| 1. |
- Ekberg, Jan, 1942-, et al.
(författare)
-
SUR estimation of earnings differentials between three generations of immigrants and natives
- 2010
-
Ingår i: The annals of regional science. - : Springer Science and Business Media LLC. - 0570-1864 .- 1432-0592. ; 45:3, s. 705-720
-
Tidskriftsartikel (refereegranskat)abstract
- This paper presents a Seemingly Unrelated Regressions estimation of earnings differentials between three generations of immigrants and natives in Sweden. The results show that male first-generation immigrants were at an earnings advantage compared to male natives. Among male second-generation immigrants the earnings differentials compared to natives were very small, while third-generation immigrants were at an earnings disadvantage compared to natives. The same pattern was found among females. Thus, the results indicate that ethnic differences in earnings are likely to occur even after several generations spent in a country and that the problem of immigrant assimilation that exists in many European countries may last for several generations.
|
|
| 2. |
- Salman, Khalik, et al.
(författare)
-
Estimating international tourism demand for selected regions in Sweden and Norway with iterative seemingly unrelated regressions (ISUR)
- 2010
-
Ingår i: Scandinavian Journal of Hospitality and Tourism. - : Informa UK Limited. - 1502-2250 .- 1502-2269. ; 10:4, s. 395-410
-
Tidskriftsartikel (refereegranskat)abstract
- This paper estimates the demand for tourism to Sweden and Norway from five countries: Denmark, the United Kingdom, Switzerland, Japan, and the United States. For each visiting country, and for selected regions in Sweden and Norway, we specify separate equations by including relative information. We then estimate these equations using Zellner's Iterative Seemingly Unrelated Regressions (ISUR). The benefit of this model is that the ISUR estimators utilize the information present in the error correlation of the cross regressions (or equations) and hence are more efficient than single equation estimation methods such as ordinary least squares. Monthly time series data from January 1993 to December 2006 are used. The results show that the consumer price index, some lagged dependent variables, and several monthly dummies (representing seasonal effects) have a significant impact on the number of visitors to the SW6 region in Sweden and Tröndelag in Norway. We also find that, in at least some cases, relative prices and exchange rates have a significant effect on international tourism demand.
|
|
| 3. |
- Li, Yushu, et al.
(författare)
-
Testing for Unit Root Against LSTAR Models: Wavelet Improvement under GARCH Distortion
- 2010
-
Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 39:2, s. 277-286
-
Tidskriftsartikel (refereegranskat)abstract
- In this article, we propose a nonlinear Dickey-Fuller F test for unit root against first-order Logistic Smooth Transition Autoregressive (LSTAR) (1) model with time as the transition variable. The nonlinear Dickey-Fuller F test statistic is established under the null hypothesis of random walk without drift and the alternative model is a nonlinear LSTAR (1) model. The asymptotic distribution of the test is analytically derived while the small sample distributions are investigated by Monte Carlo experiment. The size and power properties of the test were investigated using Monte Carlo experiment. The results showed that there is a serious size distortion for the test when GARCH errors appear in the Data Generating Process (DGP), which led to an over-rejection of the unit root null hypothesis. To solve this problem, we use the Wavelet technique to count off the GARCH distortion and improve the size property of the test under GARCH error. We also discuss the asymptotic distributions of the test statistics in GARCH and wavelet environments.
|
|
| 4. |
- Mantalos, Panagiotis, et al.
(författare)
-
The Effect of the Spillover on the Granger Causality Test
- 2010
-
Ingår i: Journal of Applied Statistics. - : Taylor & Francis. - 0266-4763 .- 1360-0532. ; 37:9, s. 1473-1486
-
Tidskriftsartikel (refereegranskat)abstract
- In this paper, we investigate the properties of the Granger causality test in stationary and stable vector autoregressive models under the presence of spillover effects, i.e., causality in variance. The Wald test and the WW test (the Wald test with White’s proposed heteroskedasticity-consistent covariance matrix estimator imposed) are analyzed. The investigation is undertaken by using Monte Carlo simulation in which two different sample sizes and six different kinds of data generating process are used. The results show that the Wald test overrejects the null hypothesis both with and without the spillover effect, and that the overrejection in the latter case is more severe in larger samples. The size properties of the WW test are satisfactory when there is spillover between the variables. Only when there is feedback in the variance is the size of the WW test slightly affected. The Wald test is shown to have higher power than the WW test when the errors follow a GARCH(1,1) process without a spillover effect. When there is spillover, the power of both tests deteriorates, which implies that the spillover has a negative effect on the causality tests.
|
|
| 5. |
- Mantalos, Panagiotis, et al.
(författare)
-
The effect of spillover on the Johansens tests for Cointegration: A Monte Carlo Analysis
- 2010
-
Ingår i: International Journal of Computational Economics and Econometrics. - : InderScience Publishers. - 1757-1170 .- 1757-1189. ; 1:3/4, s. 327-342
-
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.
|
|
