| 1. |
- Karlsson, Peter S.
(författare)
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Issues of incompleteness, outliers and asymptotics in high dimensional data
- 2011
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four individual essays and an introduction chapter. The essays are in the field of multivariate statistical analysis of High dimensional data. The first essay presents the issue of estimating the inverse covariance matrix alone and when it is used within the Mahalanobis distance in High-dimensional data. Three types of ridge-shrinkage estimators of the inverse covariance matrix are suggested and evaluated through Monte Carlo simulations. The second essay deals with incomplete observations in empirical applications of the Arbitrage Pricing Theory model and the interest is to model the underlying covariance structure among the variables by a few common factors. Two possible solutions to the problem are considered and acase study using the Swedish OMX data is conducted for demonstration. In the third essay the issue of outlier detection in High-dimensional data is treated. A number of point estimators of the Mahalanobis distance are suggested and their properties are evaluated. In the fourth and last essay the relation between the second central moment of a distribution to its first raw moment is considered in an financial context. Three possible estimators are considered and it is shown that they are consistent even when the dimension increases proportionally to the number of observations.
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| 2. |
- Ejermo, Olof
(författare)
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Perspectives on regional and industrial dynamics of innovation
- 2004
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of five essays in the field of innovation economics, with an introductory chapter. The focus is mainly empirical with four of the five chapters consisting of studies of aspects of Swedish innovation activity. These empirical chapters are an endeavor to quantify aspects of the effects of the public-good property of knowledge. To this effect, innovation indicators were collected regarding industrial and firm research and development (R&D); regional indicators were collected using business and university R&D and records of patent applications and granted patents assigned to Swedish regions using the residential location of inventors.The first essay studies the productive effect (total factor productivity) of R&D on Swedish firms and the effect that R&D can be expected to have on other firms. The second essay analyzes, with corporate groups as the unit of observation, the effect of accessibility to R&D in universities, and in other groups’ R&D on the innovative capability of the individual group. The third essay tries to characterize the extent to which Swedish regions are specialized or diverse. This is summarized in a single variable which is used to test the effect on innovative activity as measured by the number of patent applications. The fourth essay, the theoretical study of the thesis, constructs a two-region model with two firms residing in each. The incentives for doing process R&D are worked out by agglomerating consumers in one of the regions, and by changing interregional accessibility. The sixth essay studies Swedish inventor networks and regional affinity based on networks.
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| 3. |
- Karlsson, Joel, 1980-
(författare)
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Issues of Complex Hierarchical Data and Multilevel Analysis : Applications in Empirical Economics
- 2012
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four individual essays and an introduction chapter. The essays are in the field of multilevel analysis of economic data. The first essay estimates capitalisation effects of farm attributes, with a particular focus on single farm payments (SFP), into the price of farms. Using a sample of Swedish farm transactions sold all across the country, the results from a spatial multiple-membership model suggests that the local effect of SFP is negative while there is a positive between-region effect of SFP, on farm prices. The second essay investigates the extent to which differences in the probability to exit from part-time unemployment to a full-time job can be accounted for by spatial contextual factors and individual characteristics. To correctly incorporate contextual effects, a multilevel analysis was applied to explore whether contextual factors account for differences in the probability of transition to full-time employment between individuals with different characteristics. The results indicate that there is a contextual effect and that there are some spatial spill-over effects from neighbouring municipalities. The third essay investigates the determinants of educational attainment for third-generation immigrants and natives in Sweden. Using a mixed-effects model that includes unobserved family heterogeneity, for linked register data, the main result is that the effect of parent’s educational attainment is mainly due to the between-parental education effect of family income. The fourth and last essay presents a new robust strategy for performance evaluation in the case of panel data that is based on routinely collected variables or indicators. The suggested strategy applies a cross-classified, mixed-effect model. The strategy is implemented in two illustrative empirical examples, and the robustness is investigated in a Monte Carlo study.
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| 4. |
- Månsson, Kristofer
(författare)
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Issues of multicollinearity and conditional heteroscedasticy in time series econometrics
- 2012
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This doctoral thesis consists of four chapters all related to the field of time series econometrics. The main contribution is firstly the development of robust methods when testing for Granger causality in the presence of generalized autoregressive conditional heteroscedasticity (GARCH) and causality-in-variance (i.e. spillover) effects. The second contribution is the development of different shrinkage estimators for count data models which may be used when the explanatory variables are highly inter-correlated.The first essay investigated the effect of spillover on some tests for causality in a Granger sense. As a remedy to the problem of over-rejection caused by the spillover effects White’s heteroscedasticity consistent covariance matrix is proposed. In the second essay the effect of GARCH errors on the statistical tests for Granger causality is investigated. Here some wavelet denoising methods are proposed and by means of Monte Carlo simulations it is shown that the size properties of the tests based on wavelet filtered data is better than the ones based on raw data.In the third and fourth essays ridge regression estimators for the Poisson and negative binomial (NB) regression models are investigated respectively. Then finally in the fifth essaya Liu type of estimator is proposed for the NB regression model. By using Monte Carlo simulations it is shown that the estimated MSE is lower for the ridge and Liu type of estimators than maximum likelihood (ML).
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| 5. |
- Söderberg, Jonas, 1975-
(författare)
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Essays on the Scandinavian Stock Markets
- 2009
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of three self-contained empirical essays related to the stock markets in Denmark, Norway, and Sweden.In Essay I, the time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with liquidity indices. We observe that on all Scandinavian stock exchanges, liquidity has increased during the examined period. However, the monthly variation in liquidity is large. Moreover, within these order-driven stock exchanges, the relationship between the market variables return, volatility, trading activity, and liquidity is examined in a VAR framework. In line with previous findings on the U.S. stock markets, we find that an increase in return predicts higher liquidity, that there is a negative relationship between volatility and liquidity, and that a positive shock in trading activity predicts increasing liquidity. However, in comparison to previous studies on U.S. stock exchanges, our results indicate that liquidity is more dependent on trading activity in the Scandinavian order-driven markets. Finally, the linkage between these stock exchanges in terms of liquidity is explored with VAR. In these VAR, we find evidence of liquidity spillover between the Scandinavian stock exchanges.Essay II evaluates 14 macroeconomic variables' ability to forecast changes in monthly liquidity on the Scandinavian order-driven stock exchanges. Every macroeconomic variable is evaluated both out-of-sample and in-sample and against three different benchmark models of market variables and asymmetries concerning up and down markets. Policy rate on Copenhagen, broad money growth on Oslo, and short-term interest rate and flows from mutual funds on Stockholm significantly improve the out-of-sample forecasts of liquidity at these exchanges. However, most proposed macroeconomic variables can be rejected as forecasters of liquidity on the Scandinavian stock exchanges. There are many variables that predict in-sample liquidity that do not forecast out-of-sample. This stresses the importance of conducting out-of-sample tests when examining whether macroeconomic variables predict liquidity. In addition, this is the first paper confirming that stock market liquidity can be forecast out-of-sample.Essay III examines whether the pairwise comovement between stocks quoted on the Stockholm stock exchange can be correctly quantified by the Gaussian copula, i.e., by linear correlation. Two different methods are used to test whether the dependence on the Swedish stock market can be modeled by the Gaussian copula. From these tests, we come to the conclusion that the Gaussian copula is not an appropriate choice of copula for the Swedish stock market. We also come to the same conclusion when observing sector and industry indices on the Swedish stock market. However, if performing a GARCH filtering of the return series, there is a substantial decrease in the number of pairs of either stocks or indices for which the Gaussian copula can be rejected. For the two test methods, a notable difference in the rejection rate of the Gaussian copula can also be observed.
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| 6. |
- Söderberg, Jonas, 1975-
(författare)
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(Il)liquidity on the Scandinavian Stock Exchange
- 2007
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Licentiatavhandling (övrigt vetenskapligt/konstnärligt)abstract
- The time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with an (il)liquidity index, based on the measures in Amihud (2002) and Lesmond, Ogden and Trzcinka (1999). The relationships between return, volatility, trading activity, and liquidity are examined in a VAR framework within these purely order-driven stock exchanges. In comparison to previous studies on the market structure in U.S stock exchanges, our results indicate that liquidity is more dependent on trading activity in the Scandinavian purely order-driven markets. Further, the linkage between the stock exchanges in terms of liquidity is explored. We document evidence of liquidity spilloverbetween the Scandinavian stock exchanges.
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| 7. |
- 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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| 8. |
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| 9. |
- Kraus, Katrin, 1979-
(författare)
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On the Measurement of Model Fit for Sparse Categorical Data
- 2012
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four papers that deal with several aspects of the measurement of model fit for categorical data. In all papers, special attention is paid to situations with sparse data.The first paper concerns the computational burden of calculating Pearson's goodness-of-fit statistic for situations where many response patterns have observed frequencies that equal zero. A simple solution is presented that allows for the computation of the total value of Pearson's goodness-of-fit statistic when the expected frequencies of response patterns with observed frequencies of zero are unknown.In the second paper, a new fit statistic is presented that is a modification of Pearson's statistic but that is not adversely affected by response patterns with very small expected frequencies. It is shown that the new statistic is asymptotically equivalent to Pearson's goodness-of-fit statistic and hence, asymptotically chi-square distributed.In the third paper, comprehensive simulation studies are conducted that compare seven asymptotically equivalent fit statistics, including the new statistic. Situations that are considered concern both multinomial sampling and factor analysis. Tests for the goodness-of-fit are conducted by means of the asymptotic and the bootstrap approach both under the null hypothesis and when there is a certain degree of misfit in the data. Results indicate that recommendations on the use of a fit statistic can be dependent on the investigated situation and on the purpose of the model test. Power varies substantially between the fit statistics and the cause of the misfit of the model. Findings indicate further that the new statistic proposed in this thesis shows rather stable results and compared to the other fit statistics, no disadvantageous characteristics of the fit statistic are found.Finally, in the fourth paper, the potential necessity of determining the goodness-of-fit by two sided model testing is adverted. A simulation study is conducted that investigates differences between the one sided and the two sided approach of model testing. Situations are identified for which two sided model testing has advantages over the one sided approach.
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| 10. |
- Li, Yushu, 1983-
(författare)
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Testing for Unit Root against LISTAR Model : Wavelet Improvement under GARCH Distortion
- 2008
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Licentiatavhandling (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we propose a Nonlinear Dickey-Fuller F test for unit root against first order Logistic Smooth Transition Autoregressive LISTAR (1) model with time as the transition variable. The Nonlinear Dickey-Fuller F test statistics is established under the null hypothesis of random walk without drift and the alternative model is a nonlinear LSTAR (1) model. The asymtotic distribution of the test is analytically derived while small sample distributiuons are investigated by Monte Carlo experiment. We next investigate the size and power properties of the test statistics. We use empirical example to compare our test with the traditional Dickey-Fuller F test. Moreover, we find a serious size distortion for the Nonlinear Dickey-Fuller F test when GARCH errors appear in the Data Generating Process (DGP), which lead to an over-rejection of the unit root null hypothesis. To solve this problem, we use the wavelet method to count off the GARCH distortion and to improve the size property of the test under GARCH error. We also discuss the the asymptonic distributions of the test statistics in GARCH and wavelet environments. An empirical example is used to show the wavelet environments. An empirical example is used to show the wavelet improvement of the over-rejection problem.
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