Markku Lanne

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  • Home
  • Research by Topic
    • Noncausal and Noninvertible Time Series
    • Unit Root and Stationarity Tests
    • Near Unit Roots
    • Structural VAR
    • Volatility Modeling
    • Empirical Finance
    • Nonlinear Time Series Models
    • Other Research
  • Publications
  • Working Papers
  • Teaching
    • Advanced Econometrics II
    • Topics in Macroeconometrics

Working Papers

  • Lanne, M., and J. Luoto (2019). Useful Prior Information in Sign-Identified Structural Vector Autoregression: Replication of Baumeister and Hamilton (2015).
  • Lanne, M., and H. Nyberg (2015). Nonlinear Dynamic Interrelationships between Real Activity and Stock Returns, CREATES Research Paper 2015-36.
  • Lanne, M., J. Luoto, and H. Nyberg (2014). Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? CREATES Research Paper 2014-26.
  • 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.
  • Lanne, M., and P. Saikkonen (2010). Noncausal Vector Autoregression. HECER Discussion Paper 293.
  • Ahoniemi, K., and M. Lanne (2008). Implied Volatility with Time-Varying Regime Probabilities. HECER Discussion Paper 246.
  • Lanne, M., and H. Lütkepohl (2008). Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis. CESifo Working Paper 2407.