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| 2. |
- Hacker, R Scott, et al.
(författare)
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A Test for Multivariate ARCH Effects
- 2005
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 12:7, s. 411-417
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Tidskriftsartikel (refereegranskat)abstract
- This paper extends Engle's LM test for ARCH affects to multivariate cases. The size and power properties of this multivariate test for ARCH effects in VAR models are investigated based on asymptotic and bootstrap distributions. Using the asymptotic distribution, deviations of actual size from nominal size do not appear to be very excessive. Nevertheless, there is a tendency for the actual size to overreject the null hypothesis when the nominal size is 1% and underreject the null when the nominal size is 5% or 10%. It is found that using a bootstrap distribution for the multivariate LM test is generally superior in achieving the appropriate size to using the asymptotic distribution when (1) the nominal size is 5%; (2) the sample size is small (40 observations) and/or the VAR system is stable. With a small sample, the power of the test using the bootstrap distribution also appears better at the 5% nominal size.
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| 3. |
- Hacker, R Scott, et al.
(författare)
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An Alternative Method to Test for Contagion with an Application to the Asian Financial Crisis
- 2005
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Ingår i: Applied Financial Economics Letters. - : Informa UK Limited. - 1744-6546 .- 1744-6554. ; 1:6, s. 343-347
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the size properties of a test for contagion based on an asymptotic t -distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.
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| 4. |
- Hacker, R Scott, et al.
(författare)
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Capital Mobility in Sweden : A Time Varying Parameter Approach
- 2007
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Ingår i: Applied Economics Letters. - : Informa UK Limited. - 1350-4851 .- 1466-4291. ; 14:15, s. 1115-1118
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Tidskriftsartikel (refereegranskat)abstract
- This article investigates the degree of capital mobility in Sweden during 1993 to 2004 using quarterly data. A time varying parameter model is estimated by the Kalman filter, and it shows that the relationship between investment as share in gross domestic product (GDP) and saving as share in GDP is much less than one (within the interval of 0.25–0.35), indicating substantial capital mobility. However, since the coefficient in each period is statistically different from zero, capital is still not perfectly mobile. Nevertheless, capital mobility seems to have increased until 1995 when Sweden became a member of EU and after membership there seems to be no significant increase in capital mobility.
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| 5. |
- Hacker, R Scott, 1964-, et al.
(författare)
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Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
- 2008
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Ingår i: Journal of Applied Statistics. - : Routledge. - 0266-4763 .- 1360-0532. ; 35:6, s. 601-615
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Tidskriftsartikel (refereegranskat)abstract
- The performance of different information criteria - namely Akaike, corrected Akaike (AICC), Schwarz-Bayesian (SBC), and Hannan-Quinn - is investigated so as to choose the optimal lag length in stable and unstable vector autoregressive (VAR) models both when autoregressive conditional heteroscedasticity (ARCH) is present and when it is not. The investigation covers both large and small sample sizes. The Monte Carlo simulation results show that SBC has relatively better performance in lag-choice accuracy in many situations. It is also generally the least sensitive to ARCH regardless of stability or instability of the VAR model, especially in large sample sizes. These appealing properties of SBC make it the optimal criterion for choosing lag length in many situations, especially in the case of financial data, which are usually characterized by occasional periods of high volatility. SBC also has the best forecasting abilities in the majority of situations in which we vary sample size, stability, variance structure (ARCH or not), and forecast horizon (one period or five). frequently, AICC also has good lag-choosing and forecasting properties. However, when ARCH is present, the five-period forecast performance of all criteria in all situations worsens.
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| 6. |
- Hacker, R Scott, et al.
(författare)
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Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions : Theory and Application
- 2006
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Ingår i: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 38:13, s. 1489-1500
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Tidskriftsartikel (refereegranskat)abstract
- Causality tests in the Granger's sense are increasingly applied in empirical research. Since the unit root revolution in time-series analysis, several modifications of tests for causality have been introduced in the literature. One of the recent developments is the Toda-Yamamoto modified Wald (MWALD) test, which is attractive due to its simple application, its absence of pre-testing distortions, and its basis on a standard asymptotical distribution irrespective of the number of unit roots and the cointegrating properties of the data. This study investigates the size properties of the MWALD test and finds that in small sample sizes this test performs poorly on those properties when using its asymptotical distribution, the chi-square. It is suggested that use be made of a leveraged bootstrap distribution to lower the size distortions. Monte Carlo simulation results show that an MWALD test based on a bootstrap distribution has much smaller size distortions than corresponding cases when the asymptotic distribution is used. These results hold for different sample sizes, integration orders, and error term processes (homoscedastic or ARCH). This new method is applied to the testing of the efficient market hypothesis
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| 7. |
- Hacker, R Scott, et al.
(författare)
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The Effect of Regime Shifts on the Long-Run Relationships for Swedish Money Demand
- 2005
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Ingår i: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 37:15, s. 1731-1736
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Tidskriftsartikel (refereegranskat)abstract
- When the possibility of an unknown structural break is allowed and it is taken into account we find a significant long-run relationship between Swedish money demand and its determinants that is not found when no break is considered. The estimated elasticities show that money demand is more responsive to its determinants in the period after the break than before. Possible underlying reasons for the occurrence of this break and its implications are explained.
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| 8. |
- Hacker, R Scott, et al.
(författare)
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Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter : Journal of the Institute for International Economics
- 2005
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Ingår i: Economia Internazionale/International Economics. - : Camera di commercio, industria e agricoltura.. - 0012-981X. ; 58:3, s. 327-336
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Tidskriftsartikel (refereegranskat)abstract
- The objective of this study is to provide estimates of the Phillips curve in the US during the period 1951-2001 using some time-varying parameters and the Kalman filter. Time-varying estimates for the sensitivity of inflation to the unemployment rate are provided in addition to time-varying estimates for the NAIRU (the non-accelerating inflation rate of unemployment). Our results for the NAIRU do not significantly differ from that of others with time-varying estimates of it, with it peaking around 1980 (1979 in our case). Inflation is found to have become increasingly sensitive to unemployment in the late 1950s through the early 1970s, and peaked in the late 1970s – early 1980s. After that, the sensitivity decreased only slightly.
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| 9. |
- Hacker, R Scott, et al.
(författare)
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Trading Blocs and Market Performance under Duopolistic Competition
- 2005
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Ingår i: Journal of Economic Integration. - 1225-651X. ; 20:2, s. 294-317
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Tidskriftsartikel (refereegranskat)abstract
- This paper uses a three-country duopoly model to examine the effects of lowered trade barriers when a new entrant joins a trading bloc. There are two firms - a small-country firm and a large-country firm within the bloc - and three markets -two within and one (new entrant) outside the bloc. The results from trade bloc expansion vary for when marginal cost is falling with respect to output, but are clear when marginal cost is rising. In the latter case, profits improve more for the small-country firm than for the large-country firm. Consequences on prices, production, and trade are also considered.
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| 10. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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An Alternative Method to Measure Contagion with an Application to the Asian Financial Crisis
- 2005
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Ingår i: Applied Financial Economics Letters. - : Routledge. - 1744-6546 .- 1744-6554. ; 1:6, s. 343-347
-
Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the size properties of a test for contagion based on an asymptotic t-distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.
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| 11. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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Can the LR Test Be Helpful in Choosing the Otpimal Lag Order in the VAR Model When Information Criteria Suggest Different Lag Orders?
- 2009
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Ingår i: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 41:9, s. 1121-1125
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Tidskriftsartikel (refereegranskat)abstract
- The objective of this simulation study is to investigate whether the likelihood ratio (LR) test can pick the optimal lag order in the vector autoregressive model when the most applied information criteria (i.e. vector Schwarz--Bayesian, SBC and vector Hannan-Quinn, HQC) suggest two different lag orders. This lag-choosing procedure has been suggested by Hatemi-J (1999). The results based on the Monte Carlo simulations show that combining the LR test with SBC and HQC causes a substantial increase in the success rate of choosing the optimal lag order compared to cases when only SBC or HQC are used. This appears to be the case irrespective of homoscedasticity or conditional heteroscedasticity properties of the error-term in small sample sizes. This improvement in choosing the right lag order also tends to improve the forecasting capability of the underlying model.
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