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- Karlsson, Peter S.
(author)
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Issues of incompleteness, outliers and asymptotics in high dimensional data
- 2011
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Doctoral thesis (other academic/artistic)abstract
- This thesis consists of four individual essays and an introduction chapter. The essays are in the field of multivariate statistical analysis of High dimensional data. The first essay presents the issue of estimating the inverse covariance matrix alone and when it is used within the Mahalanobis distance in High-dimensional data. Three types of ridge-shrinkage estimators of the inverse covariance matrix are suggested and evaluated through Monte Carlo simulations. The second essay deals with incomplete observations in empirical applications of the Arbitrage Pricing Theory model and the interest is to model the underlying covariance structure among the variables by a few common factors. Two possible solutions to the problem are considered and acase study using the Swedish OMX data is conducted for demonstration. In the third essay the issue of outlier detection in High-dimensional data is treated. A number of point estimators of the Mahalanobis distance are suggested and their properties are evaluated. In the fourth and last essay the relation between the second central moment of a distribution to its first raw moment is considered in an financial context. Three possible estimators are considered and it is shown that they are consistent even when the dimension increases proportionally to the number of observations.
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2. |
- Andersson, David Emanuel, et al.
(author)
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Unemployment in European regions: structural problems versus the Eurozone hypothesis
- 2015
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In: Journal of Economic Geography. - Oxford University Press : Oxford University Press (OUP). - 1468-2702 .- 1468-2710. ; 15:5, s. 883-905
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Journal article (peer-reviewed)abstract
- Unemployment rates differ dramatically across European regions. This article analyses these differences by integrating institutional and spatial perspectives into a unified dynamic framework distinguishing between slow and fast processes of change. The framework forms the basis for an econometric model that is used to analyse labour market differences among European Nomenclature des unités territoriales statistiques 2 regions. The results of random-effects models indicate that four key factors—all of which are of the slowly changing type—explain a large part of the variation in unemployment as well as employment rates. Flexible labour market regulations and above-average levels of interpersonal trust are institutional factors that reduce unemployment. Accessibility factors such as inter-regional transport connectivity and local access to skilled workers have similarly substantial effects. Whether a region belongs to the Eurozone or not seems to be less important.
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3. |
- Nilsson, Pia
(author)
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Price Formation in Real Estate Markets
- 2013
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Doctoral thesis (other academic/artistic)abstract
- This thesis includes an introductory chapter and four individual papers. The papers are held together by concepts associated with price formation in real estate markets, differentiated goods and the local character of land and housing markets. The first two papers focus on the markets for land and agricultural property and the two succeeding studies on housing markets. The first study examines regional variations of Swedish agricultural land prices. The associated empirical model follows the form of earlier literature in testing the influence of expected returns from the current agricultural use of land and the potential for non-agricultural use on prices. The use of market transacted land and the inclusion of decoupled income support to farmers, among a set of agricultural and non-agricultural factors, distinguishes this study from earlier empirical work.The second paper relates to the first by its focus on decoupled income support, but here the analysis extends to the micro level and to the study of price formation in the market for agricultural property. The study applies a spatial multilevel model to study variations in price determinants across and within local and regional markets.The third paper is devoted to the analysis of housing prices and their relation to open landscape amenities. The spatial analysis employs two geographical databases containing single-family home sales and preserved open spaces. In order to address the local character of urban housing markets and intraurban heterogeneity in amenity valuations the study applies a geographically weighted regression approach.The last paper focuses on the market for second homes with a particular emphasis on urban-rural interrelations. The paper is motivated by a growing demand for natural amenities and by the awareness that urban areas are becoming increasingly attractive markets for second homes.
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