Markku Lanne

Institution: Helsingin Yliopisto

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://blogs.helsinki.fi/lanne/

First Publication: 1999

Most Recent: 2025

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period	A (2x)	B (1x)	C (½x)	Total	Percentile
Last 5 Years	3.36	1.68	0.00	5.05	83%
Last 10 Years	4.71	6.73	0.00	11.44	91%
All Time	12.78	22.20	1.51	36.50	97%

Publication Statistics

Raw Publications 30

Coauthorship-Adjusted Count 31.64

Publications (30)

Year	Article	Journal	Tier	Authors
2025	A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks	Journal of Economic Dynamics and Control	B	2
2024	Statistically identified structural VAR model with potentially skewed and fat‐tailed errors	Journal of Applied Econometrics	B	3
2023	Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks	Journal of Business & Economic Statistics	A	3
2021	GMM Estimation of Non-Gaussian Structural Vector Autoregression	Journal of Business & Economic Statistics	A	2
2020	Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression	Oxford Bulletin of Economics and Statistics	B	2
2018	Data‐Driven Identification Constraints for DSGE Models	Oxford Bulletin of Economics and Statistics	B	2
2017	Identification and estimation of non-Gaussian structural vector autoregressions	Journal of Econometrics	A	3
2017	A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations	Journal of Money, Credit, and Banking	B	2
2016	Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models	Oxford Bulletin of Economics and Statistics	B	2
2016	Noncausal Bayesian Vector Autoregression	Journal of Applied Econometrics	B	2
2014	Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?	Oxford Bulletin of Economics and Statistics	B	2
2013	NONCAUSAL VECTOR AUTOREGRESSION	Econometric Theory	B	2
2013	Autoregression-based estimation of the new Keynesian Phillips curve	Journal of Economic Dynamics and Control	B	2
2013	Overnight stock returns and realized volatility	International Journal of Forecasting	B	2
2012	Has US inflation really become harder to forecast?	Economics Letters	C	2
2012	Optimal forecasting of noncausal autoregressive time series	International Journal of Forecasting	B	3
2012	Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models	Journal of Applied Econometrics	B	3
2011	GMM Estimation with Non‐causal Instruments	Oxford Bulletin of Economics and Statistics	B	2
2010	Structural vector autoregressions with Markov switching	Journal of Economic Dynamics and Control	B	3
2009	A naïve sticky information model of households' inflation expectations	Journal of Economic Dynamics and Control	B	3
2009	Joint modeling of call and put implied volatility	International Journal of Forecasting	B	2
2008	Identifying Monetary Policy Shocks via Changes in Volatility	Journal of Money, Credit, and Banking	B	2
2007	Forecasting realized exchange rate volatility by decomposition	International Journal of Forecasting	B	1
2006	Why is it so difficult to uncover the risk-return tradeoff in stock returns?	Economics Letters	C	2
2006	Nonlinear dynamics of interest rate and inflation	Journal of Applied Econometrics	B	1
2004	Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028	The Energy Journal	B	2
2003	Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time	Oxford Bulletin of Economics and Statistics	B	3
2002	Unit root tests for time series with level shifts: a comparison of different proposals	Economics Letters	C	2
2002	Testing The Predictability Of Stock Returns	Review of Economics and Statistics	A	1
1999	Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates	Review of Economics and Statistics	A	1