| 1. |
- 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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| 2. |
- Ander, Malin, et al.
(författare)
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Development of health-related quality of life and symptoms of anxiety and depression among persons diagnosed with cancer during adolescence : a 10-year follow-up study
- 2016
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Ingår i: Psycho-Oncology. - : Wiley. - 1057-9249 .- 1099-1611. ; 25:5, s. 582-589
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Tidskriftsartikel (refereegranskat)abstract
- Objective: The main aim was to investigate the development of health-related quality of life (HRQOL) and symptoms of anxiety and depression in a cohort diagnosed with cancer during adolescence from shortly after up to 10 years after diagnosis.Methods: Participants (n = 61) completed the SF-36 and the HADS shortly; six, 12, and 18 months; and two, three, four, and 10 years (n = 28) after diagnosis. Polynomial change trajectories were used to model development.Results: Polynomial change trajectories showed an initial increase which abated over time into a decrease which abated over time for the SF-36 subscales Mental Health and Vitality; an initial decline which abated over time into an increase for HADS anxiety; and an initial decline which abated over time into an increase which abated over time for HADS depression. The SF-36 mental component summary showed no change from two to 10 years after diagnosis whereas the SF-36 physical component summary showed an increase from two years after diagnosis which declined over time. Ten years after diagnosis 29% reported possible anxiety.Conclusions: Development of HRQOL and symptoms of anxiety and depression appears to be nonlinear among persons diagnosed with cancer during adolescence. Well into permanent survivorship an increase in symptoms of anxiety is shown and approximately a third of the participants report possible anxiety. The findings indicate the need for: studies designed to pinpoint the times of highest psychological risk, clinical follow-up focusing on psychological problems, and development of effective psychological interventions for survivors of adolescent cancer
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| 3. |
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| 4. |
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| 5. |
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| 6. |
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| 7. |
- Ankargren, Sebastian, et al.
(författare)
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Estimating a VECM for a small open economy
- 2018
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- One of the most popular ways to model macro economic variables is bythe vector error correction model (VECM). Besides forecasting and testing ofhypotheses, the VECM is often used for calculating impulse responses, whichdescribe how shocks today aect the variables in the future. In economic theory,a small open economy denotes the economy of a country which is toosmall to inuence the surrounding world. The surrounding world can, for thisreason, be seen as exogenous relative to the economy of this small open economy.The main contribution of this paper is the proposal of how to estimatea VECM with exogeneity restrictions on both the short-run dynamics andthe short-run adjustment parameters between small open economies and thesurrounding world. A Monte Carlo simulation of impulse responses showsthat the proposed model is considerably more ecient compared to modelsfully or partially ignoring exogeneity. It is also shown that the empirical sizewhen testing for the number of long-run relations is closer to the nominalsize. Using two Swedish macroeconomic data sets the proposed method isapplied to estimate the models under weak exogeneity and Granger noncausality,respectively. We nd for some variables large deviances in impulseresponses between our proposed model incorporating both types of restrictionsand models using none or only one type of restriction, thus illustratingthe need for imposing the full set of restrictions instead of settling for just one.
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| 8. |
- Ankargren, Sebastian, et al.
(författare)
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Estimating a VECM for a Small Open Economy
- 2019
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In economic theory, the term small open economy refers to an economy that is too small to influence the surrounding world. The surrounding world can, for this reason, be seen as exogenous relative to the economy of this small open economy. The main contribution of this paper is the proposal of how to estimate a vector error correction model with exogeneity restrictions on the long-run parameters, the adjustment parameters as well as on the short-run dynamic parameters between small open economies and the surrounding world. A Monte Carlo simulation study of impulse responses shows that the proposed method is considerably more efficient compared to models that fully or partially ignore the restrictions implied by the small open economy property. Using two Swedish macroeconomic datasets, we find that there are, for some variables, large differences in impulse responses between our proposed method incorporating the restrictions and models using no or partial restrictions. As the small open economy property is in many situations uncontroversial, our method enables the incorporation of indisputable economic theory into the econometric estimation of the model.
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| 9. |
- Ankargren, Sebastian
(författare)
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VAR Models, Cointegration and Mixed-Frequency Data
- 2019
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of five papers that study two aspects of vector autoregressive (VAR) modeling: cointegration and mixed-frequency data.Paper I develops a method for estimating a cointegrated VAR model under restrictions implied by the economy under study being a small open economy. Small open economies have no influence on surrounding large economies. The method suggested by Paper I provides a way to enforce the implied restrictions in the model. The method is illustrated in two applications using Swedish data, and we find that differences in impulse responses resulting from failure to impose the restrictions can be considerable.Paper II considers a Bayesian VAR model that is specified using a prior distribution on the unconditional means of the variables in the model. We extend the model to allow for the possibility of mixed-frequency data with variables observed either monthly or quarterly. Using real-time data for the US, we find that the accuracy of the forecasts is generally improved by leveraging mixed-frequency data, steady-state information, and a more flexible volatility specification.The mixed-frequency VAR in Paper II is estimated using a state-space formulation of the model. Paper III studies this step of the estimation algorithm in more detail as the state-space step becomes prohibitive for larger models when the model is employed in real-time situations. We therefore propose an improvement of the existing sampling algorithm. Our suggested algorithm is adaptive and provides considerable improvements when the size of the model is large. The described approach makes the use of large mixed-frequency VARs more feasible for nowcasting.Paper IV studies the estimation of large mixed-frequency VARs with stochastic volatility. We employ a factor stochastic volatility model for the error term and demonstrate that this allows us to improve upon the algorithm for the state-space step further. In addition, regression parameters can be sampled independently in parallel. We draw from the literature on large VARs estimated on single-frequency data and estimate mixed-frequency models with 20, 34 and 119 variables.Paper V provides an R package for estimating mixed-frequency VARs. The package includes the models discussed in Paper II and IV as well as additional alternatives. The package has been designed with the intent to make the process of specification, estimation and processing simple and easy to use. The key functions of the package are implemented in C++ and are available for other packages to use and build their own mixed-frequency VARs.
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| 10. |
- Berg, Lennart, et al.
(författare)
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Short and long run dependence in Swedish stock return
- 1996
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The behaviour of Swedish stock returns over short and long run horizons is analysed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s we hardly found any evidence of long run depend-ence. Using thre
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| 11. |
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| 12. |
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| 13. |
- Carlsson, Mikael, et al.
(författare)
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Testing for Purchasing Power Parity in Cointegrated Panels
- 2008
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis during the recent float period on data for the G7 countries. This method is robust in several important dimensions relative to previous methods, including the well-known issue of cross-sectional dependence of error terms. The findings using this new method are contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS estimators of the cointegrating vectors. Although the shortcomings of previous methods do matter in various cases, the overall results are the same across approaches: The strong PPP hypothesis is forcefully rejected in favor of the weak PPP hypothesis with heterogeneous cointegrating vectors. As a consequence, the strong PPP hypothesis does not even seem to be an acceptable approximation of observed data.
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| 14. |
- Dahlberg, Matz, 1966-, et al.
(författare)
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Effects of the COVID-19 pandemic on population mobility under mild policies : Causal evidence from Sweden
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Sweden has adopted far less restrictive social distancing policies than most countries following the COVID-19 pandemic (1–7). This paper uses data on all mobile phone users, from one major Swedish mobile phone network, to examine the impact of the Coronavirus outbreak under the Swedish mild recommendations and restrictions regime on individual mobility and if changes in geographical mobility vary over different socio-economic strata. Having access to data for January-March in both 2019 and 2020 enables the estimation of causal effects of the COVID-19 outbreak by adopting a Difference-in-Differences research design. The paper reaches four main conclusions: (i) The daytime population in residential areas increased significantly (64 percent average increase); (ii) The daytime presence in industrial and commercial areas decreased significantly (33 percent average decrease); (iii) The distance individuals move from their homes during a day was substantially reduced (38 percent decrease in the maximum distance moved and 36 percent increase in share of individuals 2 who move less than one kilometer from home); (iv) Similar reductions in mobility were found for residents in areas with different socioeconomic and demographic characteristics. These results show that mild government policies can compel people to adopt social distancing behavior.
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| 15. |
- Ding, Jielan, et al.
(författare)
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The link between ethnic diversity and scientific impact : the mediating effect of novelty and audience diversity
- 2021
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Ingår i: Scientometrics. - : Springer Nature. - 0138-9130 .- 1588-2861. ; 126:9, s. 7759-7810
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Tidskriftsartikel (refereegranskat)abstract
- Understanding the nature and value of scientific collaboration is essential for sound management and proactive research policies. One component of collaboration is the composition and diversity of contributing authors. This study explores how ethnic diversity in scientific collaboration affects scientific impact, by presenting a conceptual model to connect ethnic diversity, based on author names, with scientific impact, assuming novelty and audience diversity as mediators. The model also controls for affiliated country diversity and affiliated country size. Using path modeling, we apply the model to the Web of Science subject categories Nanoscience & Nanotechnology, Ecology and Information Science & Library. For all three subject categories, and regardless of if control variables are considered or not, we find a weak positive relationship between ethnic diversity and scientific impact. The relationship is weaker, however, when control variables are included. For all three fields, the mediated effect through audience diversity is substantially stronger than the mediated effect through novelty in the relationship, and the former effect is much stronger than the direct effect between the ethnic diversity and scientific impact. Our findings further suggest that ethnic diversity is more associated with short-term scientific impact compared to long-term scientific impact.
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| 16. |
- Elf, Marie, 1962-, et al.
(författare)
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The Swedish version of the Normalization Process Theory Measure S-NoMAD : translation, adaptation, and pilot testing
- 2018
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Ingår i: Implementation Science. - : Springer. - 1748-5908. ; 13:1
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Tidskriftsartikel (refereegranskat)abstract
- BackgroundThe original British instrument the Normalization Process Theory Measure (NoMAD) is based on the four core constructs of the Normalization Process Theory: Coherence, Cognitive Participation, Collective Action, and Reflexive Monitoring. They represent ways of thinking about implementation and are focused on how interventions can become part of everyday practice.AimTo translate and adapt the original NoMAD into the Swedish version S-NoMAD and to evaluate its psychometric properties based on a pilot test in a health care context including in-hospital, primary, and community care contexts.MethodsA systematic approach with a four-step process was utilized, including forward and backward translation and expert reviews for the test and improvement of content validity of the S-NoMAD in different stages of development. The final S-NoMAD version was then used for process evaluation in a pilot study aimed at the implementation of a new working method for individualized care planning. The pilot was executed in two hospitals, four health care centres, and two municipalities in a region in northern Sweden. The S-NoMAD pilot results were analysed for validity using confirmatory factor analysis, i.e. a one-factor model fitted for each of the four constructs of the S-NoMAD. Cronbach’s alpha was used to ascertain the internal consistency reliability.ResultsIn the pilot, S-NoMAD data were collected from 144 individuals who were different health care professionals or managers. The initial factor analysis model showed good fit for two of the constructs (Coherence and Cognitive Participation) and unsatisfactory fit for the remaining two (Collective Action and Reflexive Monitoring) based on three items. Deleting those items from the model yielded a good fit and good internal consistency (alphas between 0.78 and 0.83). However, the estimation of correlations between the factors showed that the factor Reflexive Monitoring was highly correlated (around 0.9) with the factors Coherence and Collective Action.ConclusionsThe results show initial satisfactory psychometric properties for the translation and first validation of the S-NoMAD. However, development of a highly valid and reliable instrument is an iterative process, requiring more extensive validation in various settings and populations. Thus, in order to establish the validity and reliability of the S-NoMAD, additional psychometric testing is needed.
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| 17. |
- Jacobson, Tor, et al.
(författare)
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Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model
- 2008
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Ingår i: Econometrics Journal. - 1368-4221 .- 1368-423X. ; 11:1, s. 58-79
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Tidskriftsartikel (refereegranskat)abstract
- New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in four major economies in Europe: France, Germany, Italy and the United Kingdom for the post-Bretton Woods period. We test for purchasing power parity (PPP) between these four countries and find that the theoretical PPP relationship does not hold. However, the estimated unrestricted relationship is found to be remarkably close to the theoretical one (1, -1.5, 0.9 instead of 1, -1,1). Relevant asymptotic results are stated, proved, and evaluated using Monte Carlo simulations. The asymptotic results are general and may hence be used in similar empirical contexts using the same model structure. Parametric bootstrap inference is used in order to deal with test size distortions.
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| 18. |
- John, Östh, 1968-, et al.
(författare)
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A new way of determining distance decay parameters in spatial interaction models with application to job accessibility analysis in Sweden
- 2016
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Ingår i: European Journal of Transport and Infrastructure Research. - 1567-7133 .- 1567-7141. ; 16:2, s. 344-362
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Tidskriftsartikel (refereegranskat)abstract
- In this paper we explore and compare various techniques for the calculation of distance decay parameters which are estimated using statistical methods with half-life decay parameters which are derived mathematically. Half-life models appear to be a valid alternative to traditional spatial interaction models, especially in the presence of spatially highly disaggregate data. Our results indicate that Half-life models are more accurate for the construction of decay parameters than are unconstrained spatial interaction models in 'medium' sized datasets but not as accurate as doubly-constrained models. However, using highly detailed and disaggregate datasets Half-life models may be viable alternatives to doubly-constrained spatial interaction models as the latter will be difficult to estimate when the number of origins and destinations increase. In addition, Half-life models rise in accuracy with increasing degrees of disaggregation due to reductions of systematic errors between observed individual level commuting distance and modelled distances between origins and destinations.In sum, our findings are as follows. First, since unconstrained and doubly-constrained spatial interaction models become increasingly difficult to estimate and/or less accurate to use compared to Half-life models as the spatial disaggregation increases choice of decay parameter estimation model should be considered in relation to level of disaggregation. Secondly, Half-life models are not affected by the systematic errors observed in the statistically derived models. Finally, using Half-life models for the estimation of decay parameters is simple which may make it easy to employ among practitioners lacking skills or computer means for the estimation of more complex statistically derived models.
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| 19. |
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| 20. |
- Jonéus, Paulina, et al.
(författare)
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The deregulation of the Queensland electricity market and a smooth transition duration model
- 2021
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- In this paper, we introduce the smooth transition duration model, designed to model the dependence of duration on explanatory variables, allowing the duration time to vary with smooth transitions over different regimes. The proposed model is a generalization of parametric survival regression models and makes it possible to detect a non-linear behaviour when the response of interest is duration time until some event occurs. A Lagrange multiplier (LM) test of the null hypothesis of linearity is derived together with the maximum likelihood estimators of the smooth transition duration model. The practical use of the introduced model is exemplified by assessing the time between abnormal price increases in the electricity spot prices in Queensland, Australia. A deregulation might have led to a change in the behaviour of the market participants and the smooth transition duration model is used to detect and examine such possible transitions. The results show a clear support of a gradual change in the appearance of abnormal price increases.
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| 21. |
- Karlsson, Andreas, 1973-
(författare)
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Estimation and Inference for Quantile Regression of Longitudinal Data : With Applications in Biostatistics
- 2006
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four papers dealing with estimation and inference for quantile regression of longitudinal data, with an emphasis on nonlinear models.The first paper extends the idea of quantile regression estimation from the case of cross-sectional data with independent errors to the case of linear or nonlinear longitudinal data with dependent errors, using a weighted estimator. The performance of different weights is evaluated, and a comparison is also made with the corresponding mean regression estimator using the same weights.The second paper examines the use of bootstrapping for bias correction and calculations of confidence intervals for parameters of the quantile regression estimator when longitudinal data are used. Different weights, bootstrap methods, and confidence interval methods are used.The third paper is devoted to evaluating bootstrap methods for constructing hypothesis tests for parameters of the quantile regression estimator using longitudinal data. The focus is on testing the equality between two groups of one or all of the parameters in a regression model for some quantile using single or joint restrictions. The tests are evaluated regarding both their significance level and their power.The fourth paper analyzes seven longitudinal data sets from different parts of the biostatistics area by quantile regression methods in order to demonstrate how new insights can emerge on the properties of longitudinal data from using quantile regression methods. The quantile regression estimates are also compared and contrasted with the least squares mean regression estimates for the same data set. In addition to looking at the estimates, confidence intervals and hypothesis testing procedures are examined.
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| 22. |
- Korsell, Nicklas, 1974-
(författare)
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Statistical Properties of Preliminary Test Estimators
- 2006
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis investigates the statistical properties of preliminary test estimators of linear models with normally distributed errors. Specifically, we derive exact expressions for the mean, variance and quadratic risk (i.e. the Mean Square Error) of estimators whose form are determined by the outcome of a statistical test. In the process, some new results on the moments of truncated linear or quadratic forms in normal vectors are established.In the first paper (Paper I), we consider the estimation of the vector of regression coefficients under a model selection procedure where it is assumed that the analyst chooses between two nested linear models by some of the standard model selection criteria. This is shown to be equivalent to estimation under a preliminary test of some linear restrictions on the vector of regression coefficients. The main contribution of Paper I compared to earlier research is the generality of the form of the test statistic; we only assume it to be a quadratic form in the (translated) observation vector. Paper II paper deals with the estimation of the regression coefficients under a preliminary test for homoscedasticity of the error variances. In Paper III, we investigate the statistical properties of estimators, truncated at zero, of variance components in linear models with random effects. Paper IV establishes some new results on the moments of truncated linear and/or quadratic forms in normally distributed vectors. These results are used in Papers I-III. In Paper V we study some algebraic properties of matrices that occur in the comparison of two nested models. Specifically we derive an expression for the inertia (the number of positive, negative and zero eigenvalues) of this type of matrices.
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| 23. |
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| 24. |
- Larsson, Rolf, 1962-, et al.
(författare)
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Likelihood Ratio Tests for a Unit Root in Panels with Random Effects
- 2017
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Ingår i: Statistics (Berlin). - : Informa UK Limited. - 0233-1888 .- 1029-4910. ; 51:3, s. 627-654
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Tidskriftsartikel (refereegranskat)abstract
- Because of the fixed heterogeneity of their models, most panel unit root tests impose restrictions on the rate at which the number of time periods, T, and the number of rosssection units, N, go to infinity. A common example of such a restriction is N/T → 0, which in practice means that T >> N, a condition that is not always met. In the current paper the heterogeneity is given a parsimonious random effects specification, which is used as a basis for developing a new likelihood ratio test for a unit root. The asymptotic analysis shows that the new test is valid for all (N, T) expansion paths satisfying N/T5 → 0, which represents a substantial improvement when compared to the existing fixed effects literature.
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| 25. |
- Liu, Xijia, 1983-
(författare)
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On Non Parametric Regression and Panel Unit Root Testing
- 2014
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- In this thesis, two different issues in econometrics are studied, the estimation of regression coefficients and the non-stationartiy analysis in a panel setting.Regarding the first topic, we study a set of measure of location-based estimators (MLBEs) for the slope parameter in a linear regression model with a single stochastic regressor. The median-unbiased MLBEs are interesting as they can be robust to heavy-tailed and, hence, preferable to the ordinary least squares estimator (LSE) in such situations. Two cases, symmetric stable regression and contaminated normal regression, are considered as we investigate the statistical properties of the MLBEs. In addition, we illustrate how our results can be extended to include certain heteroscedastic regressions.There are three papers concerning the second part. In the first paper, we propose a novel way to test the unit roots in the panel setting. The new tests are based on the observation that the trajectory of the cross sectional sample variance behaves differently for stationary than for non-stationary processes. Three different test statistics are proposed. The limiting distributions are derived and the small sample properties are studied by simulations. In the remaining papers, we focus on the studies of the block bootstrap panel unit root tests proposed by Palm, Smeekes and Urbain (2011) which aims at dealing with a rather general cross-sectional dependency structure. One paper studies the robustness of PSU tests by a comparison with two representative tests from the second generation panel unit root tests. In another paper, we generalized the block bootstrap panel unit root tests in the sense of considering the deterministic terms in the model. Two different methods to deal with the deterministic terms are proposed and the asymptotic validity of bootstrap tests under the main null hypothesis is theoretically checked. The small sample properties are studied by simulations.
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| 26. |
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| 27. |
- Luo, Hao, 1984-
(författare)
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Some Aspects on Confirmatory Factor Analysis of Ordinal Variables and Generating Non-normal Data
- 2011
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis, which consists of five papers, is concerned with various aspects of confirmatory factor analysis (CFA) of ordinal variables and the generation of non-normal data. The first paper studies the performances of different estimation methods used in CFA when ordinal data are encountered. To take ordinality into account the four estimation methods, i.e., maximum likelihood (ML), unweighted least squares, diagonally weighted least squares, and weighted least squares (WLS), are used in combination with polychoric correlations. The effect of model sizes and number of categories on the parameter estimates, their standard errors, and the common chi-square measure of fit when the models are both correct and misspecified are examined. The second paper focuses on the appropriate estimator of the polychoric correlation when fitting a CFA model. A non-parametric polychoric correlation coefficient based on the discrete version of Spearman's rank correlation is proposed to contend with the situation of non-normal underlying distributions. The simulation study shows the benefits of using the non-parametric polychoric correlation under conditions of non-normality. The third paper raises the issue of simultaneous factor analysis. We study the effect of pooling multi-group data on the estimation of factor loadings. Given the same factor loadings but different factor means and correlations, we investigate how much information is lost by pooling the groups together and only estimating the combined data set using the WLS method. The parameter estimates and their standard errors are compared with results obtained by multi-group analysis using ML. The fourth paper uses a Monte Carlo simulation to assess the reliability of the Fleishman's power method under various conditions of skewness, kurtosis, and sample size. Based on the generated non-normal samples, the power of D'Agostino's (1986) normality test is studied. The fifth paper extends the evaluation of algorithms to the generation of multivariate non-normal data. Apart from the requirement of generating reliable skewness and kurtosis, the generated data also need to possess the desired correlation matrices. Four algorithms are investigated in terms of simplicity, generality, and reliability of the technique.
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| 28. |
- Lyhagen, Johan
(författare)
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A matrix evaluation of the moving-average representation
- 1997
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Ingår i: ECONOMICS LETTERS. - : ELSEVIER SCIENCE SA LAUSANNE. - 0165-1765. ; 55:2, s. 179-183
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Tidskriftsartikel (refereegranskat)abstract
- In this paper we introduce a simple equation system, the solution of which is the moving average representation. The proposed solution is easy to derive since the equation system is recursive. We exemplify with the derivation of the moving average represe
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| 29. |
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| 30. |
- Lyhagen, Johan, 1969-
(författare)
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A method to generate multivariate data with the desired moments
- 2008
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Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 37:10, s. 2063-2075
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Tidskriftsartikel (refereegranskat)abstract
- We show how it is possible to generate multivariate data which has moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the multivariate setting. The use in bootstrapping is discussed and the method is exemplified with a Monte Carlo simulation where the importance of the ability of generating data with control of higher moments is shown.
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| 31. |
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| 32. |
- Lyhagen, Johan, 1969-
(författare)
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A note on the representation of E (x⊗xx') and E (xx'⊗xx') for the random vector x
- 2012
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Ingår i: Statistical papers. - : Springer Science and Business Media LLC. - 0932-5026 .- 1613-9798. ; 53:3, s. 697-701
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Tidskriftsartikel (refereegranskat)abstract
- In this paper we consider E(x⊗xx') and E( xx'⊗xx') for a random vector x where x_i has existing moments up to the fourth order and where the higher moments may depend on i. This extends previous results which assumed a common higher moment and E(xx')=I.
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| 33. |
- Lyhagen, Johan, et al.
(författare)
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Beating the VAR : Improving Swedish GDP Forecasts Using Error and Intercept Corrections
- 2015
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Ingår i: Journal of Forecasting. - : Wiley. - 0277-6693 .- 1099-131X. ; 34:5, s. 354-363
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Tidskriftsartikel (refereegranskat)abstract
- This paper examines the forecast accuracy of an unrestricted vector autoregressive (VAR) model for GDP, relative to a comparable vector error correction model (VECM) that recognizes that the data are characterized by co-integration. In addition, an alternative forecast method, intercept correction, is considered for further comparison. Recursive out-of-sample forecasts are generated for both models and forecast techniques. The generated forecasts for each model are objectively evaluated by a selection of evaluation measures and equal accuracy tests. The result shows that the VECM consistently outperforms the VAR models. Further, intercept correction enhances the forecast accuracy when applied to the VECM, whereas there is no such indication when applied to the VAR model. For certain forecast horizons there is a significant difference in forecast ability between the intercept corrected VECM compared to the VAR model.
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| 34. |
- Lyhagen, Johan, 1969-, et al.
(författare)
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Beating the VAR: Improving Swedish GDP forecasts using error and intercept corrections
-
Ingår i: Journal of Forecasting. - 0277-6693 .- 1099-131X.
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Tidskriftsartikel (refereegranskat)abstract
- This paper examines the forecast accuracy of an unrestricted Vector Autoregressive (VAR) model for GDP, relative to a comparable Vector Error Correction model (VECM) that recognizes that the data is characterized by co-integration. In addition, an alternative forecast method, Intercept Correction, is considered for further comparison. Recursive out-of-sample forecasts are generated for both models and forecast techniques. The generated forecasts for each model are objectively evaluated by a selection of evaluation measures and equal accuracy tests. The result shows that the VECM consistently outperform the VAR models. Further, intercept correction enhances the forecast accuracy when applied to the VECM, while there is no such indication when applied to the VAR model. For certain forecast horizons there is a signicant di erence in forecast ability between the intercept corrected VECM compared to the VAR model.
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| 35. |
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| 36. |
- Lyhagen, Johan
(författare)
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Essays on univariate long memory models
- 1997
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of five papers dealing with univariate long memory modelsin time series analysis.The first paper examines the performance of information criteria when usedto determine the lag order of a long memory process. The results indicate thatinformation criteria cannot be used successfully for small sample sizes. For largersample sizes the probability of successfully identifying the lag order is substantially higher.The covariance matrix of ARMA errors is the subject of the second paper.We generalise the matrix expression of the covariance matrix for ARIMA errorsto involve ARFIMA errors. In practise, it is necessary to truncate the orders ofthe matrices. The truncation only has a mild effect for small and medium valuesof the long memory parameter, but for large values, very large matrices must beused.A matrix representation of the moving average representation is given in thethird paper. The first two coefficients of the moving average representation of anARFIMA (1, d, 1) are presented as an example.The fourth paper examines the consequences of using forecasts from an ARIMA model when the process is an ARFIMA. Ignoring long memory increases the meansquared error of prediction substantially for long memory processes with high longmemory. Using information criteria to choose lag lengths does not improve theperformance of the forecasts. Further, the parameters of the misspecified modelare evaluated by maximising the expected likelihood.The existence of long memory in the Swedish OMX index and in the Swedish stock market is investigited in the fifth paper. We find no long memory, but do identify short memory and conditional heteroscedasticity.
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| 37. |
- Lyhagen, Johan
(författare)
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Estimating Nonlinear structural models : EMM and the Kenny-Judd model
- 2007
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Ingår i: Structural Equation Modeling. - : Informa UK Limited. - 1070-5511 .- 1532-8007. ; 14:3, s. 391-403
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Tidskriftsartikel (refereegranskat)abstract
- The estimation of nonlinear structural models is not trivial. One reason for this is that a closed form solution of the likelihood may not be feasible or does not exist. We propose to estimate nonlinear structural models using the efficient method of moments, as generating data according to the models is often very easy. A simulation study of the interaction model of Kenny-Judd shows promising results, for example, the bias of the parameter for the interaction effect is less for the efficient method of moments compared to quasi-maximum likelihood (QML) and characteristic function estimator (CFE) (Blom & Christoffersson 2001) and comparable to latent moderated structural equations (LMS) (Schermelleh-Engel, Klein, & Moosbrugger, 1998).
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| 38. |
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| 39. |
- Lyhagen, Johan
(författare)
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Identification of the order of a fractionally differenced ARMA model
- 1999
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Ingår i: Computational statistics (Zeitschrift). - 0943-4062 .- 1613-9658. ; 14:2, s. 161-169
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Tidskriftsartikel (refereegranskat)abstract
- Long term dependence in time series can be modelled by fractionally integrated ARMA (ARFIMA) models. For an ARFIMA process it is however impossible to identify the order of the short memory polynomials by inspection of the autocorrelation and partial autocorrelation functions. Instead information criteria such as AIC, BIC and HQIC are used to identify the order. This paper investigates the performance of the three information criteria when identifying the order in an ARFIMA model. The impression is that BIC outperforms AIC and HQIC, at least for the ARFIMA models used in this simulation. The overall performance of the information criteria, however, is poor for mixtures of AR and MA processes. Introducing long memory increases the likelihood of identifying the correct orders.
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| 40. |
- Lyhagen, Johan, et al.
(författare)
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Income inequality between Chinese regions : newfound harmony or continued discord?
- 2014
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Ingår i: Empirical Economics. - : Springer Science and Business Media LLC. - 0377-7332 .- 1435-8921. ; 47:1, s. 93-110
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Tidskriftsartikel (refereegranskat)abstract
- This paper develops an improved test of economic convergence or divergence using time series methods by introducing nonlinear trends in the form of logarithmic trend functions into the vector error correction model. The usefulness of the method is illustrated in an analysis of the growth pattern between Chinese regions in 1952-2007. Comparing all combinations of regional pairs, the analysis yields support for economic divergence in roughly half of the cases. In the other half, we instead find that regions have grown while maintaining stable income differences. As such, the results show the co-existence of divergence and conditional convergence among China's regions.
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| 41. |
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| 42. |
- Lyhagen, Johan, et al.
(författare)
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On seasonal error correction when the processes include different numbers of unit roots
- 2003
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Ingår i: Journal of Forecasting. - : Wiley. - 0277-6693 .- 1099-131X. ; 22:5, s. 377-389
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- We propose a seasonal cointegration model (SECM) for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of specifying a SECM with all variables in annual diffrerences in this situation. The SECM in annual differences is compared to the correctly specified model. Pre-testing for unit roots using two different approaches, and where the models are specified according to the unit root test results, is also considered. The forecast mean squared error criterion and certain parameter estimation results indicate that, in practice, a cointegration model where all variables are transformed with the annual difference filter is more robust than one obtained by pre-testing for a smaller number of unit roots. The second-best choice when the true model is not known and when the aim is to forecast, is an ordinary VAR model also in annual differences.
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| 43. |
- Lyhagen, Johan, 1969-, et al.
(författare)
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Robust polychoric correlation
- 2023
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Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 52:10, s. 3241-3261
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Tidskriftsartikel (refereegranskat)abstract
- The polychoric correlation is a parametric measure of the correlation between two unobserved continuous variables when the observed variables are discrete. In this paper we propose a robust version of the polychoric correlation. Robust polychoric correlation is shown to be consistent and asymptotically normal. Results from a systematic Monte Carlo simulation suggest that the new estimator has better robustness properties than normality based maximum likelihood estimation of the polychoric correlation, with negligible costs to efficiency.
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| 44. |
- Lyhagen, Johan, et al.
(författare)
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Short and long run dependence in Swedish stock returns
- 1996
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The behaviour of Swedish stock returns over short and long run horizons is analysed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s we hardly found any evidence of long run depend-ence. Using three different tests that are robust to short term dependence and condi-tional hetroskedasticity we found that the modified R/S (rescaled range) test and ARFIMA-GARCH tests provide no support for long run memory in Swedish stock returns. Only the fractional differencing test, GPH, gave a significant result in two cases: for nominal monthly stock returns for the full and the first half of sample at rather high frequency for the spectral analysis.
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| 45. |
- Lyhagen, Johan, 1969-
(författare)
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Size and power of tests for dependency in regressions with ordinal variables
- 2021
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Ingår i: Journal of Applied Quantitative Methods. - : JAQM. - 1842-4562. ; 16:1
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Tidskriftsartikel (refereegranskat)abstract
- In political science which factors that influence citizens' faith and trust in government, i.e. Political Efficacy, is of great importance. The statistical analysis is often based ordinal variables collected using surveys. In this paper we perform an interesting Monte Carlo simulation investigating the size and size adjusted power properties of ten tests for the dependency of one ordinal variable on one continuous, one binary and one ordinal variable. Tests include regression models, logit and probit where the exogenous variable is coded as a Likert scale variable or where dummies are used, test based on polychoric correlation and tests based on canonical correlation. Overall the test based on polychoric correlation performs best but is beaten in certain circumstances by the canonical correlation test. But the canonical correlation test performs really bad in some cases while the polychoric correlation test does not have a bad performance in any situation. Interestingly, the motivating example of analyzing Political Efficacy shows very similar results as the Monte Carlo simulation.
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| 46. |
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| 47. |
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| 48. |
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| 49. |
- Lyhagen, Johan
(författare)
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The effect of precautionary saving on consumption in Sweden
- 2001
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Ingår i: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 33:5, s. 673-681
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Tidskriftsartikel (refereegranskat)abstract
- Uncertainty concerning future income lowers consumption. This is often called the precautionary demand for savings. In this paper the existence of precautionary savings. In this paper the existence of precautionary saving is investigated using Swedish data for the years 1973–1992. As there are no variables for consumers' uncertainty a proxy is used. Assuming an underlying distribution of attitudinal data, a variance series is derived. Including the proxy in different specifications of the consumption function, indication of precautionary saving can be found. As a result, no uncertainty would raise consumption by 4.9%.
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| 50. |
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