Markku Lanne
Markku Lanne is Professor of Economics at the University of Helsinki and Adjunct Professor of Financial Econometrics at Aalto University. He earned a PhD degree in economics from the University of Helsinki in 1997. Lanne’s field of research is time series econometrics with applications to macroeconomics and finance. His most recent work is concerned with the statistical identification of vector autoregressive models, and noncausal and noninvertible time series. He has published in numerous journals, including the Review of Economics and Statistics, Journal of Business and Economic Statistics, and Journal of Applied Econometrics.
Lanne, M. & Luoto, J. (2020). Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression. Oxford Bulletin of Economics and Statistics, 82(2), 425-452. https://doi.org/10.1111/obes.12338
Lanne, M. & Luoto, J. (2019). A comment on ‘on inflation expectations in the NKPC model’. Empirical Economics, 57(6), 1865-1867. https://doi.org/10.1007/s00181-018-1582-9
Lanne, M. & Luoto, J. (2019). GMM Estimation of Non-Gaussian Structural Vector Autoregression. Journal of Business and Economic Statistics, 39(1), 69-81. https://doi.org/10.1080/07350015.2019.1629940
Lanne, M. & Luoto, J. (2018). Data-Driven Identification Constraints for DSGE Models. Oxford Bulletin of Economics and Statistics, 80(2), 236-258. https://doi.org/10.1111/obes.12217
Lanne, M. & Luoto, J. (2017). A New Time-Varying Parameter Autoregressive Model for US Inflation Expectations. Journal of Money, Credit and Banking, 49(5), 969-995. https://doi.org/10.1111/jmcb.12402
Lanne, M., Meitz, M. & Saikkonen, P. (2017). Identification and estimation of non-Gaussian structural vector autoregressions. Journal of Econometrics, 196(2), 288-304. https://doi.org/10.1016/j.jeconom.2016.06.002
Lanne, M. & Nyberg, H. (2016). Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models. Oxford Bulletin of Economics and Statistics, 78(4), 595–603. Advance online publication. https://doi.org/10.1111/obes.12125
Lanne, M. & Luoto, J. (2016). Noncausal Bayesian Vector Autoregression. Journal of Applied Econometrics, 31(7), 1392–1406. https://doi.org/10.1002/jae.2497
Lanne, M. & Luoto, J. (2014). Does output gap, labour's share or unemployment rate drive inflation? Oxford Bulletin of Economics and Statistics, 76(5), 715–726. https://doi.org/10.1111/obes.12041
Lanne, M. & Luoto, J. (2013). Autoregression-based estimation of the new Keynesian Phillips curve. Journal of Economic Dynamics and Control, 37(3), 561-570. https://doi.org/10.1016/j.jedc.2012.09.008
Lanne, M. & Saikkonen, P. (2013). Noncausal vector autoregression. Econometric Theory, 29(3), 447-481. https://doi.org/10.1017/S0266466612000448
Katja, A. & Lanne, M. (2013). Overnight stock returns and realized volatility. International Journal of Forecasting, 29(4), 592-604. https://doi.org/10.1016/j.ijforecast.2013.03.006
Lanne, M., Meitz, M. & Saikkonen, P. (2013). Testing for Linear and Nonlinear Predictability of Stock Returns. Journal of Financial Econometrics, 11(4), 682-705. https://doi.org/10.1093/jjfinec/nbt004
Laakkonen, H. & Lanne, M. (2013). The relevance of accuracy for the impact of macroeconomic news on exchange rate volatility. International Journal of Finance and Economics, 18(4), 339-351. https://doi.org/10.1002/ijfe.1467
