| 1. |
- Hacker, R Scott, 1964-, et al.
(författare)
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An Investigation of the Causal Relations between Exchange Rates and Interest Rates Differentials using Wavelets
- 2010
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Monthly and quarterly data for the spot exchange rate of the Swedish Krona against major currencies have been used in this paper to investigate the causality in a Granger sense at different time scales between the spot exchange rate and the nominal interest rate differential by using wavelet analysis. Impulse response functions are also utilized to examine the signs of how one of these variables affects the other over time. One key empirical finding from the causality tests is that there is only substantial evidence of a causal relationship in the long run between the two variables. When using monthly data, this is true in both directions. When considering impulse responses on how the interest rate differential affects the exchange rate, there appears to be some evidence of more negative relationships at the shorter time scales and more positive relationships at the longer time scales.
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| 2. |
- Hacker, R Scott, 1964-, et al.
(författare)
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The Relationship between Exchange Rates and Interest Rate Differentials : a Wavelet Approach
- 2010
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and the interest rate differential for seven pairs of countries, with a small country, Sweden, included in each of the cases. The key empirical results show that there tends to be a negative relationship between the spot exchange rate (domestic-currency price of foreign currency) and the nominal interest rate differential (approximately the domestic interest rate minus the foreign interest rate) at the shortest time scales, while a positive relationship is shown at the longest time scales. This indicates that among models of exchange rate determination using the asset approach, the sticky-price models are supported in the short-run while in the long-run the flexible-price models appear to better explain the sign of the relationship.
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| 3. |
- Mantalos, Panagiotis, et al.
(författare)
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The effect of spillover on the Johansens tests for Cointegration: A Monte Carlo Analysis
- 2010
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Ingår i: International Journal of Computational Economics and Econometrics. - : InderScience Publishers. - 1757-1170 .- 1757-1189. ; 1:3/4, s. 327-342
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the effect of spillover (i.e. causality in variance) on the Johansens tests for cointegration by conducting a Monte Carlo experiment where 16 different data generating processes (DGP) are used and a number of factors that might affect the properties of the Johansens cointegration tests are varied. The result from the simulation study clearly shows that spillover effect leads to an over-rejection of the true null hypothesis. Hence, in the presence of spillover it becomes very hard to make inferential statements since it will often lead to erroneous claims that cointegration relationships exist.
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| 4. |
- Månsson, Kristofer, et al.
(författare)
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On Ridge Parameters in Logistic Regression
- 2011
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Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 40:18, s. 3366-3381
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Tidskriftsartikel (refereegranskat)abstract
- This article applies and investigates a number of logistic ridge regression (RR) parameters that are estimable by using the maximum likelihood (ML) method. By conducting an extensive Monte Carlo study, the performances of ML and logistic RR are investigated in the presence of multicollinearity and under different conditions. The simulation study evaluates a number of methods of estimating the RR parameter k that has recently been developed for use in linear regression analysis. The results from the simulation study show that there is at least one RR estimator that has a lower mean squared error (MSE) than the ML method for all the different evaluated situations.
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| 5. |
- Månsson, Kristofer, et al.
(författare)
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A Poisson ridge regression Estimator
- 2011
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Ingår i: Economic Modelling. - : Elsevier BV. - 0264-9993 .- 1873-6122. ; 28:4, s. 1475-1481
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Tidskriftsartikel (refereegranskat)abstract
- The standard statistical method for analyzing count data is the Poisson regression model, which is usually estimated using maximum likelihood (ML) method. The ML method is very sensitive to multicollinearity. Therefore, we present a new Poisson ridge regression estimator (PRR) as a remedy to the problem of instability of the traditional ML method. To investigate the performance of the PRR and the traditional ML approaches for estimating the parameters of the Poisson regression model, we calculate the mean squared error (MSE) using Monte Carlo simulations. The result from the simulation study shows that the PRR method outperforms the traditional ML estimator in all of the different situations evaluated in this paper.
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