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1.	Alheety, M. I., et al. (author) A new kind of stochastic restricted biased estimator for logistic regression model 2021 In: Journal of Applied Statistics. - : Taylor & Francis. - 0266-4763 .- 1360-0532. ; 48:9, s. 1559-1578 Journal article (peer-reviewed)abstract In the logistic regression model, the variance of the maximum likelihood estimator is inflated and unstable when the multicollinearity exists in the data. There are several methods available in literature to overcome this problem. We propose a new stochastic restricted biased estimator. We study the statistical properties of the proposed estimator and compare its performance with some existing estimators in the sense of scalar mean squared criterion. An example and a simulation study are provided to illustrate the performance of the proposed estimator.
2.	Alheety, Mustafa I., et al. (author) Modifed almost unbiased two-parameter estimator for the Poisson regression model with an application to accident data 2021 In: SORT - Statistics and Operations Research Transactions. - : INST ESTADISTICA CATALUNYA-IDESCAT. - 1696-2281 .- 2013-8830. ; 45:2, s. 121-142 Journal article (peer-reviewed)abstract Due to the large amount of accidents negatively affecting the wellbeing of the survivors and their families, a substantial amount of research is conducted to determine the causes of road accidents. This type of data come in the form of non-negative integers and may be modelled using the Poisson regression model. Unfortunately, the commonly used maximum likelihood estimator is unstable when the explanatory variables of the Poisson regression model are highly correlated. Therefore, this paper proposes a new almost unbiased estimator which reduces the instability of the maximum likelihood estimator and at the same time produce smaller mean squared error. We study the sta-tistical properties of the proposed estimator and a simulation study has been conducted to compare the performance of the estimators in the smaller mean squared error sense. Finally, Swedish traffic fatality data are analyzed to show the beneft of the proposed method.
3.	Ali, Abdul Aziz, 1966-, et al. (author) A wavelet-based variance ratio unit root test for a system of equations 2020 In: Studies in Nonlinear Dynamics and Econometrics. - : Walter de Gruyter. - 1081-1826 .- 1558-3708. ; 24:3, s. 1-16 Journal article (peer-reviewed)abstract In this paper, we suggest a unit root test for a system of equations using a spectral variance decomposition method based on the Maximal Overlap Discrete Wavelet Transform. We obtain the limiting distribution of the test statistic and study its small sample properties using Monte Carlo simulations. We find that, for multiple time series of small lengths, the wavelet-based method is robust to size distortions in the presence of cross-sectional dependence. The wavelet-based test is also more powerful than the Cross-sectionally Augmented Im et al. unit root test (Pesaran, M. H. 2007. "A Simple Panel Unit Root Test in the Presence of Cross-section Dependence." Journal of Applied Econometrics 22 (2): 265-312.) for time series with between 20 and 100 observations, using systems of 5 and 10 equations. We demonstrate the usefulness of the test through an application on evaluating the Purchasing Power Parity theory for the Group of 7 countries and find support for the theory, whereas the test by Pesaran (Pesaran, M. H. 2007. "A Simple Panel Unit Root Test in the Presence of Cross-section Dependence." Journal of Applied Econometrics 22 (2): 265-312.) finds no such support. © 2019 Walter de Gruyter GmbH, Berlin/Boston.
4.	Almasri, Abdullah, 1965-, et al. (author) A wavelet-based panel unit-root test in the presence of an unknown structural break and cross-sectional dependency, with an application of purchasing power parity theory in developing countries 2017 In: Applied Economics. - : Taylor & Francis. - 0003-6846 .- 1466-4283. ; 49:21, s. 2096-2105 Journal article (peer-reviewed)abstract This article introduces two different non-parametric wavelet-based panel unit-root tests in the presence of unknown structural breaks and cross-sectional dependencies in the data. These tests are compared with a previously suggested non-parametric wavelet test, the parameteric Im-Pesaran and Shin (IPS) test and a Wald type of test. The results from the Monte Carlo simulations clearly show that the new wavelet-ratio tests are superior to the traditional tests both in terms of size and power in panel unit-root tests because of its robustness to cross-section dependency and structural breaks. Based on an empirical Central American panel application, we can, in contrast to previous research (where bias due to structural breaks is simply disregarded), find strong, clear-cut support for purchasing power parity (PPP) in this developing region.
5.	Andersson, Martin, et al. (author) Dynamics of Entry and Exit of Product Varieties : what evolution dynamics can account for the empirical regularities? 2009 Reports (other academic/artistic)
6.	Andersson, Martin, et al. (author) Dynamics of Entry and Exit of Product Varieties : – what evolution dynamics can account for the empirical regularities? 2009 Reports (other academic/artistic)abstract Firm-level heterogeneity is substantial even in narrowly defined industries. This paper focuses on formulating evolution dynamics which can account for the observed heterogeneity and its maintenance. Based on examination of data on Swedish firm’ supply pattern to different markets over time, we present a parsimonious model that has the ambition to capture the picture of heterogeneous firms, while accommodating the simultaneous exit and entry of destination varieties in firms’ supply pattern. The model assumes both scale economies of firms and pathdependence, where the latter is manifested in such a way that the arrival rate of innovation ideas to an individual firm is a function of each firm’s stock of varieties at every given point in time. The path-dependence phenomenon is an “explosive” non-linearity, whereas conservation mechanisms include development of demand and exit of established varieties. The described path dependence explains the skewed distribution of varieties across firms, but the question of what keeps the “equilibrium” away from competitive exclusion where only few large firms remain. We make use of simulations to depict and assess the innovation dynamics of the proposed model.
7.	Andréasson, Kristofer, et al. (author) Diet induced arthritis in pigs: Comment on the Article by Scher et al. 2016 In: Arthritis & Rheumatology. - : Wiley. - 2326-5205 .- 2326-5191. ; 68:6, s. 1568-1569 Journal article (peer-reviewed)
8.	Duras, Toni, et al. (author) Using machine learning to select variables in data envelopment analysis : Simulations and application using electricity distribution data 2023 In: Energy Economics. - : Elsevier. - 0140-9883 .- 1873-6181. ; 120 Journal article (peer-reviewed)abstract Agencies that regulate electricity providers often apply nonparametric data envelopment analysis (DEA) to assess the relative efficiency of each firm. The reliability and validity of DEA are contingent upon selecting relevant input variables. In the era of big (wide) data, the assumptions of traditional variable selection techniques are often violated due to challenges related to high-dimensional data and their standard empirical properties. Currently, regulators have access to a large number of potential input variables. Therefore, our aim is to introduce new machine learning methods for regulators of the energy market. We also propose a new two-step analytical approach where, in the first step, the machine learning-based adaptive least absolute shrinkage and selection operator (ALASSO) is used to select variables and, in the second step, selected variables are used in a DEA model. In contrast to previous research, we find, by using a more realistic data-generating process common for production functions (i.e., Cobb–Douglas and Translog), that the performance of different machine learning techniques differs substantially in different empirically relevant situations. Simulations also reveal that the ALASSO is superior to other machine learning and regression-based methods when the collinearity is low or moderate. However, in situations of multicollinearity, the LASSO approach exhibits the best performance. We also use real data from the Swedish electricity distribution market to illustrate the empirical relevance of selecting the most appropriate variable selection method.
9.	Habimana, Olivier, et al. (author) A wavelet-based approach for Johansen’s likelihood ratio test for cointegration in the presence of measurement errors : An application to CO2 emissions and real GDP data 2021 In: Communications in Statistics Case Studies Data Analysis and Applications. - : Taylor & Francis. - 2373-7484. ; 7:2, s. 128-145 Journal article (peer-reviewed)abstract We suggest a wavelet filtering technique as a remedy to the problem of measurement errors when testing for cointegration using Johansen’s (1988) likelihood ratio test. Measurement errors, which more or less are always present in empirical economic data, essentially indicates that the variable of interest (the true signal) is contaminated with noise, which may induce biased and inconsistent estimates and erroneous inference. Our Monte Carlo experiments demonstrate that measurement errors distort the statistical size of Johansen’s cointegration test in finite samples; the test is significantly oversized. A contribution and major finding of this article is that the proposed wavelet-based technique significantly improves the statistical size of the traditional Johansen test in small and medium sized samples. Since Johansen’s test is a standard cointegration test, and we demonstrate that the constantly present measurement errors in empirical data over sizes the test, this simple alteration can be used in most situations with more reliable finite sample inference. We empirically examine the long-run relation between CO2 emissions and the real GDP in the G7 countries. The traditional Johansen tests provide evidence of an equilibrium relation for Canada and weak evidence for the US. However, the suggested size-unbiased wavelet-filtering approach consistently indicates no evidence of cointegration for all six countries.
10.	Habimana, Olivier (author) Asymmetry and multiscale dynamics in macroeconomic time series analysis 2018 Doctoral thesis (other academic/artistic)abstract This thesis consists of three independent articles preceded by an introductory chapter. The first two articles focus on exchange rate dynamics in emerging market and developing economies, taking into account nonlinearities and asymmetries which are relevant for these countries and are potentially due to (i) transaction costs and other market frictions, and (ii) official intervention in the foreign exchange market. The third article is devoted to the analysis of the effects of monetary policy at different time horizons.The first article evaluates the purchasing power parity (PPP) theory in a panel of Sub-Saharan African countries. Unit root tests that are based on exponential smooth transition autoregressive (ESTAR) models are applied to account for nonlinearities and asymmetries in real exchange rate adjustment towards its equilibrium (mean) value. The results indicate empirical support for the PPP theory.The second article examines the relationship between current account adjustment and exchange rate flexibility in a panel of emerging market and developing economies. The purpose of this article is to (i) obtain a measure of exchange rate flexibility that considers autoregressive conditional heteroscedasticity and possible asymmetric responses of the exchange rate to shocks, and (ii) apply suitable dynamic panel data estimators to investigate this relationship. The results indicate that more flexible exchange rates are associated with faster current account adjustment.By means of wavelets the third article investigates the liquidity effect and the long-run neutrality of money at detailed timescales using time series data for Sweden and the US. The results indicate a significant liquidity effect at horizons of one to four years, but there is no evidence of monetary neutrality.
11.	Habimana, Olivier, et al. (author) Testing for nonlinear unit roots in the presence of a structural break 2015 In: Festschrift in honor of Professor Ghazi Shukur on the occasion of his 60th birthday. - Växjö : Linnaeus University Press. - 9789187925900 Book chapter (other academic/artistic)
12.	Habimana, Olivier, et al. (author) Testing for nonlinear unit roots in the presence of a structural break with an application to the qualified PPP during the 1997 Asian financial crisis 2018 In: International journal of finance and economics. - : John Wiley & Sons. - 1076-9307 .- 1099-1158. ; 23:3, s. 221-232 Journal article (peer-reviewed)abstract This paper applies Monte Carlo simulations to evaluate the size and power properties in the presence of a structural break, for the standard Augmented Dickey-Fuller (ADF) test versus nonlinear exponential smooth transition autoregressive unit root tests. The break causes the tests to be undersized, and the statistical power considerably decreases. Moreover, the effect is intensified in small samples and very much increased for more persistent nonlinear series. As a remedy, we modify the standard ADF and exponential smooth transition autoregressive unit root tests in order to adjust for a structural break. This improves both the power and the size considerably, even though the empirical size still is lower than the nominal one. More persistent series are more affected by structural breaks, and the new tests are most powerful under the existence of a rather persistent nonlinear data generating process (which is an empirically relevant and common type of data generating process). The proposed tests are applied to investigate mean reversion in the real effective exchange rates of 5 East and Southeast Asian countries, taking into account the structural change in exchange rate regime brought about by the 1997 Asian financial crisis. The empirical findings corroborate our simulation results; the modified more powerful tests are able to reject the unit root in all 5 countries, whereas the tests that do not consider the structural break could only reject in one of these cases.
13.	Hacker, R. Scott, et al. (author) An investigation of the causal relations between exchange rates and interest rate differentials using wavelets 2014 In: International Review of Economics and Finance. - : Elsevier BV. - 1059-0560 .- 1873-8036. ; 29, s. 321-329 Journal article (peer-reviewed)abstract This paper uses wavelet analysis to investigate causality between the spot exchange rate and the nominal interest rate differential for seven country pairs, which includes Sweden. Impulse response functions are also utilized to examine the signs of how one of these variables affects the other over time. One key empirical finding from the causality tests is that there is strengthening evidence of the nominal interest rate differential Granger causing the exchange rate as the wavelet time scale increases. When considering impulse responses on how the interest rate differential affects the exchange rate, there appears to be some evidence of more negative relationships at the shorter time scales (i.e. an increase in the Swedish interest rate compared to that of another country is associated with a lower Swedish krona price of the other country's currency) and more positive relationships at the longer time scales.
14.	Hacker, R Scott, 1964-, et al. (author) An Investigation of the Causal Relations between Exchange Rates and Interest Rates Differentials using Wavelets 2010 Reports (other academic/artistic)abstract Monthly and quarterly data for the spot exchange rate of the Swedish Krona against major currencies have been used in this paper to investigate the causality in a Granger sense at different time scales between the spot exchange rate and the nominal interest rate differential by using wavelet analysis. Impulse response functions are also utilized to examine the signs of how one of these variables affects the other over time. One key empirical finding from the causality tests is that there is only substantial evidence of a causal relationship in the long run between the two variables. When using monthly data, this is true in both directions. When considering impulse responses on how the interest rate differential affects the exchange rate, there appears to be some evidence of more negative relationships at the shorter time scales and more positive relationships at the longer time scales.
15.	Hacker, R Scott, 1964-, et al. (author) The Relationship between Exchange Rates and Interest Rate Differentials : a Wavelet Approach 2010 Reports (other academic/artistic)abstract This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and the interest rate differential for seven pairs of countries, with a small country, Sweden, included in each of the cases. The key empirical results show that there tends to be a negative relationship between the spot exchange rate (domestic-currency price of foreign currency) and the nominal interest rate differential (approximately the domestic interest rate minus the foreign interest rate) at the shortest time scales, while a positive relationship is shown at the longest time scales. This indicates that among models of exchange rate determination using the asset approach, the sticky-price models are supported in the short-run while in the long-run the flexible-price models appear to better explain the sign of the relationship.
16.	Hacker, R. Scott, et al. (author) The relationship between exchange rates and interest rate differentials : A wavelet approach 2012 In: The World Economy. - : Wiley. - 0378-5920 .- 1467-9701. ; 35:9, s. 1162-1185 Journal article (peer-reviewed)abstract This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and interest rate differential for seven pairs of countries, with a small country, Sweden, included in each case. The key empirical results show that there tends to be a negative relationship between the spot exchange rate (domestic-currency price of foreign currency) and the nominal interest rate differential (approximately the domestic interest rate minus the foreign interest rate) at the shortest time scales, while a positive relationship is shown at the longest time scales. This indicates that among models of exchange rate determination using the asset approach, the sticky-price models are supported in the short-run and flexible-price models in the long-run.
17.	Hansson, Kristofer, et al. (author) En kollektivtrafik för alla : En nulägesbeskrivning av forskning och utvecklingsprojekt inom funktionshinderområdet 2023 Reports (other academic/artistic)abstract Kollektivtrafik anses ofta vara särskilt betydelsefull för personer med funktionsnedsättning, då det kan finnas en begränsad tillgång till andra färdmedel. Trots ansträngningar för att överbrygga hinder i kollektivtrafiken, kvarstår idag betydande utmaningar. Personer med funktionsnedsättning gör generellt färre resor och deltar i färre aktiviteter utanför hemmet än personer som inte har några funktionsnedsättningar. Att resa i den allmänna kollektivtrafiken förutsätter en rad förmågor, som beror på ett samspel mellan resenär och olika miljöer, såsom informationsmiljöer, fysiska miljöer och sociala miljöer. Brister detta samspel uppstår ett funktionshinder som försvårar eller omöjliggör användning av kollektivtrafik. Rapporten syftar till att ge en översikt över arbetsområdet tillgänglighet i kollektivtrafiken och inkluderar exempel både från forskning och mer praktiskt arbete. Rapporten ska inte ses som en heltäckande översikt, utan ämnar snarare ge en överblick och nulägesbild över området. I rapporten presenteras en genomgång av vissa mål och regelverk som är relevanta utifrån tillgänglighet ur nationellt och europeiskt perspektiv. Därefter ges en nationell utblick som berör frågor om ansvar, information, och myndigheter som på olika sätt arbetar med frågor relaterade till tillgänglighet i kollektivtrafiken. En genomgång av forskning inom området görs ur ett mer övergripande perspektiv (en mer detaljerad genomgång kommer att publiceras i artikelformat framöver) och därefter med några exempel på forskningsrapporter som publicerats nationellt. Översikten ger även exempel på europeiska forskningsprojekt som på olika sätt berör frågor om tillgänglighet i kollektivtrafiken samt på andra pågående EU-initiativ inom området. Nationella studier har exempelvis belyst frågor om tillgänglighet i transportsystemet i regional planering. Författarna fann att tillgänglighet användes på olika sätt i planeringsdokument. Vidare menar författarna att tillgänglighet användes på olika sätt i de olika avdelningar som arbetade med kollektivtrafik, vilket försvårar samarbeten och helhetssynen kring tillgänglighetsfrågan. Tidigare K2-projekt har utgått från kunskap som insamlats genom en rad workshopar inom ramen för det svenska arbetet med EU-projektet TRIPS och fokuserade mot tillgänglighetsanpassning av digitala reseplanerare. Projektet identifierade ett flertal områden som är i behov av utveckling för att digitala verktyg ska kunna implementeras i svensk kollektivtrafik på ett framgångsrikt vis. En grundläggande utmaning handlade om att samla in och systematisera data som kan användas för att utveckla verktyg, samt att identifiera vilka aktörer som bör vara ansvariga för detta arbete. Rapporten visar också att det arbetas brett med frågan om tillgänglighet för alla i kollektivtrafiken, men att många utmaningar tycks kvarstå, både ur ett internationellt och ett nationellt perspektiv. Flertalet av de europeiska projekt som genomförts pekar på vikten av att inkludera personer med funktionsnedsättning i utvecklingen av tillgänglighet. Exempelvis i EU-projektet TRIPS lyfts delaktighet med principer om ”nothing about us without us” tillsammans med ett tydligt fokus på rättigheter för personer med funktionsnedsättning. Andra projekt lyfter vikten av att säkerställa att utvecklingen av digitala hjälpmedel måste ske på ett sätt som inkluderar personer med funktionsnedsättning, då det annars riskerar att gå i motsatt riktning och i allt högre grad verka exkluderande. Exempelvis projektet DIGNITY K2 Working Paper 2023:8 7 syftar till att utveckla metoder för att synliggöra och åtgärda den så kallade digitala klyftan mellan personer med funktionsnedsättning och det övriga samhället. Vid den snabba övergången till ett mer transporteffektivt samhälle, med digitalisering och nya mobilitetsformer, behöver uppmärksamhet riktas mot dem som behöver extra stöd och service för att få tillgång till kollektivtrafiken. I denna översikt har både fysiska hinder, sociala hinder och samordningsproblem uppmärksammats. Slutligen kan konstateras att kollektivtrafiken och dess olika sociala och fysiska dimensioner är ombytlig. Tillgänglighetsfrågor är inte något som på något sätt når ett slut, eller som man färdigställer genom enskilda insatser. Tillgängligheten i kollektivtrafiken utmanas ständigt, parallellt med de samhällsförändringar som sker och med hänsyn till de många olika behov och förutsättningar som vi alla har. Att fördjupa förståelsen för de funktionshinder som uppstår i kollektivtrafiken borde vara en central fråga i det fortsatta arbetet för alla människors möjligheter att vara inkluderade i samhället och för att minska riskerna för social exkludering och marginalisering.
18.	Hansson, Kristofer, et al. (author) En kollektivtrafik för alla : En nulägesbeskrivning av forskning och utvecklingsprojekt inom funktionshinderområdet 2023 Reports (other academic/artistic)abstract Rapporten syftar till att ge en översikt över arbetsområdet tillgänglighet i kollektivtrafiken och inkluderar exempel både från forskning och mer praktiskt arbete. Rapporten ska inte ses som en heltäckande översikt, utan ämnar snarare ge en överblick och nulägesbild över området. I rapporten presenteras en genomgång av vissa mål och regelverk som är relevanta utifrån tillgänglighet ur nationellt och europeiskt perspektiv. Därefter ges en nationell utblick som berör frågor om ansvar, information, och myndigheter som på olika sätt arbetar med frågor relaterade till tillgänglighet i kollektivtrafiken. En genomgång av forskning inom området görs ur ett mer övergripande perspektiv (en mer detaljerad genomgång kommer att publiceras i artikelformat framöver) och därefter med några exempel på forskningsrapporter som publicerats nationellt. Översikten ger även exempel på europeiska forskningsprojekt som på olika sätt berör frågor om tillgänglighet i kollektivtrafiken samt på andra pågående EU-initiativ inom området.
19.	Hansson, Kristofer, et al. (author) Kollektivtrafik för alla! : En kunskapsöversikt inom funktionshinderområdet 2024 In: Sammanställning av postrar från Transportforum 2024. - Linköping : Statens väg- och transportforskningsinstitut. Conference paper (other academic/artistic)abstract Hur säkerställer vi att ingen blir lämnad bakom (Leave No One Behind, LNOB)? En av de mest centrala frågorna inom ramen för de globala målen. Klimatarbetet handlar främst om att få fler att resa mer klimatanpassat och resurseffektivt. Här är kollektivtrafiken en viktig aktör. Lösningar fokuseras i stor utsträckning mot en snabb och effektiv kollektivtrafik, med genomgående inslag av digitalisering och andra tekniska lösningar (autonoma fordon, digitala biljettsystem, digitala lösningar) som ersätter personal både ombord på fordon och i kundtjänst mm. Detta skapar en oro bland olika grupper! Trots brett arbete gällande tillgänglighet för alla i kollektivtrafiken, kvarstår många utmaningar, både ur ett internationellt och ett nationellt perspektiv. Detta framträder inte minst via de EU-finansierade projekt som hanterar frågor om digitalisering, samskapande och deltagande metoder om en tillgänglig kollektivtrafik för alla.
20.	Holgersson, Thomas, et al. (author) Testing for Panel Unit Roots under General Cross-sectional Dependence 2016 In: Communications in Statistics-Simulation and Computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 45:5, s. 1785-1801 Journal article (peer-reviewed)abstract In this article, we generalize four tests of multivariate linear hypothesis to panel data unit root testing. The test statistics are invariant to certain linear transformations of data and therefore simulated critical values may conveniently be used. It is demonstrated that all four tests remains well behaved in cases of where there are heterogeneous alternatives and cross-correlations between marginal variables. A Monte Carlo simulation is included to compare and contrast the tests with two well-established ones.
21.	Häkkinen, Jari, et al. (author) The Proteios Software Environment: an extensible multiuser platform for management and analysis of proteomics data 2009 In: Journal of Proteome Research. - : American Chemical Society (ACS). - 1535-3893 .- 1535-3907. ; 8:6, s. 3037-3043 Journal article (peer-reviewed)abstract Proteome analysis involves many steps that generate large quantities of data in different formats. This creates a need for automatic data merging and extraction of important features from data. Furthermore, metadata need to be collected and reported to enable critical evaluation of results. Many data analysis tools are developed locally in research laboratories and are nontrivial to adapt for other laboratories, preventing optimal exploitation of generated data. The proteomics field would benefit from user-friendly analysis and data management platforms in which method developers can make their analysis tools available for the community. Here, we describe the Proteios Software Environment (ProSE) that is built around a Web-based local data repository for proteomics experiments. The application features sample tracking, project sharing between multiple users, and automated data merging and analysis. ProSE has built-in support for several quantitative proteomics workflows, and integrates searching in several search engines, automated combination of the search results with predetermined false discovery rates, annotation of proteins and submission of results to public repositories. ProSE also provides a programming interface to enable local extensions, as well as database access using Web services. ProSE provides an analysis platform for proteomics research and is targeted for multiuser projects with needs to share data, sample tracking, and analysis result. ProSE is open source software available at http://www.proteios.org .
22.	Johansson, Börje, 1945-, et al. (author) Dynamics of Entry and Exit of Product Varities : What Economic Dynamics can Account for the Empirical Regularities? 2011 In: Nonlinear Economic Dynamics. - New York : Nova Science Publishers, Inc.. - 9781616687885 ; , s. 155-174 Book chapter (peer-reviewed)
23.	Johansson, Börje, et al. (author) Vad betyder högskolan för Region Jönköpings ekonomi? 2014 Reports (other academic/artistic)
24.	Karlsson, Hyunjoo Kim, et al. (author) Investigation of the nonlinear behaviour in real exchange rates in developing regions 2018 In: Applied Economics Letters. - : Taylor & Francis. - 1350-4851 .- 1466-4291. ; 25:5, s. 335-339 Journal article (peer-reviewed)abstract This article examines whether the purchasing power parity (PPP) theory holds or not for the economies in different developing regions located in Africa, Asia and Latin America. In order to investigate this issue, a nonlinear panel unit root test is used to determine if some or all of the real exchange rates in a panel follow a stationary exponential smooth transition autoregressive process. By applying the nonlinear panel unit root test, our results demonstrate an empirical support for the theory of PPP for the economies in developing regions.
25.	Karlsson, Hyunjoo Kim, et al. (author) Revisiting the nexus between oil prices and economic activity for Asian economies using MIDAS 2024 In: Energy Journal. - : International Association for Energy Economics. - 0195-6574 .- 1944-9089. Journal article (peer-reviewed)abstract The objective of this paper is to re-examine the causal relationship between oil prices and economic activity for five Asian economies. We apply the unrestricted MIDAS (U-MIDAS) model using monthly data for real oil prices and quarterly data for real GDP for the period from 1998Q1 to 2019Q4. The causal nexus between oil prices and economic activity is also studied by means of wavelet analysis to investigate whether the relationship between the variables changes over different time scales. The key empirical results under the MIDAS approach show that there is a clear significant causal link from oil prices to economic activity, which is not as clearly found under the standard VAR approach. In addition, our results using impulse response functions suggest that the five Asian economies respond, in general, positively in economic activity to an oil price shock at shorter time horizons (less than two years), while the positive responses switch to mostly negative ones at longer time horizons (from two to four years). Our results, in general, support that the (theoretically) expected negative causal nexus between oil price fluctuations and economic activity for oil importers is dominant over longer time horizons for our dataset. An exception to this pattern is China, which has a dissimilar country profile in terms of its oil market and production structure from the profiles of the other Asian economies in the study.
26.	Karlsson, Hyunjoo Kim, et al. (author) Revisiting the nexus of the financial development and economic development : new international evidence using a wavelet approach 2021 In: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 60:5, s. 2323-2350 Journal article (peer-reviewed)abstract This study investigates Granger causality and instantaneous causality between financial development and economic development for 76 economies of four different income levels. The main novelty of the study is that it fills a gap in existing studies on the relationship between financial development and economic development by employing wavelet analysis, which enables us to study the varying time-scale relationships of the variables. Among the findings is that at the scale of 4-8 years it is more common for financial development and economic development to support each other once a country achieves at least lower-middle-income status.
27.	Karlsson, Hyunjoo Kim, et al. (author) Unveiling the Time-dependent Dynamics between Oil Prices and Exchange Rates : A Wavelet-based Panel Analysis 2020 In: Energy Journal. - : International Association for Energy Economics. - 0195-6574 .- 1944-9089. ; 41:6, s. 87-106 Journal article (peer-reviewed)abstract The objective of this paper is to re-examine the relationship between real oil prices and real effective exchange rates (REER) for major oil-exporting countries with floating exchange rates. We apply the wavelet-based principles of Gallegati et al. (2016) using monthly data for the period 1996 to 2015. In contrast to many previ-ous studies, our results support the theoretically expected positive nexus between the real oil prices and REER for our dataset. This (theoretically-expected) positive relationship is stronger at the larger time scales (that is, at the 4-8 and 8-16 month wavelet scales) compared to the smaller time scales (that is, at the 1-2 and 2-4 month wavelet scales). The findings of this study therefore add to the existing literature, since they disentangle the specific relationship between oil prices and exchange rates at different time scales, which has important policy implications.
28.	Karlsson, Hyunjoo Kim, et al. (author) Wavelet quantile analysis of asymmetric pricing on the Swedish power market 2017 In: Empirica. - : Springer. - 0340-8744 .- 1573-6911. ; 44:2, s. 249-260 Journal article (peer-reviewed)abstract In this article we investigate if the Swedish consumer prices for electricity are adjusted equally fast regardless of whether the NordPool power market prices are decreased or increased. Due to relatively moderate variations in the variables, we have applied quantile regression, since it is mainly the large changes (above the median) that essentially tend to have a considerable effect on the consumer prices. Moreover, in order to adjust for stochastic- and deterministic trends, autocorrelation, structural breaks as well as to measure APT effects in the short- and in the medium-run, we apply a wavelet decomposition approach. Our results show evidence that significantly positive asymmetric price transmission (APT) effects exist in this market. More specifically, in the short-run (based on the wavelet decomposition D1 for 1–2 months cycles), we find that that there is a higher propensity to rapidly and systematically increase the consumer prices subsequently to an increase in the NordPool market price, compared with the propensity to decrease their customers prices subsequently to a corresponding drop in the NordPool market prices. However, no significant APT effects were detected in the medium- or in the long-run (i.e. the asymmetric price transmission effects are observed only in the short-run). In summary, we could isolate significant APT effects in the short-run (1–2 months decomposition cycles), and for large changes in the dependent variable (percentiles = 0.9). Therefore, only large changes in the NordPool prices lead to feedback effects in the form of asymmetric price transmission effects. Our evidence supports the notion of firms’ downward stickiness of retail prices for maximizing profit, which are not expected to be found on a fully efficient market. Although our finding shows that the price inefficiency is short-lived, these large temporal inefficiencies are still costly for the consumers. It should be noted that blunt traditional powerless methods do not detect these APT effects, while our wavelet quantile methods are powerful and make a significant contribution in the literature by providing new empirical evidence.
29.	Karlsson, Peter S., 1968-, et al. (author) A Liu estimator for the beta regression model and its application to chemical data 2020 In: Journal of Chemometrics. - : John Wiley & Sons. - 0886-9383 .- 1099-128X. ; 34:10, s. 1-16 Journal article (peer-reviewed)abstract Abstract Beta regression has become a popular tool for performing regression analysis on chemical, environmental, or biological data in which the dependent variable is restricted to the interval [0, 1]. For the first time, in this paper, we propose a Liu estimator for the beta regression model with fixed dispersion parameter that may be used in several realistic situations when the degree of correlation among the regressors differs. First, we show analytically that the new estimator outperforms the maximum likelihood estimator (MLE) using the mean square error (MSE) criteria. Second, using a 'simulation study, we investigate the properties in finite samples of six different suggested estimators of the shrinkage parameter and compare it with the MLE. The simulation results indicate that in the presence of multicollinearity, the Liu estimator outperforms the MLE uniformly. Finally, using an empirical application on chemical data, we show the benefit of the new approach to applied researchers.
30.	Khalaf, Ghadban, et al. (author) A Tobit Ridge Regression Estimator 2014 In: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 43:1, s. 131-140 Journal article (peer-reviewed)abstract This article analyzes the effects of multicollienarity on the maximum likelihood (ML) estimator for the Tobit regression model. Furthermore, a ridge regression (RR) estimator is proposed since the mean squared error (MSE) of ML becomes inflated when the regressors are collinear. To investigate the performance of the traditional ML and the RR approaches we use Monte Carlo simulations where the MSE is used as performance criteria. The simulated results indicate that the RR approach should always be preferred to the ML estimation method.
31.	Khalaf, Ghadban, et al. (author) Modified Ridge Regression Estimators 2013 In: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 42:8, s. 1476-1487 Journal article (peer-reviewed)abstract Ridge Regression is a variant of ordinary multiple linear regression whose goal is to circumvent the problem of predictors collinearity. It gives-up the Ordinary Least Squares (OLS) estimator as a method for estimating the parameters of the multiple linear regression model . Different methods of specifying the ridge parameter k were proposed and evaluated in terms of Mean Square Error (MSE) by simulation techniques. Comparison is made with other ridge-type estimators evaluated elsewhere. The new estimators of the ridge parameters are shown to have very good MSE properties compared with the other estimators of the ridge parameter and the OLS estimator. Based on our results from the simulation study we may recommend the new ridge parameters to practitioners.
32.	Kibria, B. M. Golam, et al. (author) A simulation study of some biasing parameters for the ridge type estimation of Poisson regression 2015 In: Communications in statistics. Simulation and computation. - : Taylor & Francis. - 0361-0918 .- 1532-4141. ; 44:4, s. 943-957 Journal article (peer-reviewed)abstract This paper proposes several estimators for estimating the ridge parameter k based for Poisson ridge regression (RR) model. These estimators have been evaluated by means of Monte Carlo simulations. As performance criteria, we have calculated the mean squared error (MSE), the mean value and the standard deviation of k. The first criterion is commonly used, while the other two have never been used when analyzing Poisson RR. However, these performance criterion are very informative because, if several estimators have an equal estimated MSE then those with low average value and standard deviation of k should be preferred. Based on the simulated results we may recommend some biasing parameters which may be useful for the practitioners in the field of health, social and physical sciences.
33.	Kibria, B. M. Golam, et al. (author) Performance of some logistic ridge regression estimators 2012 In: Computational Economics. - : Springer Science and Business Media LLC. - 0927-7099 .- 1572-9974. ; 40:4, s. 401-414 Journal article (peer-reviewed)abstract In this paper we generalize different approaches of estimating the ridge parameter k proposed by Muniz et al. (Comput Stat, 2011) to be applicable for logistic ridge regression (LRR). These new methods of estimating the ridge parameter in LRR are evaluated by means of Monte Carlo simulations along with the some other estimators of k that has already been evaluated by Månsson and Shukur (Commun Stat Theory Methods, 2010) together with the traditional maximum likelihood (ML) approach. As a performance criterion we use the mean squared error (MSE). In the simulation study we also calculate the mean value and the standard deviation of k. The average value is interesting firstly in order to see what values of k that are reasonable and secondly if several estimators have equal variance then the estimator that induces the smallest bias should be chosen. The standard deviation is interesting as a performance criteria if several estimators of k have the same MSE, then the most stable estimator (with the lowest standard deviation) should be chosen. The result from the simulation study shows that LRR outperforms ML approach. Furthermore, some of new proposed ridge estimators outperformed those proposed by Månsson and Shukur (Commun Stat Theory Methods, 2010).
34.	Kibria, B. M. Golam, et al. (author) Some ridge regression estimators for the zero-inflated Poisson model 2013 In: Journal of Applied Statistics. - : Informa UK Limited. - 0266-4763 .- 1360-0532. ; 40:4, s. 721-735 Journal article (peer-reviewed)abstract The zero-inflated Poisson regression model is commonly used when analyzing economic data that come in the form of non-negative integers since it accounts for excess zeros and overdispersion of the dependent variable. However, a problem often encountered when analyzing economic data that has not been addressed for this model is multicollinearity. This paper proposes ridge regression (RR) estimators and some methods for estimating the ridge parameter k for a non-negative model. A simulation study has been conducted to compare the performance of the estimators. Both mean squared error and mean absolute error are considered as the performance criteria. The simulation study shows that some estimators are better than the commonly used maximum-likelihood estimator and some other RR estimators. Based on the simulation study and an empirical application, some useful estimators are recommended for practitioners.
35.	Locking, Håkan, et al. (author) Performance of Some Ridge Parameters for Probit Regression : With Application to Swedish Job Search Data 2013 In: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 42:3, s. 698-710 Journal article (peer-reviewed)abstract In ridge regression, the estimation of the ridge parameter is an important issue. This article generalizes some methods for estimating the ridge parameter for probit ridge regression (PRR) model based on the work of Kibria et al. (2011). The performance of these new estimators is judged by calculating the mean squared error (MSE) using Monte Carlo simulations. In the design of the experiment, we chose to vary the sample size and the number of regressors. Furthermore, we generate explanatory variables that are linear combinations of other regressors, which is a common situation in economics. In an empirical application regarding Swedish job search data, we also illustrate the benefits of the new method.
36.	Locking, Håkan, et al. (author) Ridge estimators for probit regression: With an application to labour market data 2015 In: Bulletin of Economic Research. - : Wiley. - 0307-3378 .- 1467-8586. ; 66:S1, s. S92-S103 Journal article (peer-reviewed)abstract In this paper we propose ridge regression estimators for probit models since the commonly applied maximum likelihood (ML) method is sensitive to multicollinearity. An extensive Monte Carlo study is conducted where the performance of the ML method and the probit ridge regression (PRR) is investigated when the data is collinear. In the simulation study we evaluate a number of methods of estimating the ridge parameter k that have recently been developed for use in linear regression analysis. The results from the simulation study show that there is at least one group of the estimators of k that regularly has a lower MSE than the ML method for all different situations that has been evaluated. Finally, we show the benefit of the new method using the classical Dehejia and Wahba (1999) dataset which is based on a labor market experiment.
37.	Lukman, A. F., et al. (author) A new estimator for the multicollinear Poisson regression model : simulation and application 2021 In: Scientific Reports. - : Springer Nature. - 2045-2322. ; 11:1 Journal article (peer-reviewed)abstract The maximum likelihood estimator (MLE) suffers from the instability problem in the presence of multicollinearity for a Poisson regression model (PRM). In this study, we propose a new estimator with some biasing parameters to estimate the regression coefficients for the PRM when there is multicollinearity problem. Some simulation experiments are conducted to compare the estimators' performance by using the mean squared error (MSE) criterion. For illustration purposes, aircraft damage data has been analyzed. The simulation results and the real-life application evidenced that the proposed estimator performs better than the rest of the estimators.
38.	Mansoor, Rashid, et al. (author) Testing for Panel Cointegration in High-Dimensional Data in the Presence of Cross-Sectional Dependency Other publication (other academic/artistic)
39.	Mansoor, Rashid, et al. (author) Testing for panel cointegration in high dimensional data in the presence of cross-sectional dependency 2021 In: International Journal of Computational Economics and Econometrics. - : InderScience Publishers. - 1757-1170 .- 1757-1189. ; 11:4, s. 406-418 Journal article (peer-reviewed)abstract This paper introduces some new methods to test for panel cointegration in the error correction framework. These methods are proposed since the previous approaches do not perform well when the number of cross-sectional units (N) is approximately equal to the number of time periods (T). By means of Monte Carlo simulations we investigate the size and power properties when N and T increase simultaneously, i.e., N/T -> c where 0 < c <= 1. Based on the simulated results we may recommend a test for panel cointegration in high dimensional setting with cross-sectional dependency.
40.	Mantalos, Panagiotis, et al. (author) The effect of spillover on the Johansens tests for Cointegration: A Monte Carlo Analysis 2010 In: International Journal of Computational Economics and Econometrics. - : InderScience Publishers. - 1757-1170 .- 1757-1189. ; 1:3/4, s. 327-342 Journal article (peer-reviewed)abstract This paper investigates the effect of spillover (i.e. causality in variance) on the Johansens tests for cointegration by conducting a Monte Carlo experiment where 16 different data generating processes (DGP) are used and a number of factors that might affect the properties of the Johansens cointegration tests are varied. The result from the simulation study clearly shows that spillover effect leads to an over-rejection of the true null hypothesis. Hence, in the presence of spillover it becomes very hard to make inferential statements since it will often lead to erroneous claims that cointegration relationships exist.
41.	Muniz, Gisela, et al. (author) On Developing Ridge Regression Parameters : A Graphical investigation 2012 In: SORT - Statistics and Operations Research Transactions. - 1696-2281 .- 2013-8830. ; 36:2, s. 115-138 Journal article (peer-reviewed)abstract In this paper we review some existing and propose some new estimators for estimating the ridge parameter. All in all 19 different estimators have been studied. The investigation has been carried out using Monte Carlo simulations. A large number of different models have been investigated where the variance of the random error, the number of variables included in the model, the correlations among the explanatory variables, the sample size and the unknown coefficient vector were varied. For each model we have performed 2000 replications and presented the results both in term of figures and tables. Based on the simulation study, we found that increasing the number of correlated variable, the variance of the random error and increasing the correlation between the independent variables have negative effect on the mean squared error. When the sample size increases the mean squared error decreases even when the correlation between the independent variables and the variance of the random error are large. In all situations, the proposed estimators have smaller mean squared error than the ordinary least squares and other existing estimators.
42.	Månsson, Kristofer, et al. (author) A New Asymmetric Interaction Ridge (AIR) Regression Method 2014 In: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 43:3, s. 616-643 Journal article (peer-reviewed)abstract Despite that interaction terms are standard tools of regression analysis, the side effects of the inclusion of these terms in models estimated by ordinary least squares (OLS) are yet not fully penetrated. The inclusion of interaction effects induces multicollinearity problems since all non zero values are equal between the interaction term and the regressor. In this article, we propose a procedure to remedy this problem by the use of new ridge regression (RR) shrinkage parameters—which we call the asymmetric interaction ridge (AIR) regression method. By means of Monte Carlo simulations we evaluate both OLS and AIR using the mean square error (MSE) performance criterion. The result from the simulation study confirms our hypothesis that AIR always should be preferred to OLS since it has a lower estimated MSE. Moreover, the advantages of our new method are demonstrated in an empirical application where positive asymmetric price transmission effects are exposed for the mortgage interest rates of Handelsbanken Stadshypotek. It is observed that the mortgage interest rates increase more fully and rapidly to an increase in the bank's borrowing costs than to a decrease. This asymmetry is defined as positive asymmetric price transmission (APT).
43.	Månsson, Kristofer, 1983-, et al. (author) A new liu type of estimator for the restricted SUR estimator 2019 In: Journal of Modern Applied Statistical Methods. - : Wayne State University Press. - 1538-9472. ; 18:1 Journal article (peer-reviewed)abstract A new Liu type of estimator for the seemingly unrelated regression (SUR) models is proposed that may be used when estimating the parameters vector in the presence of multicollinearity if the it is suspected to belong to a linear subspace. The dispersion matrices and the mean squared error (MSE) are derived. The new estimator may have a lower MSE than the traditional estimators. It was shown using simulation techniques the new shrinkage estimator outperforms the commonly used estimators in the presence of multicollinearity.
44.	Månsson, Kristofer, et al. (author) A New Liu Type of Estimators for the Restricted SUR Estimator 2019 In: Journal of Modern Applied Statistical Methods. - : JMASM Inc.. - 1538-9472. ; 18:1, s. 1-11 Journal article (peer-reviewed)abstract A new Liu type of estimator for the seemingly unrelated regression (SUR) models is proposed that may be used when estimating the parameters vector in the presence of multicollinearity if the it is suspected to belong to a linear subspace. The dispersion matrices and the mean squared error (MSE) are derived. The new estimator may have a lower MSE than the traditional estimators. It was shown using simulation techniques the new shrinkage estimator outperforms the commonly used estimators in the presence of multicollinearity.
45.	Månsson, Kristofer, et al. (author) A New Ridge Regression Causality Test in the Presence of Multicollinearity 2014 In: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 43:2, s. 235-248 Journal article (peer-reviewed)abstract The VAR lag structure applied for the traditional Granger causality (GC) test is always severely affected by multicollinearity due to autocorrelation among the lags. Therefore, as a remedy to this problem we introduce a new Ridge Regression Granger Causality (RRGC) test, which is compared to the GC test by means of Monte Carlo simulations. Based on the simulation study we conclude that the traditional OLS version of the GC test over-rejects the true null hypothesis when there are relatively high (but empirically normal) levels of multicollinearity, while the new RRGC test will remedy or substantially decrease this problem.
46.	Månsson, Kristofer, et al. (author) A Poisson ridge regression Estimator 2011 In: Economic Modelling. - : Elsevier BV. - 0264-9993 .- 1873-6122. ; 28:4, s. 1475-1481 Journal article (peer-reviewed)abstract The standard statistical method for analyzing count data is the Poisson regression model, which is usually estimated using maximum likelihood (ML) method. The ML method is very sensitive to multicollinearity. Therefore, we present a new Poisson ridge regression estimator (PRR) as a remedy to the problem of instability of the traditional ML method. To investigate the performance of the PRR and the traditional ML approaches for estimating the parameters of the Poisson regression model, we calculate the mean squared error (MSE) using Monte Carlo simulations. The result from the simulation study shows that the PRR method outperforms the traditional ML estimator in all of the different situations evaluated in this paper.
47.	Månsson, Kristofer, et al. (author) A restricted Liu estimator for binary regression models and its application to an applied demand system 2016 In: Journal of Applied Statistics. - : Taylor & Francis. - 0266-4763 .- 1360-0532. ; 43:6, s. 1119-1127 Journal article (peer-reviewed)abstract In this article, we propose a restricted Liu regression estimator (RLRE) for estimating the parameter vector, β, in the presence of multicollinearity, when the dependent variable is binary and it is suspected that β may belong to a linear subspace defined by Rβ = r. First, we investigate the mean squared error (MSE) properties of the new estimator and compare them with those of the restricted maximum likelihood estimator (RMLE). Then we suggest some estimators of the shrinkage parameter, and a simulation study is conducted to compare the performance of the different estimators. Finally, we show the benefit of using RLRE instead of RMLE when estimating how changes in price affect consumer demand for a specific product.
48.	Månsson, Kristofer, 1983- (author) A Wavelet-Based Approach of Testing for Granger Causality in the Presence of GARCH Effects 2012 In: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 41:4, s. 717-728 Journal article (peer-reviewed)abstract The size and power of the most commonly used tests and a new wavelet-based approach of testing for Granger causality is evaluated in this paper by means of a Monte Carlo study in which the error term follows a generalized autoregressive conditional heteroscedasticity consistent (GARCH) process. In the simulation study it is shown that the commonly used causality tests tends to over-reject the true null hypothesis in the presence of GARCH errors and that the new wavelet-based approach improves the size properties of the Granger causality test for all of the different situations evaluated.
49.	Månsson, Kristofer, et al. (author) Asymmetric Quantile Analysis of the Swedish Mortgage Price Discovery Process 2013 In: Applied Economics. - : Informa UK Limited. - 0003-6846 .- 1466-4283. ; 45:21, s. 3088-3101 Journal article (peer-reviewed)
50.	Månsson, Kristofer (author) Developing a Liu estimator for the negative binomial regression model : method and application 2013 In: Journal of Statistical Computation and Simulation. - : Informa UK Limited. - 0094-9655 .- 1563-5163. ; 83:9, s. 1773-1780 Journal article (peer-reviewed)abstract This paper introduces a new shrinkage estimator for the negative binomial regression model that is a generalization of the estimator proposed for the linear regression model by Liu [A new class of biased estimate in linear regression, Comm. Stat. Theor. Meth. 22 (1993), pp. 393–402]. This shrinkage estimator is proposed in order to solve the problem of an inflated mean squared error of the classical maximum likelihood (ML) method in the presence of multicollinearity. Furthermore, the paper presents some methods of estimating the shrinkage parameter. By means of Monte Carlo simulations, it is shown that if the Liu estimator is applied with these shrinkage parameters, it always outperforms ML. The benefit of the new estimation method is also illustrated in an empirical application. Finally, based on the results from the simulation study and the empirical application, a recommendation regarding which estimator of the shrinkage parameter that should be used is given.

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