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., and J. Luoto (2016). Noncausal Bayesian Vector Autoregression, Journal of Applied Econometrics 31, 1392 – 1406. (working paper version)
- Lanne, M. (2015). Noncausality and Inflation Persistence, Studies in Nonlinear Dynamics and Econometrics 19, 469 – 481. (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)
- 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)
Working Papers
- Lanne, M., and H. Nyberg (2015). Nonlinear Dynamic Interrelationships between Real Activity and Stock Returns, CREATES Research Paper 2015-36.
- Lanne, M., H. Nyberg, and E. Saarinen (2011). Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison HECER Discussion Paper 319.