Change search
Refine search result
1 - 31 of 31
CiteExportLink to result list
Permanent link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Rows per page
  • 5
  • 10
  • 20
  • 50
  • 100
  • 250
Sort
  • Standard (Relevance)
  • Author A-Ö
  • Author Ö-A
  • Title A-Ö
  • Title Ö-A
  • Publication type A-Ö
  • Publication type Ö-A
  • Issued (Oldest first)
  • Issued (Newest first)
  • Created (Oldest first)
  • Created (Newest first)
  • Last updated (Oldest first)
  • Last updated (Newest first)
  • Disputation date (earliest first)
  • Disputation date (latest first)
  • Standard (Relevance)
  • Author A-Ö
  • Author Ö-A
  • Title A-Ö
  • Title Ö-A
  • Publication type A-Ö
  • Publication type Ö-A
  • Issued (Oldest first)
  • Issued (Newest first)
  • Created (Oldest first)
  • Created (Newest first)
  • Last updated (Oldest first)
  • Last updated (Newest first)
  • Disputation date (earliest first)
  • Disputation date (latest first)
Select
The maximal number of hits you can export is 250. When you want to export more records please use the Create feeds function.
  • 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.
    Habimana, Olivier
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Testing for nonlinear unit roots in the presence of a structural break2015In: Festschrift in honor of Professor Ghazi Shukur on the occasion of his 60th birthday / [ed] Thomas Holgersson, Växjö: Linnaeus University Press , 2015Chapter in book (Other academic)
  • 3.
    Habimana, Olivier
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Testing for nonlinear unit roots in the presence of a structural break with an application to the qualified PPP during the 1997 Asian financial crisis2018In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 23, no 3, p. 221-232Article in journal (Refereed)
    Abstract [en]

    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.

  • 4.
    Hacker, Scott R.
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Klaesson, Johan
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Pettersson, Lars
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Regional economic concentration and growth2013In: Metropolitan regions: Knowledge infrastructures of the global economy / [ed] Johan Klaesson, Börje Johansson, Charlie Karlsson, Berlin: Springer, 2013, p. 117-139Chapter in book (Refereed)
    Abstract [en]

    The regional relationships between agglomeration and economic growth are expected to be different in different types of regions. In the literature of the new economic geography it is common to stress the importance of access to cities with agglomeration of economic activities in the form of firms and households in order to be able to explain regional growth. However, it is also well known that many rural areas are performing fairly well in terms of employment and economic opportunities.

    The purpose of the present research is to analyze if concentration of population drives economic growth or if it is the other way around. A second question is if this relationship between concentration of population and growth is different in different types of regions.

    In order to shed light on these two questions the economic performance of three types of Swedish regions (metropolitan-, cities- and rural regions) is related to changes in population densities.

    In the empirical analysis the Shannon index is used in the measurement of regional concentration. By considering the effect of previous levels of the Shannon index on average wages we extract information on how regional concentration affects regional economic growth (expressed as growth in average wages). In the empirical analysis we employ a VAR Granger causality approach on regional Swedish yearly data from 1987 to 2006. From this analysis we are able to conclude that there are strong empirical indications that geographic agglomeration of population unidirectionally drives economic growth in metropolitan- and city regions. Concerning the rural regions no such indication is found in either direction. This is a fairly strong indication that urban regions are more dependent on economies of agglomeration compared to rural areas.

  • 5.
    Karlsson, Hyunjoo Kim
    et al.
    Department of Economics and Statistics, Linnaeus University, Växjö, Sweden.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Investigation of the nonlinear behaviour in real exchange rates in developing regions2018In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 25, no 5, p. 335-339Article in journal (Refereed)
    Abstract [en]

    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.

  • 6.
    Khalaf, Ghadban
    et al.
    Department of Mathematics, King Khalid University, Saudi Arabia.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    A Tobit Ridge Regression Estimator2014In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 43, no 1, p. 131-140Article in journal (Refereed)
    Abstract [en]

    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.

  • 7.
    Kim Karlsson, Hyunjoo
    et al.
    The Linnaeus University, Växjö, Sweden.
    Karlsson, Peter
    Jönköping University, Jönköping International Business School, JIBS, Statistics. The Linnaeus University, Växjö, Sweden .
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Wavelet quantile analysis of asymmetric pricing on the Swedish power market2017In: Empirica, ISSN 0340-8744, E-ISSN 1573-6911, Vol. 44, no 2, p. 249-260Article in journal (Refereed)
    Abstract [en]

    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.

  • 8.
    Kjellström, Sofia
    et al.
    Jönköping University, School of Health and Welfare, The Jönköping Academy for Improvement of Health and Welfare. Jönköping University, School of Health and Welfare, HHJ. IMPROVE (Improvement, innovation, and leadership in health and welfare). Jönköping University, School of Health and Welfare, HHJ. ADULT.
    Sjölander, Per
    Arctic Research Centre, Umeå University, Umeå, Sweden.
    Almers, Ellen
    Jönköping University, School of Education and Communication, HLK, School Based Research, Sustainable Development and Science education.
    McCall, Mary E.
    Samuel Merritt University, USA.
    Value systems among adolescents: Novel method for assessing level of ego-development2017In: Scandinavian Journal of Psychology, ISSN 0036-5564, E-ISSN 1467-9450, Vol. 58, no 2, p. 150-157Article in journal (Refereed)
    Abstract [en]

    Children's value systems develop through youth and influence attitudes and actions. But there is a lack of appropriate measures for children and adolescents. The objective of this study was to construct and validate a questionnaire that reveals distinct value systems among adolescents, and to evaluate the identified value systems’ relationship to degree of ego-development and moral development. A quantitative study in a Swedish School with ages 12 through 16 (grades 6 to 9) was performed (N = 204). A set of pattern recognition statistical analyses has been used to identify different profiles of values systems and demonstrate that these systems can be arranged in a hierarchical order similar to other development. Results revealed three value systems in this sample. The identified value systems reflect different degrees of moral and ego-development among children in the study. Three distinct value systems were identified: the first (n = 9) and the second value systems (n = 35) correspond to pre-conventional stages, and the third value system (n = 155) corresponds to early conventional stages of ego development. Ego development scoring of test statements to assess stages. The value system was significantly related to moral development in the personal interest and the maintaining norms schemas of the Defining Issues Test (DIT). However, many students did not complete the entire DIT, so those results should be looked at with caution. It appears that this new test (Test for Adolescent Value Systems – TAVS) does relate to an established ego development rating scale.

  • 9. Mantalos, Panagiotis
    et al.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics. Statistik.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    An Examination of the Robustness of the Vector Autoregressive Granger-Causality Test in the Presence of GARCH and Variance Shifts2007In: International Review of Business Research Papers, ISSN 1832-9543, Vol. 3, no 5, p. 280-296Article in journal (Refereed)
  • 10.
    Musafiri, Ildephonse
    et al.
    College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    The importance of off-farm employment for smallholder farmers in Rwanda2018In: Journal of economic studies, ISSN 0144-3585, E-ISSN 1758-7387, Vol. 5, no 1, p. 14-26Article in journal (Refereed)
    Abstract [en]

    Purpose: Based on unique data the authors analyze the Rwandan non-farm employment expansion in rural areas and its relation to agricultural productivity. The purpose of this paper is to analyze the factors that determine off-farm work hours in Rwanda, and how farmers’ off-farm employment affects agricultural output. Since production efficiency may depend on off-farm work and off-farm work depend on production efficiency (Lien et al., 2010), both production and off-farm work are endogenous. While controlling for endogeneity, the authors investigate the relationship between off-farm work and agricultural production.

    Design/methodology/approach: In this paper the authors use a unique panel data set spanning over 26 years originating from household surveys conducted in the northwest and densely populated districts of Rwanda. Econometric estimations are based on a random effects two-stage Tobit model to control for endogeneity.

    Findings: The study confirms theoretical and empirical findings from other developing countries that off-farm employment is one of the essential conditions for having an economically viable agricultural business and vice versa.

    Research limitations/implications: The study is carried out in only one district of Rwanda. Even though most rural areas in Rwanda have similar features the findings cannot necessarily be generalized for the entire country of Rwanda. As in any study, the raw data set suffer from a number of shortcomings which cannot be fully eliminated by the econometric estimation, but this is a new data set which has the best data available for this research question in Rwanda.

    Practical implications: The authors can conclude that there are synergy effects of investing government resources into both on-farm and off-farm employment expansions. Thus, in Rwanda on-farm investments can actually partly contribute to a future natural smooth transformation to more off-farm total output and productivity and vice versa. Though there are still limited off-farm employment opportunities in the studied area, there are considerable potentials to generate income and increase agricultural production through the purchase of additional inputs.

    Social implications: The findings imply that a favorable business climate for off-farm businesses creates spill-over effects which enhance the smallholder farmers’ opportunities to survive, generate wealth, create employment and in effect reduce poverty.

    Originality/value: From the best of the authors’ knowledge, similar studies have not been conducted in Rwanda, nor elsewhere with this type of data set. The findings provide original insights regarding off-farm and agricultural relationships in rural areas under dense population pressure. The results provide some indications that off-farm employment in developing countries (such as Rwanda) is one of the essential conditions for having an economically viable agricultural business and vice versa. The second wave of data was collected by the authors and was used solely for the purpose of this paper. 

  • 11.
    Månsson, Kristofer
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Kibria, B. M. Golam
    Department of Mathematics and Statistics, Florida International University, Miami, USA.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Statistics. Department of Economics and Statistics, Linnaeus University, Växjö, Sweden.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    On the Estimation of the CO2 Emission, Economic Growth and Energy Consumption Nexus Using Dynamic OLS in the Presence of Multicollinearity2018In: Sustainability, ISSN 2071-1050, E-ISSN 2071-1050, Vol. 10, no 5, article id 1315Article in journal (Refereed)
    Abstract [en]

    This paper introduces shrinkage estimators (Ridge DOLS) for the dynamic ordinary least squares (DOLS) cointegration estimator, which extends the model for use in the presence of multicollinearity between the explanatory variables in the cointegration vector. Both analytically and by using simulation techniques, we conclude that our new Ridge DOLS approach exhibits lower mean square errors (MSE) than the traditional DOLS method. Therefore, based on the MSE performance criteria, our Monte Carlo simulations demonstrate that our new method outperforms the DOLS under empirically relevant magnitudes of multicollinearity. Moreover, we show the advantages of this new method by more accurately estimating the environmental Kuznets curve (EKC), where the income and squared income are related to carbon dioxide emissions. Furthermore, we also illustrate the practical use of the method when augmenting the EKC curve with energy consumption. In summary, regardless of whether we use analytical, simulation-based, or empirical approaches, we can consistently conclude that it is possible to estimate these types of relationships in a considerably more accurate manner using our newly suggested method.

  • 12.
    Månsson, Kristofer
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Kibria, B. M. Golam
    Department of Mathematics and Statistics, Florida International University Miami, Florida, USA.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Improved Liu Estimators for the Poisson Regression Model2012In: International Journal of Statistics and Probability, ISSN 1927-7032, Vol. 1, no 1Article in journal (Refereed)
    Abstract [en]

    A new shrinkage estimator for the Poisson model is introduced in this paper. This method is a generalization of the Liu (1993) estimator originally developed for the linear regression model and will be generalized here to be used instead of the classical maximum likelihood (ML) method in the presence of multicollinearity since the mean squared error (MSE) of ML becomes inflated in that situation. Furthermore, this paper derives the optimal value of the shrinkage parameter and based on this value some methods of how the shrinkage parameter should be estimated are suggested. Using Monte Carlo simulation where the MSE and mean absolute error (MAE) are calculated it is shown that when the Liu estimator is applied with these proposed estimators of the shrinkage parameter it always outperforms the ML.

  • 13.
    Månsson, Kristofer
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    A New Asymmetric Interaction Ridge (AIR) Regression Method2014In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 43, no 3, p. 616-643Article in journal (Refereed)
    Abstract [en]

    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).

  • 14.
    Månsson, Kristofer
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    A New Ridge Regression Causality Test in the Presence of Multicollinearity2014In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 43, no 2, p. 235-248Article in journal (Refereed)
    Abstract [en]

    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.

  • 15.
    Månsson, Kristofer
    et al.
    Jönköping University, Jönköping International Business School.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
    Testing for nonlinear panel unit roots under cross-sectional dependency: with an application to the PPP hypothesis2014In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 38, p. 121-132Article in journal (Refereed)
    Abstract [en]

    In this paper we propose a number of nonlinear panel unit root tests that are robust to cross-sectional dependency. These tests may be used to test the null hypothesis of non-stationarity against the alternative that some or all of the time series in the system of equations follow a stationary exponential smooth transition autoregressive (ESTAR) process. In contrast to previous research we relax the assumption that the cross-correlation structure is driven by a common-factor and consider an endogenous correlation structure. Based on the size and power results from the Monte Carlo simulations we recommend using the Wald version of our cross-sectional dependent robust nonlinear panel unit root (CDR-NPU) method.

    Finally, in an empirical application we demonstrate that our more powerful nonlinear method, in contrast to previous methods, can provide support for PPP even in smaller samples. In consistency with the univariate tests in Bahmani-Oskooee et al. (2008) our CDR-NPU tests support the theory that less industrialized economies exhibit stronger and more distinct nonlinear adjustment patterns towards PPP.

  • 16.
    Månsson, Kristofer
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Statistics. Linnaeus University, Växjö, Sweden.
    Market Concentration and Market Power of the Swedish Mortgage Sector: a Wavelet Panel Efficiency Analysis2018In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708Article in journal (Refereed)
    Abstract [en]

    Based on a panel wavelet efficiency analysis, we conclude that there is a systematic pattern of positive asymmetric price transmission inefficiencies in the interest rates of the largest Swedish mortgage lenders. Thus, there seems to be a higher propensity for mortgage lenders to swiftly increase their customers’ mortgage interest rates subsequent to an increase in its borrowing costs, than to decrease their customers’ mortgage rates subsequent to a corresponding decrease in the cost of borrowing. A unique contribution is our proposed wavelet method which enables a robust detection of positive asymmetric price transmission effects at various time-frequency scales, while simultaneously controlling for non-stationary trends, autocorrelation, and structural breaks. Since traditional time-series analysis methods essentially implies that several wavelet time scales are aggregated into one single time series, the blunt traditional error correction analysis totally failed to discover APT effects for this data set. In summary, using the wavelet method we show that even though the customers in the end finally will benefit from decreases in the mortgage lenders’ financing costs, the lenders wait disproportionally long before the customers’ mortgage rates are decreased.

  • 17.
    Pettersson, Lars
    et al.
    Jönköping University, Jönköping International Business School.
    Widell, Lars M.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Do startups in the agricultural sector generate employment in the rest of the economy?: An arellano-bond dynamic panel study2011In: Social Capital and Development Trends in Rural Areas Vol. 6 / [ed] Kiyoshi Kobayashi, Hans Westlund, Hayeong Jeong, MARG , 2011, p. 255-273Chapter in book (Refereed)
    Abstract [en]

    By means of an Arellano-Bond dynamic panel data study of Swedish data over 1993-2004, it is concluded that startups in the agricultural and forestry sector may cause startups in the remaining sectors of the Swedish economy. Thus, new entries in the agricultural and forestry sector may lead to dynamic effects, which may lead to employment in completely other sectors of the economy. The agricultural and forestry small-business sector is therefore a very important factor in the quest to reduce unemployment and to increase the economic growth in Sweden. Another important finding, outside of the main purpose of this paper, is that the per capita propensity to start a new firm is significantly higher in rural areas compared to urban areas. Consequently, people in rural areas are more entrepreneurial per capita (in the context of starting new firms) compared to the population living in urban areas. A substantially high fraction of the rural population faces the forced option of unemployment or self-employment. However, fortunately, a disproportionally high share of the rural population chooses the latter alternative.

  • 18.
    Shukur, Ghazi
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Mantalos, Panagiotis
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    The Effect of the GARCH(1,1) on the Granger Causality Test in Stable VAR Models2007In: Journal of Modern Applied Statistical Methods, ISSN 1538-9472, Vol. 6, no 2, p. 476-486Article in journal (Refereed)
  • 19.
    Shukur, Ghazi
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Developing interaction shrinkage parameters for the Liu estimator — with an application to the electricity retail market2015In: Computational Economics, ISSN 0927-7099, E-ISSN 1572-9974, Vol. 46, no 4, p. 539-550Article in journal (Refereed)
    Abstract [en]

    In this article we examine multicollinearity in the standard OLS interaction-term model—a problem often disregarded by practitioners and in previous research. As a remedy we propose a number of new shrinkage parameters based on the Liu (Commun Stat 22:393–402, 1993) estimator. Using Monte Carlo simulations, we evaluate the robustness of all models for different data-generating processes under varying conditions such as altered sample sizes and error distributions. In the simulation study it is demonstrated that the Liu estimator, which is robust to multicollinearity, systematically outperforms the traditionally applied OLS approach. The simple reason is that interaction models by definition always induce substantial multicollinearity, which in turn distorts the inference of OLS. Conversely, the Liu estimator is robust against multicollinearity in interaction-term models. The advantages of our Liu-based method are also demonstrated in practice when examining the efficiency of the Swedish power retailing market. By the use of this unique data set we find strong evidence of positive asymmetric price transmission effects. Increases in Nord Pool electricity wholesale spot prices lead to immediate and full increases in the electricity retail prices, but decreases in Nord Pool prices are not completely passed down or are delayed before being passed down to consumers. This finding suggests evidence of inefficient and unjust wealth transfers from consumers to retailers in the Swedish power market.

  • 20.
    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, Statistics.
    A new nonlinear asymmetric cointegration approach using error correction models2017In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 46, no 2, p. 1661-1668Article in journal (Refereed)
    Abstract [en]

    In this article, two new powerful tests for cointegration are proposed. The general idea is based on an intuitively appealing extension of the traditional, rather restrictive cointegration concept. In this article, we allow for a nonlinear, but most importantly a different, asymmetric convergence process to account for negative and positive changes in our cointegration approach. Using Monte Carlo simulations we verify, that the estimated size of the first test depends on the unknown value of a signal-to-noise ratio q. However, our second test—which is based on the original ideas of Kanioura and Turner—is more successful and robust in the sense that it works in all of the different evaluated situations. Furthermore it is shown to be more powerful than the traditional residual based Enders and Siklos method. The new optimal test is also applied in an empirical example in order to test for potential nonlinear asymmetric price transmission effects on the Swedish power market. We find that there is a higher propensity for power retailers to rapidly and systematically increase their retail electricity prices subsequent to increases in Nordpool's wholesale prices, than there is for them to reduce their prices subsequent to a drop in wholesale spot prices.

  • 21.
    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.

  • 22.
    Sjölander, Per
    et al.
    Void Institute, Sweden.
    Lindström, Nina
    Southern Lapland Research Department, Sweden.
    Ericsson, AnnJessica
    Void Institute, Sweden.
    Kjellström, Sofia
    Jönköping University, School of Health and Welfare, HHJ, Institute of Gerontology. Jönköping University, School of Health and Welfare, HHJ. Ageing - living conditions and health.
    A pattern recognition method for disclosing different levels of value system from questionnaire data2014In: The Behavioral Development Bulletin, ISSN 1942-0722, Vol. 19, no 3, p. 112-125Article in journal (Refereed)
    Abstract [en]

    The aim of the present study was to describe, test and validate a method for disclosing significant response patterns from questionnaire data, and for classifying individual response profiles into a sequence of significant patterns. The method is based on pattern recognition statistics and probability calculations. The results from the population tested show that the method can disclose characteristic profiles of different value systems, and that these systems can be arranged in a hierarchical order similar to the conventional levels of ego development. It is suggested that this method is applicable to any multiple choice-questionnaire containing a number of items where the response alternatives represent a sequential order, for example, of different levels of development within a psychological domain. The method might be a valuable tool for acquiring information on the distribution of different levels of adult development in large populations, such as in communities and large organizations.

  • 23.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    A New Test for Simultaneous Estimation of Unit Roots and GARCH Risk in the Presence of Stationary Conditional Heteroscedasticity Disturbances2008In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 18, no 7, p. 527-558Article in journal (Refereed)
    Abstract [en]

    According to previous research, standard unit root tests are considered robust to stationary GARCH distortions. These conclusions are in fact correct when the number of observations is extraordinarily high. However, simulation experiments in this study, using more normal sample sizes, reveal that eight of the most commonly applied unit root tests exhibit considerable bias in the size in the presence of fairly moderate GARCH distortions. As a remedy for the disturbances from GARCH, this paper presents size-corrected unbiased critical values for all these examined tests. Nevertheless there is still reduced power in the presence of stationary GARCH distortions. As a solution, a completely new test is formulated which simultaneously models unit roots and the interconnected parameters of GARCH risk. For empirically relevant sample sizes, this new test exhibits superior size and power properties compared with all the traditional unit root tests in the presence of GARCH disturbances.

  • 24. Sjölander, Pär
    A ridge bootstrap method for analyzing APT effects on the mortgage loan market2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 30, p. 844-855Article in journal (Refereed)
    Abstract [en]

    Significantly positive asymmetric price transmission (APT) effects are concluded on the Swedish mortgage loan market. This finding was established based on unique banking data in combination with our newly developed econometric method which is insensitive to the banks' variations in liquidity and capital costs. It is established that there is a higher propensity for the bank to rapidly and systematically increase its fixed mortgage interest rates for customers subsequently to an increase in its borrowing costs, compared with the propensity for the bank to decrease its customers' mortgage rates subsequently to a corresponding borrowing cost decrease.

  • 25.
    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.

  • 26.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Are the Basel (II) Requirements Justified in the Presence of Structural Breaks?2009In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 19, no 12, p. 985-998Article in journal (Refereed)
  • 27.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Simulation-Based Approaches in Financial Econometrics2007Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

    This doctoral thesis consists of four chapters all related to the field of financial econometrics. The main contributions are based on the empirical evaluation of theories in or related to financial economics supported by the recent advances of models and simulation-based methods in time-series econometrics.

    In chapter II, following the summarizing introductory chapter, a new unit root test is developed which by the use of simulation is demonstrated to be robust in the presence of generalized conditional heteroscedasticity (GARCH) distortions. In the presence of GARCH disturbances, for empirically relevant sample sizes, this new test exhibits superior statistical size and power properties compared with a sample of eight commonly used traditional unit root tests.

    In chapter III, a combination of an empirical and simulation-based evaluation of the theory of long-run purchasing power parity (PPP) is conducted. It is demonstrated that the traditional unit root tests of PPP are non-robust to the empirically identified GARCH distortions in the real exchange rates (RER). Therefore, based on this study and currently existing research, it appears virtually impossible to empirically come to a credible conclusion regarding whether long-run PPP holds or not.

    In chapter IV certain financial stability requirements of the Basel (II) Accord are scrutinized. It is concluded that the Basel requirement of an estimation period that is at least one year long for the calculation of minimum capital risk requirements is not empirically justified.

  • 28.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Economics.
    Unreal Exchange Rates: A Simulation-Based Approach to Adjust Misleading PPP Estimates2007In: Journal of economic studies, ISSN 0144-3585, E-ISSN 1758-7387, Vol. 34, no 3, p. 256-288Article in journal (Refereed)
    Abstract [en]

    Currently, the theory of long-run purchasing power parity (PPP) attains its strongest support in more than thirty years. In this paper, the validity of the PPP revisionists’ scientific evidence supporting long-run PPP is questioned based on the replication of an influential review study that is considered by PPP revisionists to exhibit “some of the strongest evidence” in favour of the PPP theory. By simulation experiments it is demonstrated that the traditional PPP unit root tests are non-robust to the empirically identified (G)ARCH distortions. Due to (G)ARCH distortions, over-rejections for the traditional unit root tests are shown to be a problem that potentially misleads researchers to believe that long-run PPP holds under circumstances when it is in fact not valid. As a potential remedy to this problem, a new unit root test is introduced which is robust to conditional heteroscedasticity disturbances, and in contrast to traditional unit root tests, it exhibits no significant empirical support for the PPP theory. The study illustrates that the PPP revisionists’ unit root tests cannot reliably test the PPP hypothesis in the presence of (G)ARCH distortions, due to bad power and size properties. Perhaps it is time to conclude that, based on the currently existing research, it is virtually impossible to empirically come to a credible conclusion regarding whether long-run PPP holds or not.

  • 29.
    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.

  • 30.
    Sjölander, Pär
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Statistics. HUI Research, Stockholm, Sweden.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Statistics. HUI Research, Stockholm, Sweden.
    Shukur, Ghazi
    Jönköping University, Jönköping International Business School, JIBS, Statistics. HUI Research, Stockholm, Sweden; Department of Economics and Statistics, Linnaeus University, Sweden.
    Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis2017In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 46, no 3, p. 1735-1745Article in journal (Refereed)
    Abstract [en]

    In this article, three innovative panel error-correction model (PECM) tests are proposed. These tests are based on the multivariate versions of the Wald (W), likelihood ratio (LR), and Lagrange multiplier (LM) tests. Using Monte Carlo simulations, the size and power of the tests are investigated when the error terms exhibit both cross-sectional dependence and independence. We find that the LM test is the best option when the error terms follow independent white-noise processes. However, in the more empirically relevant case of cross-sectional dependence, we conclude that the W test is the optimal choice. In contrast to previous studies, our method is general and does not rely on the strict assumption that a common factor causes the cross-sectional dependency. In an empirical application, our method is also demonstrated in terms of the Fisher effect—a hypothesis about the existence of which there is still no clear consensus. Based on our sample of the five Nordic countries we utilize our powerful test and discover evidence which, in contrast to most previous research, confirms the Fisher effect.

  • 31.
    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 - 31 of 31
CiteExportLink to result list
Permanent link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf