| 1. |
- Andersson, Michael K., et al.
(författare)
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Bayesian forecast combination for VAR models
- 2008
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Ingår i: Bayesian Econometrics. - Bingley : Emerald. - 9781848553088 ; , s. 501-524
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Bokkapitel (övrigt vetenskapligt/konstnärligt)
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| 2. |
- Andersson, Michael K., et al.
(författare)
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Bootstrapping Error Component Models
- 2001
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Ingår i: Computational statistics (Zeitschrift). - : Physica Verlag. - 0943-4062 .- 1613-9658. ; 16:2, s. 221-231
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Tidskriftsartikel (refereegranskat)abstract
- This paper proposes several resampling algorithms suitable for error component models and evaluates them in the context of bootstrap testing. In short, all the algorithms work well and lead to tests with correct or close to correct size. There is thus little or no reason not to use the bootstrap with error component models.
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| 3. |
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| 4. |
- Andrén, Daniela, 1968-, et al.
(författare)
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New ways to measure well-being? : A first joint analysis of subjective and objective measures
- 2018
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Our study is, to our knowledge, the first joint analysis of subjective and objective measures of well-being. Using a rich longitudinal data from the mothers pregnancy until adulthood for a birth cohort of children who attended school in Örebro during the 1960s, we analyse in a first step how subjective (self-assessed) and objective (cortisol-based) measures of well-being are related to each other. In a second step, life-course models for these two measures are estimated and compared with each other. Despite the fact that our analysis is largely exploratory, our results suggest interesting possibilities to use objective measures to measure well-being, even though this may imply a greater degree of complexity.
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| 5. |
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| 6. |
- Andrén, Daniela, 1968-, et al.
(författare)
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Subjective and physiological measures of well-being : an exploratory analysis using birth-cohort data
- 2017
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- We use a rich longitudinal data set following a cohort of Swedish women from age 10 to 49 to analyse the effects of birth and early-life conditions on adulthood outcomes. These latter include both well-being and the stress hormone cortisol. Employment and marital status are important adult determinants of well-being. Log family income and absence from school also predict adult well-being, although their importance falls when controlling for adult and birth characteristics. Among the birth characteristics, we find that high birth weight (>4.3kg) affects adult well-being. We predict the level of adult cortisol only poorly, and suggest that the relationship between life satisfaction and cortisol is non-monotonic: both high and low cortisol are negatively correlated with life satisfaction. The results from an OLS life satisfaction regression and a multinomial logit of high or low cortisol (as compared to medium) are more similar to each other.
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| 7. |
- Berger, Helge, et al.
(författare)
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A note of caution on the relation between money growth and inflation
- 2023
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Ingår i: Scottish Journal of Political Economy. - : John Wiley & Sons. - 0036-9292 .- 1467-9485. ; 70:5, s. 479-496
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Tidskriftsartikel (refereegranskat)abstract
- We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The effect of money growth on inflation weakened notably after the 1980s before strengthening after 2020. There is evidence that this time variation is related to the pace of price changes, as we find that the maximum impact of money growth on inflation is increasing in the trend level of inflation. These results caution against asserting a simple, time-invariant relationship when modeling the joint dynamics of monetary aggregates and consumer prices.
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| 8. |
- Ding, Shutong, 1985-, et al.
(författare)
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Bayesian forecasting combination in VAR models with many predictors
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- This paper is motivated by the findings of our previous work, that is forecasting VAR models in the cases of small and medium-sized datasets, both marginalized marginal likelihood and predictive likelihood based averaging approaches tend to produce superior forecasts than the Bayesian VAR methods using shrinkage priors. With an efficient reversible-jump MCMC algorithm, We extend the forecast combination and model averaging of VAR models to the context of large datasets (more than hundred predictors), and consider a range of competitive alternative methods to compare and examine their forecast performance. Our empirical results show that the Bayesian model averaging approach outperforms the various alternatives.
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| 9. |
- Ding, Shutong, 1985-, et al.
(författare)
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Bayesian forecasting using reduced rank VARs
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Reduced rank regression has a long tradition as a technique to achieve a parsimonious parameterization in multivariate regression models. Recently this has been applied in the Bayesian VAR framework where the rich parameterization is a common concern in applied work. We advocate a parameterization of the reduced rank VAR which leads to a natural interpretation in terms of a dynamic factor model. Without additional restrictions on the parameters the reduced rank model is unidentified and we consider two identification schemes. The traditional ad-hoc identification with the first rows of one of the reduced rank parameter matrices being the identity matrix and a semi-orthogonal identification originally proposed in the context of cointegrated VAR models with the advantage that it does not depend on the ordering of the variables. Borrowing from the cointegration literature, we propose efficient MCMC algorithms for the evaluation of the posterior distribution given the two identification schemes. The determination of the rank of the reduced rank VAR is an important practical issue and we study the performance of different criteria for determining the rank. Finally, the forecasting performance of the reduced rank VAR model is evaluated in comparison with other popular forecasting models for large data sets.
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| 10. |
- Ding, Shutong, 1985-, et al.
(författare)
-
Model averaging and variable selection in VAR models
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Bayesian model averaging and model selection is based on the marginal likelihoods of the competing models. This can, however, not be used directly in VAR models when one of the issues is which - and how many - variables to include in the model since the likelihoods will be for different groups of variables and not directly comparable. One possible solution is to consider the marginal likelihood for a core subset of variables that are always included in the model. This is similar in spirit to a recent proposal for forecast combination based on the predictive likelihood. The two approaches are contrasted and their performance is evaluated in a simulation study and a forecasting exercise.
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| 11. |
- Edlund, Per-Olov, et al.
(författare)
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Forecasting the Swedish unemployment rate. VAR vs. transfer function modelling
- 1993
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Ingår i: International Journal of Forecasting. - : Elsevier. - 0169-2070 .- 1872-8200. ; 9:1, s. 61-76
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Tidskriftsartikel (refereegranskat)abstract
- The Swedish unemployment rate is forecast using three time series methods: the ARIMA, transfer function and Vector Autoregressive (VAR) models. Within this context, the choice of modelling strategy is discussed. It is found that the forecasting performance of VAR models is improved by explicitly taking account of cointegration between the variables in the model, despite the fact that unemployment is not cointegrated. However, the more parsimonious ARIMA and transfer function models have lower RMSE for all forecasting horizons. It is also found that the additional variables in the VAR models are important for predicting the turning points in the unemployment rate.
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| 12. |
- Eklund, Jana, et al.
(författare)
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Forecast combination and model averaging using predictive measures
- 2007
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Ingår i: Econometric Reviews. - : Informa UK Limited. - 0747-4938 .- 1532-4168. ; 26:2-4, s. 329-363
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Tidskriftsartikel (refereegranskat)abstract
- We extend the standard approach to Bayesian forecast combination by forming the weights for the model averaged forecast from the predictive likelihood rather than the standard marginal likelihood. The use of predictive measures of fit offers greater protection against in-sample overfitting when uninformative priors on the model parameters are used and improves forecast performance. For the predictive likelihood we argue that the forecast weights have good large and small sample properties. This is confirmed in a simulation study and in an application to forecasts of the Swedish inflation rate, where forecast combination using the predictive likelihood outperforms standard Bayesian model averaging using the marginal likelihood.
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| 13. |
- Gredenhoff, Mikael, et al.
(författare)
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Lag-length selection in VAR-models using equal and unequal lag-length procedures
- 1999
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Ingår i: Computational statistics (Zeitschrift). - : Physica Verlag. - 0943-4062 .- 1613-9658. ; 14:2, s. 171-187
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Tidskriftsartikel (refereegranskat)abstract
- It is well known that inference in vector autoregressive models depends crucially on the choice of lag-length. Various lag-length selection procedures have been suggested and evaluated in the literature. In these evaluations the possibility that the true model may have unequal lag-length has, however, received little attention. In this paper we investigate how sensitive lag-length estimation procedures, based on assumptions of equal or unequal lag-lengths, are to the true model structure. The procedures used in the paper are based on information criteria and we give results for AIC, HQ and BIG. In the Monte Carlo study we generate data from a variety of VAR models with properties similar to macro-economic time-series. We find that the commonly used procedure based on equal lag-length together with AIC and HQ performs well in most cases. The procedure (due to Hsiao) allowing for unequal lag-lengths produce reasonable results when the true model has unequal lag-length. The Hsiao procedure tend to do better than equal lag-length procedures in models with a more complicated lag structure.
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| 14. |
- Hahn-Strömberg, Victoria, 1971-, et al.
(författare)
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Polymorphisms in the CLDN1 and CLDN7 genes are related to differentiation and tumor stage in colon carcinoma
- 2014
-
Ingår i: Acta Pathologica, Microbiologica et Immunologica Scandinavica (APMIS). - : Wiley-Blackwell. - 0903-4641 .- 1600-0463. ; 122:7, s. 636-642
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Tidskriftsartikel (refereegranskat)abstract
- Tight junction is composed of transmembrane proteins important for maintaining cell polarity and regulating ion flow. Among these proteins are the tissue-specific claudins, proteins that have recently been suggested as tumor markers for several different types of cancer. An altered claudin expression has been observed in colon, prostatic, ovarian, and breast carcinoma. The aim of this study was to analyze the allele frequencies of three common single nucleotide polymorphisms (SNPs) in the genes for claudin 1 and claudin 7 in colon cancer (CC) patients and in a control population of healthy blood donors. Pyrosequencing was used to genotype the CLDN1 SNP rs9869263 (c.369C>T), and the CLDN7 SNPs rs4562 (c.590C>T) and rs374400 (c.606T>G) in DNA from 102 formalin fixed paraffin embedded (FFPE) colon cancer tissue, and 111 blood leukocyte DNA from blood/plasma donors. These results were correlated with clinical parameters such as TNM stage, tumor localization, tumor differentiation, complexity index, sex, and age. We found that there was a significant association between the CLDN1 genotype CC in tumor samples and a higher risk of colon cancer development (OR 3.0, p < 0.001). We also found that the CLDN7 rs4562 (c.590C>T) genotype CT had a higher risk of lymph node involvement (p = 0.031) and a lower degree of tumor differentiation (p = 0.028). In the control population, the allele frequencies were very similar to those in the HapMap cohort for CLDN7. The CLDN1 rs9869263 genotype (c.369C>T) was related to increased risk of colon cancer, and the CLDN7 rs4562 genotype (c.590C>T) was related to tumor differentiation and lymph node involvement in colon carcinoma. Further studies are warranted to ascertain their potential uses as biomarkers predicting tumor development, proliferation, and outcome in this disease.
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| 15. |
- Hultblad, Brigitta, et al.
(författare)
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Bayesian simultaneous determination of structural breaks and lag lengths
- 2008
-
Ingår i: Studies in Nonlinear Dynamics and Econometrics. - : Walter de Gruyter GmbH. - 1081-1826 .- 1558-3708. ; 12:3
-
Tidskriftsartikel (refereegranskat)abstract
- The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the number of structural breaks and vice versa we avoid some common pitfalls and are able to draw more robust conclusions. The approach is illustrated using both real data and a simulation study.
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| 16. |
- Jacobson, Tor, et al.
(författare)
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Finding Good Predictors for Inflation : A Bayesian Model Averaging Approach
- 2004
-
Ingår i: Journal of Forecasting. - : John Wiley & Sons. - 0277-6693 .- 1099-131X. ; 23:7, s. 479-496
-
Tidskriftsartikel (refereegranskat)abstract
- We consider a Bayesian model averaging approach for the purpose of forecasting Swedish consumer price index inflation using a large set of potential indicators, comprising some 80 quarterly time series covering a wide spectrum of Swedish economic activity. The paper demonstrates how to efficiently and systematically evaluate (almost) all possible models that these indicators in combination can give rise to. The results, in terms of out-of-sample performance, suggest that Bayesian model averaging is a useful alternative to other forecasting procedures, in particular recognizing the flexibility by which new information can be incorporated.
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| 17. |
- Kadiyala, K. Rao, et al.
(författare)
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Forecasting with Generalized Bayesian Vector Autoregressions
- 1993
-
Ingår i: Journal of Forecasting. - : John Wiley & Sons. - 0277-6693 .- 1099-131X. ; 12:3-4, s. 365-378
-
Tidskriftsartikel (refereegranskat)abstract
- The effects of using different distributions to parameterize the prior beliefs in a Bayesian analysis of vector autoregressions are studied. The well-known Minnesota prior of Litterman as well as four less restrictive distributions are considered. Two of these prior distributions are new to vector autoregressive models. When the forecasting performance of the different parameterizations of the prior beliefs are compared it is found that the prior distributions that allow for dependencies between the equations of the VAR give rise to better forecasts.
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| 18. |
- Kadiyala, K Rao, et al.
(författare)
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Numerical Methods for Estimation and Inference in Bayesian VAR-models
- 1997
-
Ingår i: Journal of applied econometrics (Chichester, England). - : John Wiley & Sons. - 0883-7252 .- 1099-1255. ; 12:2, s. 99-132
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Tidskriftsartikel (refereegranskat)abstract
- In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provide better forecasts and are preferable from a theoretical standpoint. Several of these priors require numerical methods in order to evaluate the posterior distribution. Different ways of implementing Monte Carlo integration are considered. It is found that Gibbs sampling performs as well as, or better, then importance sampling and that the Gibbs sampling algorithms are less adversely affected by model size. We also report on the forecasting performance of the different prior distributions.
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| 19. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
A Hybrid Time-Varying Parameter Bayesian VAR Analysis of Okun’s Law in the United States
- 2020
-
Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 197
-
Tidskriftsartikel (refereegranskat)abstract
- Employing quarterly data on GDP growth and the unemployment rate ranging from 1948Q3 to 2019Q4, we study the stability of Okun’s law in the United States. This is done by estimating hybrid time-varying Bayesian VAR models that allow for time-variation in none, one or both of the equations. Model comparison based on marginal likelihoods suggests that the relationship has not been stable. However, the amount of change in the dynamic relationship between the two variables is quantitatively very modest.
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| 20. |
- Karlsson, Sune, 1960-, et al.
(författare)
-
A Note on the Stability of the Swedish Phillips Curve
- 2019
-
Konferensbidrag (refereegranskat)abstract
- We use Bayesian techniques to estimate bivariate VAR models for Swedish unemployment rate and inflation. Employing quarterly data from 1995Q1 to 2018Q3 and new tools for model selection, we compare models with time-varying parameters and/or stochastic volatility to specifications with constant parameters and/or covariance matrix. The evidence in favour of a stable dynamic relationship between the unemployment rate and inflation is mixed. Model selection based on marginal likelihood calculations indicates that the relation is time varying, whereas the use of the deviance information criterion suggests that it is constant over time; we do, however, note consistent evidence in favour of stochastic volatility. An out-of-sample forecast exercise is also conducted, but similarly provides mixed evidence regarding which model to favour. Importantly though, even if time-varying parameters are allowed for, our results do not suggest that the Phillips curve has been flatter in more recent years. This finding thereby questions the explanation that a flatter Phillips curve is the cause of the low inflation that Sweden has experienced in recent year.
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| 21. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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A Note on the Stability of the Swedish Phillips Curve
- 2020
-
Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 59:6, s. 2573-2612
-
Tidskriftsartikel (refereegranskat)abstract
- We use Bayesian techniques to estimate bivariate VAR models for Swedish unem-ployment rate and inflation. Employing quarterly data from 1995Q1 to 2018Q3 and new tools for model selection, we compare models with time-varying parameters and/or stochastic volatility to specifications with constant parameters and/or covariance matrix. The evidence in favour of a stable dynamic relationship between the unemployment rate and inflation is mixed. Model selection based on marginal like-lihood calculations indicates that the relation is time varying, whereas the use of the deviance information criterion suggests that it is constant over time; we do, however, note consistent evidence in favour of stochastic volatility. An out-of-sample forecast exercise is also conducted, but similarly provides mixed evidence regarding which model to favour. Importantly though, even if time-varying parameters are allowed for, our results do not suggest that the Phillips curve has been flatter in more recent years. This finding thereby questions the explanation that a flatter Phillips curve is the cause of the low inflation that Sweden has experienced in recent year.
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| 22. |
- Karlsson, Sune, 1960-, et al.
(författare)
-
Computationally efficient double bootstrap variance estimation
- 2000
-
Ingår i: Computational Statistics & Data Analysis. - : Elsevier. - 0167-9473 .- 1872-7352. ; 33:3, s. 237-247
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Tidskriftsartikel (refereegranskat)abstract
- The double bootstrap provides a useful tool for bootstrapping approximately pivotal quantities by using an "inner" bootstrap loop to estimate the variance. When the estimators are computationally intensive, the double bootstrap may become infeasible. We propose the use of a new variance estimator for the nonparametric bootstrap which effectively removes the requirement to perform the inner loop of the double bootstrap. Simulation results indicate that the proposed estimator produce bootstrap-t confidence intervals with coverage accuracy which replicates the coverage accuracy for the standard double bootstrap.
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| 23. |
- Karlsson, Sune, 1960-
(författare)
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Conditional posteriors for the reduced rank regression model
- 2012
-
Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The multivariate reduced rank regression model plays an important role in econo- metrics. Examples include co-integration analysis and models with a factor struc- ture. Geweke (1996) provided the foundations for a Bayesian analysis of this model. Unfortunately several of the full conditional posterior distributions, which forms the basis for constructing a Gibbs sampler for the poster distribution, given by Geweke contains errors. This paper provides correct full conditional posteriors for the re- duced rank regression model under the prior distributions considered by Geweke.
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| 24. |
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| 25. |
- Karlsson, Sune, 1960-, et al.
(författare)
-
Flexible Fat-tailed BVARs
- 2019
-
Konferensbidrag (refereegranskat)abstract
- We propose a general class of fat-tailed distributions which includes the t,Cauchy, Laplace and slash distributions as well as the normal distribution as spe-cial cases. Full conditional posterior distributions for the Bayesian VAR-model arederived and used to construct a MCMC-sampler for the joint posterior distribution.The framework allows for selection of a specic special case as the distribution forthe error terms in the VAR if the evidence in the data is strong while at the sametime allowing for considerable exibility and more general distributions than oeredby any of the special cases.
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| 26. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
Flexible Fat-tailed Vector Autoregression
- 2020
-
Rapport (populärvet., debatt m.m.)abstract
- We propose a general class of multivariate fat-tailed distributions which includes the normal, t and Laplace distributions as special cases as well as their mixture. Full conditional posterior distributions for the Bayesian VAR-model are derived and used to construct a MCMC-sampler for the joint posterior distribution. The framework allows for selection of a specific special case as the distribution for the error terms in the VAR if the evidence in the data is strong while at the same time allowing for considerable flexibility and more general distributions than offered by any of the special cases. As fat tails can also be a sign of conditional heteroskedasticity we also extend the model to allow for stochastic volatility. The performance is evaluated using simulated data and the utility of the general model specification is demonstrated in applications to macroeconomics.
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| 27. |
|
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| 28. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
Flexible Fat-tailed Vector Autoregression
- 2021
-
Konferensbidrag (refereegranskat)abstract
- We propose a general class of multivariate fat-tailed distributions which includes the normal, t and Laplace distributions as special cases as well as their mixture. Full conditional posterior distributions for the Bayesian VAR-model are derived and used to construct a MCMC-sampler for the joint posterior distribution. The framework allows for selection of a specific special case as the distribution for the error terms in the VAR if the evidence in the data is strong while at the same time allowing for considerable flexibility and more general distributions than offered by any of the special cases. As fat tails can also be a sign of conditional heteroskedasticity we also extend the model to allow for stochastic volatility. The performance is evaluated using simulated data and the utility of the general model specification is demonstrated in applications to macroeconomics and finance.
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| 29. |
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| 30. |
- Karlsson, Sune, 1960-
(författare)
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Forecasting with Bayesian Vector Autoregression
- 2013
-
Ingår i: Handbook of Economic Forecasting, Volume 2. - : Elsevier. - 9780444627322 ; , s. 791-897
-
Bokkapitel (refereegranskat)abstract
- This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the simulation algorithm.
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| 31. |
- Karlsson, Sune, 1960-, et al.
(författare)
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Foreign Firms and Chinese Employment
- 2009
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Ingår i: The World Economy. - Oxford : Wiley-Blackwell Publishing Inc.. - 0378-5920 .- 1467-9701. ; 32:1, s. 178-201
-
Tidskriftsartikel (refereegranskat)abstract
- This paper examines the effect of foreign direct investment (FDI) on employment in the Chinese manufacturing sector. As one of the world's largest recipients of FDI, China has arguably benefited from foreign multinational enterprises in various respects. However, one of the main challenges for China, and other developing countries, is job creation, and the effect of FDI on employment is uncertain. The effect depends on the amount of jobs created within foreign firms as well as the effect of FDI on employment in domestic firms. We analyse FDI and employment in China using a large sample of manufacturing firms for the period 1998–2004. Our results show that FDI has positive effects on employment growth. The relatively high employment growth in foreign firms is associated with their firm characteristics and their high survival rate. Employment growth is also relatively high in private domestic Chinese firms. There also seems to be a positive indirect effect of FDI on employment in private domestically-owned firms, presumably caused by spillovers.
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| 32. |
- Karlsson, Sune, 1960-, et al.
(författare)
-
Is the US Phillips Curve Stable? Evidence from Bayesian VARs
- 2018
-
Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Inflation did not fall as much as many economists expected as the Great Recession hit the US economy. One explanation suggested for this phenomenon is that the Phillips curve has become flatter. In this paper we investigate the stability of the US Phillips curve, employing Bayesian VARs to quarterly data from 1990Q1 to 2017Q3. We estimate bivariate models for PCE inflation and the unemployment rate under a number of different assumptions concerning the dynamics and covariance matrix. Specifically, we assess the importance of time-varying parameters and stochastic volatility. Using new tools for model selection, we find support for both time-varying parameters and stochastic volatility. Interpreting the Phillips curve as the inflation equation of our Bayesian VAR, we conclude that the US Phillips curve has been unstable. Our results also indicate that the Phillips curve may have been somewhat flatter between 2005 and 2013 than in the decade preceding that period. However, while the dynamic relations of the model appear to be subject to time variation, we note that the effect of a shock to the unemployment rate on inflation is not fundamentally different over time. Finally, a conditional forecasting exercise suggests that as far as the models are concerned, inflation may not have been unexpectedly high around the Great Recession.
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| 33. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions
- 2023
-
Ingår i: Scandinavian Journal of Economics. - : John Wiley & Sons. - 0347-0520 .- 1467-9442. ; 125:1, s. 287-314
-
Tidskriftsartikel (refereegranskat)abstract
- It has been claimed that the fall in US inflation during the Great Recession was surprisingly small. One possible explanation for this is that the Phillips curve is unstable and that its slope was lower around the Great Recession. We investigate the importance of time-varying parameters using Bayesian vector autoregressions for inflation and unemployment. We find support for time variation in the inflation equation and an unstable Phillips curve that was somewhat flatter between 2005 and 2013. However, conditional forecasts mostly suggest that inflation was not unexpectedly high around the Great Recession, which puts the claim of a "missing disinflation" into question.
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| 34. |
- Karlsson, Sune, 1960-, et al.
(författare)
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Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects
- 2004
-
Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 29:1, s. 79-88
-
Tidskriftsartikel (refereegranskat)abstract
- The general case where the time specific effect in a two way model follows an arbitrary ARMA process has not been considered previously. We offer a straightforward maximum likelihood estimator for this case. Allowing for general ARMA processes raises the issue of model specification and we propose tests of the null hypothesis of no serial correlation as well as tests for discriminating between different specifications. A Monte-Carlo experiment evaluates the finite-sample properties of the estimators and test-statistics.
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| 35. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
Okuns lag i Sverige – är sambandet stabilt?
- 2021
-
Ingår i: Ekonomisk Debatt. - : Nationalekonomiska Föreningen. - 0345-2646. ; 49:8, s. 39-47
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- I denna artikel undersöks huruvida förhållandet mellan förändringen i arbetslöshetsgrad och BNP-tillväxt i Sverige har varit stabilt i Sverige mellan 1982och 2019. Analysen av sambandet, vilket ofta kallas Okuns lag, genomförs mednyutvecklade bayesianska metoder som möjliggör formella jämförelser mellanolika skattade modeller. Våra resultat tyder på att sambandet har varit stabiltöver tiden. De indikerar även att högre BNP-tillväxt än förväntat sänkerarbetslöshetsgraden på kort sikt
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| 36. |
- Karlsson, Sune, 1960-, et al.
(författare)
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On the power and interpretation of panel unit root tests
- 2000
-
Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 66:3, s. 249-255
-
Tidskriftsartikel (refereegranskat)abstract
- We demonstrate that panel unit root tests can have high power when a small fraction of the series is stationary and may lack power when a large fraction is stationary. The acceptance or rejection of the null is thus not sufficient evidence to conclude that all series have a unit root or that all are stationary.
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| 37. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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Sambandet mellan arbetslöshet och inflation i Sverige
- 2020
-
Ingår i: Ekonomisk Debatt. - : Nationalekonomiska Föreningen. - 0345-2646. ; 48:1, s. 7-19
-
Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- I denna artikel analyseras sambandet mellan arbetslöshet och inflation i Sverige under en period där inflationsmålspolitiken kan ses som etablerad. Resultaten indikerar att sambandet mellan arbetslöshet och inflation – vilket ofta benämns phillipskurvan – inte nödvändigtvis har varit stabilt över tiden. Vi finner dock inget stöd för att inflationen under de senaste åren skulle ha blivit mindre känslig för förändringar i arbetslösheten. Analysen pekar också på vikten av att överväga huruvida makroekonomiska samband samt de störningar som drabbar ekonomin bör modelleras som tidsvarierande, såväl för att kunna besvara akademiska frågeställningar som att ha policymodeller med relevanta empiriska egenskaper.
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| 38. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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Statistical inference for the tangency portfolio in high dimension
- 2021
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Ingår i: Statistics. - : Taylor & Francis. - 0233-1888 .- 1029-4910. ; 55:3, s. 532-560
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we study the distributional properties of the tangency portfolio (TP) weights assuming a normal distribution of the logarithmic returns. We derive a stochastic representation of the TP weights that fully describes their distribution. Under a high-dimensional asymptotic regime, i.e., the dimension of the portfolio, k, and the sample size, n, approach infinity such that k/n -> c is an element of (0, 1), we deliver the asymptotic distribution of the TP weights. Moreover, weconsider tests about the elements of the TP and derive the asymptotic distribution of the test statistic under the null and alternative hypotheses. In a simulation study, we compare the asymptotic distribution of the TP weights with the exact finite sample density. Wealso compare the high-dimensional asymptotic test with an exact small sample test. We document a good performance of the asymptotic approximations except for small sample sizes combined with c close to one. In an empirical study, we analyse the TP weights in portfolios containing stocks from the S&P 500 index.
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| 39. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
Svensk ekonomi är inte normal (och oberoende) – fakta om makroekonomiska variablers tidsserieegenskaper
- 2023
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Ingår i: Ekonomisk Debatt. - Stockholm : Nationalekonomiska föreningen. - 0345-2646. ; 51:1, s. 42-54
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Tidskriftsartikel (refereegranskat)abstract
- Att de störningar som drabbar makroekonomin är normalfördelade och har konstant varians är två antaganden som allt oftare har övergivits i den inter-nationella forskningslitteraturen under de senaste två decennierna. I denna artikel undersöks om detta är relevant för ett antal nyckelvariabler i svensk mak-roekonomi. Sammantaget tyder våra resultat på att forskare och policyekonomer som modellerar svenska makroekonomiska variabler – t ex i syfte att beskriva riskbilden kring dem – har påtaglig anledning att åtminstone överge antagandet om konstant störningsvarians. Ett konkret problem som annars kan uppstå är att prognososäkerhet överskattas i lugna tider och underskattas i turbulenta tider.
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| 40. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
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The Relation between the Corporate Bond-Yield Spread and the Real Economy : Stable or TimeVarying?
- 2019
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal model selection in a Bayesian setting. Our results indicate that the relation between the variables has been stable; we do, however, find strong support for stochastic volatility. We conclude that the corporate bond-yield spread’s usefulness for predicting real economic activity has not changed to a relevant extent after the Great Recession.
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| 41. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
The relation between the corporate bond-yield spread and the realeconomy : Stable or time-varying?
- 2020
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Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 186
-
Tidskriftsartikel (refereegranskat)abstract
- In this paper we assess whether the relation between the corporate bond-yield spread and the real economy has been stable over time. Using quarterly US data from 1953Q1 to 2018Q2, we estimate Bayesian VAR models which allow for drifting parameters and/or stochastic volatility and conduct formal model selection in a Bayesian setting. Our results indicate that the relation between the variables has been stable; we do, however, find strong support for stochastic volatility. We conclude that the corporate bond-yield spread’s usefulness for predicting real economic activity has not changed to a relevant extent after the Great Recession.
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| 42. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
Vector autoregression models with skewness and heavy tails
- 2021
-
Rapport (övrigt vetenskapligt/konstnärligt)abstract
- With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed and heavy tailed. In this paper, we contribute to the literature by extending a vector autoregression (VAR) model to account for a more realistic assumption of the multivariate distribution of the macroeconomic variables. We propose a general class of generalized hyperbolic skew Student’stdistribution with stochastic volatility for the error term in the VAR model that allows us to take into account skewness and heavy tails. Tools for Bayesian inference and model selection using a Gibbs sampler are provided. In an empirical study, we present evidence of skewness and heavy tails for monthly macroeconomic variables. The analysis also gives a clear message that skewness should be taken into account for better predictions during recessions and crises.
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| 43. |
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| 44. |
- Karlsson, Sune, Professor, 1960-, et al.
(författare)
-
Vector autoregression models with skewness and heavy tails
- 2023
-
Ingår i: Journal of Economic Dynamics and Control. - : Elsevier. - 0165-1889 .- 1879-1743. ; 146
-
Tidskriftsartikel (refereegranskat)abstract
- With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed and heavy tailed. In this paper, we contribute to the literature by extending a vector autoregression (VAR) model to account for more realistic assumptions on the multivariate distribution of macroeconomic variables. We propose a general class of generalized hyperbolic skew Student’s distribution with stochastic volatility for the innovations in the VAR model that allows us to take into account both skewness and heavy tails. Tools for Bayesian inference and model selection using a Gibbs sampler are provided. In an empirical study, we present evidence of skewness and heavy tails for monthly macroeconomic variables. The analysis also gives a clear message that skewness is a value-added feature to VAR models with heavy tails.
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| 45. |
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| 46. |
- Karlsson, Sune, 1960-, et al.
(författare)
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Volatilities, drifts and the relation between treasury yields and the corporate bond yield spread in Australia
- 2019
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Ingår i: Finance Research Letters. - : Elsevier. - 1544-6123 .- 1544-6131. ; 30, s. 378-384
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Tidskriftsartikel (refereegranskat)abstract
- We estimate Bayesian VAR models in order to investigate the relation between Treasury yields and the corporate bond yield spread in Australia. Recent developments in Bayesian model selection allow us to formally assess the relevance of stochastic volatility and drifting parameters. A model comparison indicates that a model with stochastic volatility and constant parameters is preferred. Our results imply that while previous studies may have relied on empirically flawed models, their main conclusion – namely that an increase in the risk free rate decreases the corporate bond yield spread – appears to be an empirically robust finding.
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