| 1. |
- A. Alkhamisi, Mahdi, et al.
(författare)
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A Monte Carlo Study of Recent Ridge Parameters
- 2007
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Ingår i: Communications in statistics. Simulation and computation. - 0361-0918 .- 1532-4141. ; 36:3, s. 535-547
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Tidskriftsartikel (refereegranskat)
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| 2. |
- Aldén, Lina, 1979-, et al.
(författare)
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Etnic origin, local labour markets and self-employment in Sweden : A multilevel approach
- 2013
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Ingår i: The annals of regional science. - : Springer Science and Business Media LLC. - 0570-1864 .- 1432-0592. ; 50:3, s. 885-910
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Tidskriftsartikel (refereegranskat)abstract
- We investigate the importance of ethnic origin and local labour markets conditions for self-employment propensities in Sweden. In line with previous research, we find differences in the self-employment rate between different immigrant groups as well as between different immigrant cohorts. We use a multilevel regression approach in order to quantify the role of ethnic background, point of time for immigration and local market conditions in order to further understand differences in self-employment rates between different ethnic groups. We arrive at the following: The self-employment decision is to a major extent guided by factors unobservable in register data. Such factors might be, that is, individual entrepreneurial ability and access to financial capital. The individual’s ethnic background and point of time for immigration play a smaller role for the self-employment decision but are more important than local labour market conditions.
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| 3. |
- Ali, Abdul Aziz, 1966-, et al.
(författare)
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A wavelet-based variance ratio unit root test for a system of equations
- 2020
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Ingår i: Studies in Nonlinear Dynamics and Econometrics. - : Walter de Gruyter. - 1081-1826 .- 1558-3708. ; 24:3, s. 1-16
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we suggest a unit root test for a system of equations using a spectral variance decomposition method based on the Maximal Overlap Discrete Wavelet Transform. We obtain the limiting distribution of the test statistic and study its small sample properties using Monte Carlo simulations. We find that, for multiple time series of small lengths, the wavelet-based method is robust to size distortions in the presence of cross-sectional dependence. The wavelet-based test is also more powerful than the Cross-sectionally Augmented Im et al. unit root test (Pesaran, M. H. 2007. "A Simple Panel Unit Root Test in the Presence of Cross-section Dependence." Journal of Applied Econometrics 22 (2): 265-312.) for time series with between 20 and 100 observations, using systems of 5 and 10 equations. We demonstrate the usefulness of the test through an application on evaluating the Purchasing Power Parity theory for the Group of 7 countries and find support for the theory, whereas the test by Pesaran (Pesaran, M. H. 2007. "A Simple Panel Unit Root Test in the Presence of Cross-section Dependence." Journal of Applied Econometrics 22 (2): 265-312.) finds no such support. © 2019 Walter de Gruyter GmbH, Berlin/Boston.
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| 4. |
- Ali, Abdul Aziz, 1966-
(författare)
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On the use of wavelets in unit root and cointegration tests
- 2018
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four essays linked with the use of wavelet methodologies in unit root testing and in the estimation of the cointegrating parameters of bivariate models.In papers I and II, we examine the performance of some existing unit root tests in the presence of error distortions. We suggest wavelet-based unit root tests that have better size fidelity and size-adjusted power in the presence of conditional heteroscedasticity and additive measurement errors. We obtain the limiting distribution of the proposed test statistic in each case and examine the small sample performance of the tests using Monte Carlo simulations.In paper III, we suggest a wavelet-based filtering method to improve the small sample estimation of the cointegrating parameters of bivariate models. We show, using Monte Carlo simulations, that wavelet filtering reduces the small sample estimation bias.In paper IV, we propose a wavelet variance ratio unit root test for a system of equations. We obtain the limiting distributions of the test statistics under different specifications of the deterministic components of the estimating equations. We also investigate the small sample properties of the test by conducting Monte Carlo simulations. Results from the Monte Carlo simulations show that the test has good size fidelity for small sample sizes (of up to 100 observations per equation, and up to 10 equations), and has better size-adjusted power for these sample sizes, compared the Cross-sectionally Augmented Dickey-Fuller test.
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| 5. |
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| 6. |
- Alkhamisi, Mahdi A., et al.
(författare)
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Developing Ridge Parameters for SUR Model
- 2008
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Ingår i: Communication in Statistics, Theory and Methods. - 0361-0926 .- 1532-415X. ; 37:4, s. 544-564
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Tidskriftsartikel (populärvet., debatt m.m.)
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| 7. |
- Alkhamisi, M. A., et al.
(författare)
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Estimation of SUR model with VAR(p) disturbances
- 2019
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Ingår i: Communications in Statistics: Case Studies, Data Analysis and Applications. - : Taylor & Francis Group. - 2373-7484. ; 5:4, s. 432-453
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Tidskriftsartikel (refereegranskat)abstract
- The multiple time series and ridge regression techniques are proposed for modeling and analyzing a scaled real life (or a simulated) data as a SUR model with VAR(p) disturbances. The regression coefficients are estimated via the generalized least squares method if collinearity is weak and otherwise the regression coefficients are estimated by the generalized ridge regression method. Small sample likelihood ratio test statistic and model selection criteria are employed for selecting the smallest possible lag order for the VAR process. Moreover, Monte Carlo simulations (1000 replications) are conducted to examine the properties of some new and some of the existing ridge parameters in rectifying the collinearity problem in SUR models with VAR(2) disturbances via the trace(MSE) and condition number criteria. Two data sets are analyzed to illustrate the findings of the article.
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| 8. |
- Almasri, Abdullah, 1965-, et al.
(författare)
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A wavelet-based panel unit-root test in the presence of an unknown structural break and cross-sectional dependency, with an application of purchasing power parity theory in developing countries
- 2017
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Ingår i: Applied Economics. - : Taylor & Francis. - 0003-6846 .- 1466-4283. ; 49:21, s. 2096-2105
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Tidskriftsartikel (refereegranskat)abstract
- This article introduces two different non-parametric wavelet-based panel unit-root tests in the presence of unknown structural breaks and cross-sectional dependencies in the data. These tests are compared with a previously suggested non-parametric wavelet test, the parameteric Im-Pesaran and Shin (IPS) test and a Wald type of test. The results from the Monte Carlo simulations clearly show that the new wavelet-ratio tests are superior to the traditional tests both in terms of size and power in panel unit-root tests because of its robustness to cross-section dependency and structural breaks. Based on an empirical Central American panel application, we can, in contrast to previous research (where bias due to structural breaks is simply disregarded), find strong, clear-cut support for purchasing power parity (PPP) in this developing region.
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| 9. |
- Almasri, Abdullah, et al.
(författare)
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Clustering Using Wavelet Transformation
- 2008
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Ingår i: Handbook of Research on Cluster Theory. - Cheltenham : Edward Elgar. - 9781845425166
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Bokkapitel (refereegranskat)
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| 10. |
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