| 1. |
- 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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| 2. |
- 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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| 3. |
- 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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| 4. |
- Ekberg, Jan, 1942-, et al.
(författare)
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SUR estimation of earnings differentials between three generations of immigrants and natives
- 2010
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Ingår i: The annals of regional science. - : Springer Science and Business Media LLC. - 0570-1864 .- 1432-0592. ; 45:3, s. 705-720
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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.
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| 5. |
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| 6. |
- Hammarstedt, Mats, 1965-, et al.
(författare)
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Testing the home-country self-employment hypothesis on immigrants in Sweden
- 2009
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 16:7, s. 745-748
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Tidskriftsartikel (refereegranskat)abstract
- This article tests the home-country self-employment hypothesis on immigrants in Sweden. The results show that the self-employment rates vary between different immigrant groups but we find no support for the home-country self-employment hypothesis using traditional estimation methods. However, when applying quantile regression method we find such evidence when testing results from the 90th quantile. This indicates that home-country self-employment traditions are important for the self-employment decision among immigrant groups with high self-employment rates in Sweden. Furthermore, the result underlines the importance of utilizing robust estimation methods when the home-country self-employment hypothesis is tested.
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| 7. |
- Karlsson, Hyunjoo Kim, et al.
(författare)
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The Causal Nexus between Oil Prices, Interest Rates, and Unemployment in Norway Using Wavelet Methods
- 2018
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Ingår i: Sustainability. - : MDPI. - 2071-1050. ; 10:8, s. 1-15
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Tidskriftsartikel (refereegranskat)abstract
- This paper applies wavelet multi-resolution analysis (MRA), combined with two types of causality tests, to investigate causal relationships between three variables: real oil price, real interest rate, and unemployment in Norway. Impulse response functions were also utilised to examine effects of innovation in one variable on the other variables. We found that causal relations between the variables tend to be stronger as the wavelet time scale increases; specifically, there were no causal relationships between the variables at the lowest time scales of one to three months. A causal relationship between unemployment rate and interest rate was observed during the period of two quarters to two years, during which time a feedback mechanism was also detected between unemployment and interest rate. Causal relationships between oil price and both interest rate and unemployment were observed at the longest time scale of eight quarters. In conjunction with Granger causality analysis, impulse response functions showed that unemployment rates in Norway respond negatively to oil price shocks around two years after the shocks occur. As an oil exporting country, increases (or decreases) in oil prices reduce (or increase) unemployment in Norway under a time horizon of about two years; previous studies focused on oil importing economies have generally found the inverse to be true. Unlike most studies in this field, we decomposed the implicit aggregation for all time scales by applying MRA with a focus on the Norwegian economy. Thus, one main contribution of this paper is that we unveil and systematically distinguish the nature of the time-scale dependent relationship between real oil price, real interest rate, and unemployment using wavelet decomposition.
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| 8. |
- Li, Yushu, et al.
(författare)
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Testing for Unit Root Against LSTAR Models: Wavelet Improvement under GARCH Distortion
- 2010
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Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 39:2, s. 277-286
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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.
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| 9. |
- 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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| 10. |
- Mantalos, Panagiotis, et al.
(författare)
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The Effect of the Spillover on the Granger Causality Test
- 2010
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Ingår i: Journal of Applied Statistics. - : Taylor & Francis. - 0266-4763 .- 1360-0532. ; 37:9, s. 1473-1486
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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.
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