Johan Lyhagen
Professor at Department of Statistics
- Telephone:
- +46 18 471 28 44
- Mobile phone:
- +46 70 425 02 02
- E-mail:
- Johan.Lyhagen@statistik.uu.se
- Visiting address:
- Ekonomikum (plan 3)
Kyrkogårdsgatan 10 - Postal address:
- Box 513
751 20 UPPSALA
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Short presentation
Professor of Statistics. Conduct research mostly in the area of time series econometrics. I work, for example to develop models and tests for unit roots and cointegration. Do also research in psychometrics dealing with issues of non-normality and ordinal variables.
Biography
From a statistical point of view, economic equilibriums are often modeled as linear relations. These are called cointegrated relationships. There are many examples of economic equilibriums; a person consumes on average almost all their income, the price level of a country is about the same as its neighbor if the price level is adjusted for the exchange rate. Basic questions are how to empirically examine the existence of equilibriums between economic variables, if there are, how can they be estimated? There is a significant effort to gather data on region and country level. Part of my research concerns how data from multiple regions/countries can be used in cointegration analysis.
I'm also researching in psychometrics, especially what is called structural equation models. Many psychological phenomena are not directly observable, they are latent. The classic example is intelligence measured by IQ tests. Another common example is socioeconomic status within sociology that can be measured by education, income and occupation. Usually, the observable variables do no fulfill the conditions that are normally assumed. They can be ordinal (i.e., A is greater than B, but we do not know how much more) or skewed. This will in various ways to influence the properties of the statistical methods used. How methods are affected and what we can do about it are parts of my research area.
My entry in the Mathematics Genealogy Project can be found here.
Publications
Selection of publications
- The small sample performance of estimators of the standard errors of structural equation models (2013)
- A note on the representation of E (x⊗xx') and E (xx'⊗xx') for the random vector x (2012)
- Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model (2008)
- A method to generate multivariate data with the desired moments (2008)
- Why not use standard panel unit root test for testing PPP (2008)
- Inference in panel cointegration models with long panels (2007)
- Estimating Nonlinear structural models (2007)
- The seasonal KPSS statistic (2006)
- The Exact Covariance Matrix of Dynamic Models with Latent Variables (2005)
- On seasonal error correction when the processes include different numbers of unit roots (2003)
- Forecasting performance of seasonal cointegration models (2002)
- Likelihood based cointegration tests in heterogenous panels (2001)
- The effect of precautionary saving on consumption in Sweden (2001)
- Starting values in estimation of cointegrating vectors with restrictions (2001)
- A Simple Linear Time Series Model with Misleading Nonlinear Properties (1999)
- Identification of the order of a fractionally differenced ARMA model (1999)
- Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation (1999)
- Short and long run dependence in Swedish stock returns (1998)
- A matrix evaluation of the moving-average representation (1997)
Recent publications
- Robust polychoric correlation (2023)
- The link between ethnic diversity and scientific impact (2021)
- The deregulation of the Queensland electricity market and a smooth transition duration model (2021)
- Size and power of tests for dependency in regressions with ordinal variables (2021)
- Uncertainty and the ranking of economics journals (2020)
All publications
Articles
- Robust polychoric correlation (2023)
- The link between ethnic diversity and scientific impact (2021)
- Size and power of tests for dependency in regressions with ordinal variables (2021)
- Uncertainty and the ranking of economics journals (2020)
- Estimating a VECM for a Small Open Economy (2019)
- The Swedish version of the Normalization Process Theory Measure S-NoMAD (2018)
- Likelihood Ratio Tests for a Unit Root in Panels with Random Effects (2017)
- Development of health-related quality of life and symptoms of anxiety and depression among persons diagnosed with cancer during adolescence (2016)
- A new way of determining distance decay parameters in spatial interaction models with application to job accessibility analysis in Sweden (2016)
- Asymptotic properties of Spearman's rank correlation for variables with finite support (2016)
- Beating the VAR (2015)
- Income inequality between Chinese regions (2014)
- The small sample performance of estimators of the standard errors of structural equation models (2013)
- The small sample performance of estimators of the standard errors of structural equation models (2013)
- A note on the representation of E (x⊗xx') and E (xx'⊗xx') for the random vector x (2012)
- Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model (2008)
- A method to generate multivariate data with the desired moments (2008)
- Why not use standard panel unit root test for testing PPP (2008)
- Inference in panel cointegration models with long panels (2007)
- Estimating Nonlinear structural models (2007)
- The seasonal KPSS statistic (2006)
- The Exact Covariance Matrix of Dynamic Models with Latent Variables (2005)
- On seasonal error correction when the processes include different numbers of unit roots (2003)
- Forecasting performance of seasonal cointegration models (2002)
- Likelihood based cointegration tests in heterogenous panels (2001)
- The effect of precautionary saving on consumption in Sweden (2001)
- Starting values in estimation of cointegrating vectors with restrictions (2001)
- A Simple Linear Time Series Model with Misleading Nonlinear Properties (1999)
- Identification of the order of a fractionally differenced ARMA model (1999)
- Small-sample properties of some tests for unit root with data-based choice of the degree of augmentation (1999)
- Short and long run dependence in Swedish stock returns (1998)
- A matrix evaluation of the moving-average representation (1997)
- Effects of the COVID-19 pandemic on population mobility under mild policies
- A smooth transition duration model
- Beating the VAR: Improving Swedish GDP forecasts using error and intercept corrections
Reports
- The deregulation of the Queensland electricity market and a smooth transition duration model (2021)
- Estimating a VECM for a small open economy (2018)
- Bootstrap versus Bartlett type correction of the Dickey-Fuller test (2013)
- Testing for Purchasing Power Parity in Cointegrated Panels (2008)
- A long memory panel unit root test: PPP revisited (1999)