| 1. |
- 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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| 2. |
- 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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| 3. |
- 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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| 4. |
- 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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| 5. |
- Hacker, R Scott, et al.
(författare)
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The Effect of Exchange Rate Changes on Trade Balances in the Short and Long Run : Evidence from German Trade with Transitional Central European Economies
- 2004
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Ingår i: The Economics of Transition. - : Wiley. - 0967-0750 .- 1468-0351. ; 12:4, s. 777-799
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Tidskriftsartikel (refereegranskat)abstract
- Using generalized impulse response functions, this study tests for the trade J-curve for three transitional central European countries – the Czech Republic, Hungary, and Poland – in their bilateral trade with respect to Germany. Our findings suggest that for each country there are some characteristics associated with a J-curve effect: after a (real or nominal) depreciation the export-to-import ratio briefly drops to below its initial value within a few months and then rises to a long run equilibrium value higher than the initial one.
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| 6. |
- 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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| 7. |
- 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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| 8. |
- 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
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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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| 9. |
- Molassiotis, A., et al.
(författare)
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Complementary and alternative medicine use in patients with head and neck cancers in Europe
- 2006
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Ingår i: European Journal of Cancer Care. - : Blackwell Publishing. - 0961-5423 .- 1365-2354. ; 15:1, s. 19-24
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Tidskriftsartikel (refereegranskat)abstract
- The aim of the present study was to examine the patterns of complementary and alternative medicine (CAM) use in a sample of head and neck cancer patients, forming part of a larger study. A cross-sectional survey design was used collecting data through a descriptive 27-item questionnaire in nine countries in Europe. The participants were 75 patients with head and neck cancers. The prevalence rate of CAM use was 22.7%. The most common therapies used were herbal medicine (47%), medicinal teas (23.5%), use of vitamins/minerals (11.8%) and visualization (11.8%). Use of CAM dramatically increased after the diagnosis with cancer (i.e. eightfold increase in the use of herbs). A profile of CAM users was not evident in this sample. Patients used CAM for a variety of reasons together, with counteracting the ill effects from cancer and its treatment being the most common one. Information about CAM was obtained mostly from friends and family. As one in five head and neck cancer patients use CAM it is important that clinicians explore practices with their patients, improve communication about CAM with them and assist those who want to use CAM in using appropriate and safe therapies.
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| 10. |
- Molassiotis, A., et al.
(författare)
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Use of complementary and alternative medicine in cancer patients : a European survey
- 2005
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Ingår i: Annals of Oncology. - : Oxford University Press. - 0923-7534 .- 1569-8041. ; 16:4, s. 655-663
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Tidskriftsartikel (refereegranskat)abstract
- Background: The aim of this study was to explore the use of complementary and alternative medicine (CAM) in cancer patients across a number of European countries.Methods: A descriptive survey design was developed. Fourteen countries participated in the study and data was collected through a descriptive questionnaire from 956 patients.Results: Data suggest that CAM is popular among cancer patients with 35.9% using some form of CAM (range among countries 14.8% to 73.1%). A heterogeneous group of 58 therapies were identified as being used. Herbal medicines and remedies were the most commonly used CAM therapies, together with homeopathy, vitamins/minerals, medicinal teas, spiritual therapies and relaxation techniques. Herbal medicine use tripled from use before diagnosis to use since diagnosis with cancer. Multivariate analysis suggested that the profile of the CAM user was that of younger people, female and with higher educational level. The source of information was mainly from friends/family and the media, while physicians and nurses played a small part in providing CAM-related information. The majority used CAM to increase the body's ability to fight cancer or improve physical and emotional well-being, and many seemed to have benefited from using CAM (even though the benefits were not necessarily related to the initial reason for using CAM). Some 4.4% of patients, however, reported side-effects, mostly transient.Conclusions: It is imperative that health professionals explore the use of CAM with their cancer patients, educate them about potentially beneficial therapies in light of the limited available evidence of effectiveness, and work towards an integrated model of health-care provision.
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