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  • 1.
    Almasri, Abdullah
    et al.
    Department of Economics and Statistics, Karlstad University, Karlstad, Sweden.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Statistics. Department of Economics and Statistics, Göteborg University, Göteborg, Sweden.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Statistics. Department of Economics and Statistics, Linnaeus University, Växjö, Sweden.
    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 countries2017In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 49, no 21, p. 2096-2105Article in journal (Refereed)
    Abstract [en]

    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.

  • 2.
    Anxo, Dominique
    et al.
    Department of Economics and Statistics, Linnaeus University, Växjö, Sweden .
    Hussain, Shakir
    Public Health, Epidemiology and Biostatistics, School of Medicine, University of Birmingham, Birmingham, UK .
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    The demand of part-time in European companies: a multilevel modelling approach2012In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 44, no 8, p. 1057-1066Article in journal (Refereed)
    Abstract [en]

    Part-time work is one of the most well-known « atypical » working time arrangements. In contrast to previous studies focusing on the supply side, the originality of our research is to investigate the demand-side of part-time work and to examine how and why companies use part-time work. Based on a large and unique sample of European firms operating in 21 member states, we use a multilevel multinomial modeling in a Bayesian environment. Our results suggest that the variations in the extent of part-time workers at the establishment level is determined more by country-specific features than by industry specific factors.

  • 3. Bitzer, Juergen
    et al.
    Stephan, Andreas
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    A Schumpeter-inspired Approach to the Construction of R&D Capital Stocks2007In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 39, no 2, p. 179-189Article in journal (Refereed)
  • 4. Bjellerup, Mårten
    et al.
    Holgersson, Thomas
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    A simple multivariate test for asymmetry2009In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 41, no 11, p. 1405-1416Article in journal (Refereed)
  • 5.
    Bjuggren, Per-Olof
    Jönköping University, Jönköping International Business School, JIBS, Economics. Jönköping University, Jönköping International Business School, JIBS, Center for Family Enterprise and Ownership (CeFEO). Ratio Inst, Stockholm, Sweden.;Jonkoping Int Business Sch, Jonkoping, Sweden..
    Marginal q revisited2016In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 48, no 1, p. 52-58Article in journal (Refereed)
    Abstract [en]

    Two measures of firm investment behaviour used in the empirical research are Tobin's q (average q) and marginal q. The marginal q is a more recently introduced measure than Tobin's q and is not as well known. This article aims to demonstrate the advantages of using marginal q as a performance measure and is a response to an earlier critical article (Berglund, 2011) claiming an elusiveness bias. The pro arguments made in response are that the claimed elusiveness is not a problem. Furthermore, many of the evaluation problems inherent in the empirical use of Tobin's q, like estimation of replacement cost of assets, can be avoided. From a pure theoretical standpoint, it has long been recognized that marginal q is superior to an average measure of investment behaviour such as Tobin's q.

  • 6.
    Hacker, R Scott
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Hatemi-J, Abdulnasser
    Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application2006In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 38, no 13, p. 1489-1500Article in journal (Refereed)
    Abstract [en]

    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

  • 7.
    Hacker, R Scott
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Hatemi-J, Abdulnasser
    The Effect of Regime Shifts on the Long-Run Relationships for Swedish Money Demand2005In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 37, no 15, p. 1731-1736Article in journal (Refereed)
    Abstract [en]

    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.

  • 8.
    Hatemi-J, Abdulnasser
    et al.
    Economics, UAE University.
    Hacker, R Scott
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Can the LR Test Be Helpful in Choosing the Otpimal Lag Order in the VAR Model When Information Criteria Suggest Different Lag Orders?2009In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 41, no 9, p. 1121-1125Article in journal (Refereed)
    Abstract [en]

    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.

  • 9.
    Heshmati, Almas
    Department of Economic Statistics, Stockholm School of Economics, Box 6501, S-11383, Stockholm, Sweden.
    Efficiency measurement in rotating panel data1998In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 30, no 7, p. 919-930Article in journal (Refereed)
    Abstract [en]

    Rotating panel data are used with estimation of stochastic production frontier. The model can be viewed as a generalization of the regular production function estimation that accommodates technical inefficiency as well as firm heterogeneity. In particular, while estimating technical efficiency for each firm over time we control for firm-specific effects and separate them from technical inefficiency. Estimation of the model is considered in two steps. In the first step we estimate parameters of the underlying production function using generalized least squares method which are then used in the estimation of technical efficiency in the second step. As an empirical application we used rotating data on 1425 Swedish dairy farms observed during 1976-1988. The mean technical efficiency of these farms is found to be 94.5% and 16% of the farms are fully efficient. Evidence of technical regress about 1% annum is observed during 1976 to 1984.

  • 10. Mantalos, Panagiotis
    et al.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    The Effect of the GARCH(1,1) on Autocorrelation Tests in Dynamic Systems of Equations2005In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 37, no 16, p. 1907-1913Article in journal (Refereed)
  • 11.
    Oh, D.
    et al.
    Samsung Economics Research Institute, Seoul, South Korea.
    Heshmati, Almas
    Food and Resource Economics, Korea University, Seoul, South Korea.
    Lööf, H.
    Centre of Excellence for Science and Innovation Studies, Royal Institute of Technology, Stockholm, Sweden.
    Technical change and total factor productivity growth for Swedish manufacturing and service industries2012In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 44, no 18, p. 2373-2391Article in journal (Refereed)
    Abstract [en]

    This article presents alternative specifications of the production functions of a large panel of Swedish firms for the period 1992 to 2000. The period can be characterized as a transition when long-run productivity growth in the Swedish economy improved from being among the weakest to one of the strongest within the Organization for Economic Co-operation and Development (OECD). In order to present a detailed exploration of this dramatic change, the time trend and general index models are applied to estimate Total Factor Productivity (TFP) growth, rate of technical change and returns to scale. The models are extended to allow for firm specific as well as time-varying technical change. The parametric TFP measures are also compared with the nonparametric Solow residual, and several hypotheses are tested to explain the growth patterns in the Swedish economy. It is found that the improved growth rate, initially starting in large exporting manufacturing firms, after a deep economic crisis at the beginning of the 1990s, spilled over to the rest of the economy, both manufacturing and services.

  • 12.
    Schäfer, Dorothea
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Accounting and Finance. Jönköping University, Jönköping International Business School, JIBS, Economics.
    Siliverstovs, Boriss
    German Institute for Economic Research (DIW) Berlin, Germany.
    Terberger, Eva
    Ruprecht-Karls-Universität Heidelberg, Alfred-Weber-Institut, Heidelberg, Germany.
    Banking Competition, Good or Bad?: The Case of Promoting Micro and Small Enterprise Finance in Kazakhstan2010In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 42, no 6, p. 701-716Article in journal (Refereed)
    Abstract [en]

    Competition is claimed to be beneficial in development projects promoting micro and small enterprise finance although there are still doubts as to whether these loans can be developed into a profitable business. Our research sheds new light on the question of how many MSE banking units should optimally be created and supported in a certain region. We employ a unique data set from the European Bank for Reconstruction and Development for Kazakhstan, and investigate which strategy contributes more to the overall success of the programme: a strategy of setting up several competing banks or a strategy of establishing regional monopolies. 'Competition is the most important principle on which our strategy is based. As in any other market, effective competition provides incentives for banks to offer market-based and demand-oriented financial services. Competition encourages the development of better products and services at lower cost.'

  • 13.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Dynamic Specification and Misspecification in Systems of Demand Equations: A Testing Strategy for Model Selection2002In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 34, no 6, p. 709-725Article in journal (Refereed)
  • 14.
    Shukur, Ghazi
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Hussain, Shakir
    A simple method for detecting fractional cointegration relation: An Application to Finnish Data2002In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 34, no 5, p. 607-615Article in journal (Refereed)
  • 15.
    Shukur, Ghazi
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Kekezi, Orsa
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    The efficiency of the Scandinavian banking sector – a wavelet quantile regression analysis2015In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 47, no 50, p. 5378-5389Article in journal (Refereed)
    Abstract [en]

    In this article, the Scandinavian housing financing market is analysed in order to determine whether the interest rate price-discovery processes of Denmark, Norway and Sweden are efficient. Based on wavelet quantile regression analysis, we find systematic positive asymmetric price transmission (APT) inefficiencies. We conclude that there is a very high propensity for mortgage lenders to directly increase its customers’ mortgage interest rates subsequently to an increase in its borrowing costs. However, after a corresponding borrowing cost decrease, the same mortgage lenders are very slow to decrease its customers’ mortgage rates. These positive coefficients for so-called APT effects are found in all Scandinavian countries, even if the coefficients for Norway were not statistically significant. Wavelet quantile regression analysis, with a focus on the relevant higher percentiles, is easily motivated since the mortgage rates are adjusted very infrequently. Moreover, wavelet decomposition allows a robust analysis at different time frequency scales, while simultaneously controlling for nonstationary trends, autocorrelation and structural breaks. Except for the still positive but yet insignificant and inconclusive coefficients for Norway, the result is very clear-cut. Regardless of which wavelet scaling decomposition or quantile coefficient that is studied – positive APT effects are clearly identified and confirmed on the Scandinavian mortgage market.

  • 16.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    A Stationary Unbiased Finite Sample ARCH-LM Test Procedure2011In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 43, no 8, p. 1019-1033Article in journal (Refereed)
    Abstract [en]

    Engle's (1982) Autoregressive Conditional Heteroscedasticity-Lagrange Multiplier (ARCH-LM) test is the undisputed standard test to detect ARCH. In this article, Monte Carlo (MC) simulations are used to demonstrate that the test's statistical size is biased in finite samples. Two complementing remedies to the related problems are proposed. One simple solution is to simulate new unbiased critical values for the ARCH-LM test. A second solution is based on the observation that for econometrics practitioners, detection of ARCH is generally followed by remedial modelling of this time-varying heteroscedasticity by the most general and robust model in the ARCH family; the Generalized ARCH (GARCH(1,1)) model. If the GARCH model's stationarity constraints are violated, as in fact is very often the case, obviously, we can conclude that ARCH-LM's detection of conditional heteroscedasticity has no or limited practical value. Therefore, formulated as a function of whether the GARCH model's stationarity constraints are satisfied or not, an unbiased and more relevant two-stage ARCH-LM test is specified. If the primary objectives of the study are to detect and remedy the problems of conditional heteroscedasticity, or to interpret GARCH parameters, the use of this article's new two-stage procedure, 2-Stage Unbiased ARCH-LM (2S-UARCH-LM), is strongly recommended.

  • 17.
    Sjölander, Pär
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Asymmetric quantile analysis of the Swedish mortgage price discovery process2013In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 45, no 21, p. 3088-3101Article in journal (Refereed)
    Abstract [en]

    Based on Swedish banking data we discover robust and significantly positive Asymmetric Price Transmission (APT) effects over all analysed regression quantiles of our mortgage interest rates, with even larger positive APT for the higher percentiles. The analysis was enabled through unique access to a Swedish bank's (SEB) own records of their true borrowing costs. Our central contribution is that there is a higher propensity for the bank to rapidly increase its mortgage interest rates for customers following an increase in its borrowing costs, compared with the propensity for the bank to decrease its customers’ mortgage rates subsequent to a corresponding borrowing cost decrease.

  • 18.
    Sjölander, Pär
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Testing for panel unit roots in the presence of spatial dependency2013In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 45, no 29, p. 4152-4159Article in journal (Refereed)
    Abstract [en]

    In this article, the size and power properties of the Common-factor Im, Pesaran and Shin (CIPS), Wald (W), Likelihood Ratio (LR) and Lagrange Multiplier (LM) tests are investigated when the error term follows a spatial error model. In this study, the results from the Monte Carlo simulations, first, show that the CIPS test over-estimates the nominal size. Second, the simulation results show that the empirical size of the W test approaches the nominal size quickly, while the LR and LM tests underestimate the null hypothesis in both small and moderate sample sizes. Finally, the results also show that even though the LM and LR tests under-reject the true-null hypothesis they have higher power than the W test.

1 - 18 of 18
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