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  • 51.
    Shukur, Ghazi
    et al.
    Linnéuniversitetet, Fakultetsnämnden för ekonomi och design, Ekonomihögskolan, ELNU.
    Hatemi-J, Abdulnasser
    A Multivariate Based Causality Test of Twin Deficits in US2002Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 29, s. 817-824Artikel i tidskrift (Refereegranskat)
  • 52.
    Shukur, Ghazi
    et al.
    Linnéuniversitetet, Fakultetsnämnden för ekonomi och design, Ekonomihögskolan, ELNU.
    Hussain, Shakir
    Linnéuniversitetet, Fakultetsnämnden för ekonomi och design, Ekonomihögskolan, ELNU.
    Estimation and Forecasting of Hospital Admission Due to Influenza - Planning for Winter Pressure2005Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 32, nr 3, s. 191-205Artikel i tidskrift (Refereegranskat)
  • 53.
    Shukur, Ghazi
    et al.
    Linnéuniversitetet, Fakultetsnämnden för ekonomi och design, Ekonomihögskolan, ELNU.
    Hussain, Shakir
    Linnéuniversitetet, Fakultetsnämnden för ekonomi och design, Ekonomihögskolan, ELNU.
    Testing for Autocorrelation in Non-stationary Dynamic Systems of Equations2003Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 30, nr 4, s. 441-454Artikel i tidskrift (Refereegranskat)
  • 54.
    Shukur, Ghazi
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Hussain, Shakir
    Testing for Autocorrelation in Non-stationary Dynamic Systems of Equations2003Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 30, nr 4, s. 441-454Artikel i tidskrift (Refereegranskat)
  • 55.
    Shukur, Ghazi
    et al.
    Göteborg University.
    Mantalos, Panagiotis
    Lund University.
    A Simple Investigation of the Granger-Causality Test in Integrated-Cointegrated VAR Systems2000Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 27, nr 8, s. 1021-1031Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The size and power of various generalization tests for the Granger-causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods, properties of eight versions of the test are studied in two different forms, the standard form and the modified form by Dolado & Lütkepohl (1996) in a study confined to properties of the Wald test only. In their study as well as in ours, both the standard and the modified Wald tests are shown to perform badly especially in small samples. We find, however, that the corrected LR tests exhibit correct size even in small samples. The power of the test is higher when the true VAR(2) model is estimated, and the modified test loses information by estimating the extra coefficients. The same is true when considering the power results in the VAR(3) model, and the power of the tests is somewhat lower than those in the VAR(2).

  • 56.
    Shukur, Ghazi
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Mantalos, Panagiotis
    A Simple Investigation of the Granger-Causality Test in Integrated-Cointegrated VAR Systems2000Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 27, nr 8, s. 1021-1031Artikel i tidskrift (Refereegranskat)
  • 57.
    Shukur, Ghazi
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    Mantalos, Panagiotis
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
    The Effect of the Spillover on the Granger Causality Test2010Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 37, nr 9, s. 1473-1486Artikel i tidskrift (Refereegranskat)
  • 58.
    Shukur, Ghazi
    et al.
    Linnéuniversitetet, Fakultetsnämnden för ekonomi och design, Ekonomihögskolan, ELNU.
    Zeebari, Zangin
    Median Regression for SUR Models with the Same Explanatory Variables in Each Equation2012Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 39, nr 8, s. 1765-1779Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this paper we introduce an interesting feature of the Generalized Least Absolute Deviations (GLAD) method for Seemingly Unrelated Regression Equations (SURE) models. Contrary to the collapse of Generalized Least Squares (GLS) parameter estimations of SURE models to the Ordinary Least Squares (OLS) estimations of the individual equations when the same regressors are common between all equations, the estimations of the proposed methodology are not identical to the Least Absolute Deviations (LAD) estimations of the individual equations. This is important since contrary to the least squares methods, one can take advantage of efficiency gain due to cross-equation correlations even if the system includes the same regressors in each equation.

  • 59.
    Shukur, Ghazi
    et al.
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Zeebari, Zangin
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Median regression for SUR models with the same explanatory variables in each equation2012Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 39, nr 8, s. 1765-1779Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this paper we introduce an interesting feature of the generalized least absolute deviations method for seemingly unrelated regression equations (SURE) models. Contrary to the collapse of generalized leasts-quares parameter estimations of SURE models to the ordinary least-squares estimations of the individual equations when the same regressors are common between all equations, the estimations of the proposed methodology are not identical to the least absolute deviations estimations of the individual equations. This is important since contrary to the least-squares methods, one can take advantage of efficiency gain due to cross-equation correlations even if the system includes the same regressors in each equation.

  • 60.
    Stockhammar, Pär
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Öller, Lars-Erik
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    On the probability distribution of economic growth2011Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 38, nr 9, s. 2023-2041Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Three important and significantly heteroscedastic gross domestic product series are studied. Omnipresent heteroscedasticity is removed and the distributions of the series are then compared to normal, normal mixture and normal-asymmetric Laplace (NAL) distributions. NAL represents a skewed and leptokurtic distribution, which is in line with the Aghion and Howitt [1] model for economic growth, based on Schumpeter's idea of creative destruction. Statistical properties of the NAL distributions are provided and it is shown that NAL fits the data better than the alternatives.

  • 61.
    Thorburn, Daniel
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Tongur, Can
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Assessing direct and indirect seasonal decomposition in state space2014Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 41, nr 9, s. 2075-2091Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The problem of whether seasonal decomposition should be used prior to or after aggregation of time series is quite old. We tackle the problem by using a state-space representation and the variance/covariance structure of a simplified one-component model. The variances of the estimated components in a two-series system are compared for direct and indirect approaches and also to a multivariate method. The covariance structure between the two time series is important for the relative efficiency. Indirect estimation is always best when the series are independent, but when the series or the measurement errors are negatively correlated, direct estimation may be much better in the above sense. Some covariance structures indicate that direct estimation should be used while others indicate that an indirect approach is more efficient. Signal-to-noise ratios and relative variances are used for inference.

  • 62.
    Ul Hassan, Mahmood
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Stockhammar, Pär
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Fitting probability distributions to economic growth: a maximum likelihood approach2016Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 43, nr 9, s. 1583-1603Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    The growth rate of the gross domestic product (GDP) usually carries heteroscedasticity, asymmetry and fat-tails. In this study three important and significantly heteroscedastic GDP series are examined. A Normal, normal-mixture, normal-asymmetric Laplace distribution and a Student's t-Asymmetric Laplace (TAL) distribution mixture are considered for distributional fit comparison of GDP growth series after removing heteroscedasticity. The parameters of the distributions have been estimated using maximum likelihood method. Based on the results of different accuracy measures, goodness-of-fit tests and plots, we find out that in the case of asymmetric, heteroscedastic and highly leptokurtic data the TAL-distribution fits better than the alternatives. In the case of asymmetric, heteroscedastic but less leptokurtic data the NM fit is superior. Furthermore, a simulation study has been carried out to obtain standard errors for the estimated parameters. The results of this study might be used in e.g. density forecasting of GDP growth series or to compare different economies.

  • 63.
    Wang, Xiaoqin
    et al.
    Högskolan i Gävle, Akademin för teknik och miljö, Avdelningen för elektronik, matematik och naturvetenskap, Matematik.
    Ye, Weimin
    Department of Medical Epidemiology and Biostatistics, Karolinska Institute, Stockholm, Sweden.
    Yin, Li
    Department of Medical Epidemiology and Biostatistics, Karolinska Institute, Stockholm, Sweden.
    Measuring and estimating the interaction between exposures on a dichotomous outcome for observational studies2017Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 44, nr 14, s. 2483-2498Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In observational studies for the interaction between exposures on a dichotomous outcome of a certain population, usually one parameter of a regression model is used to describe the interaction, leading to one measure of the interaction. In this article we use the conditional risk of an outcome given exposures and covariates to describe the interaction and obtain five different measures of the interaction, that is, difference between the marginal risk differences, ratio of the marginal risk ratios, ratio of the marginal odds ratios, ratio of the conditional risk ratios, and ratio of the conditional odds ratios. These measures reflect different aspects of the interaction. By using only one regression model for the conditional risk, we obtain the maximum-likelihood (ML)-based point and interval estimates of these measures, which are most efficient due to the nature of ML. We use the ML estimates of the model parameters to obtain the ML estimates of these measures. We use the approximate normal distribution of the ML estimates of the model parameters to obtain approximate non-normal distributions of the ML estimates of these measures and then confidence intervals of these measures. The method can be easily implemented and is presented via a medical example.

  • 64.
    Wegmann, Bertil
    Linköpings universitet, Institutionen för datavetenskap, Statistik. Linköpings universitet, Filosofiska fakulteten.
    Bayesian comparison of private and common values in structural second-price auctions2015Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 42, nr 2, s. 380-397Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Private and common values (CVs) are the two main competing valuation models in auction theory and empirical work. In the framework of second-price auctions, we compare the empirical performance of the independent private value (IPV) model to the CV model on a number of different dimensions, both on real data from eBay coin auctions and on simulated data. Both models fit the eBay data well with a slight edge for the CV model. However, the differences between the fit of the models seem to depend to some extent on the complexity of the models. According to log predictive score the IPV model predicts auction prices slightly better in most auctions, while the more robust CV model is much better at predicting auction prices in more unusual auctions. In terms of posterior odds, the CV model is clearly more supported by the eBay data.

  • 65.
    Xavier, de Luna
    et al.
    Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Statistik.
    Lundin, Mathias
    Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Statistik.
    Sensitivity analysis of the unconfoundedness assumption with an application to an evaluation of college choice effects on earnings2014Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 41, nr 8, s. 1767-1784Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    We evaluate the effects of college choice on earnings using Swedish register databases. This case study is used to motivate the introduction of a novel procedure to analyse the sensitivity of such an observational study to the assumption made that there are no unobserved confounders – variables affecting both college choice and earnings. This assumption is not testable without further information, and should be considered an approximation of reality. To perform a sensitivity analysis, we measure the departure from the unconfoundedness assumption with the correlation between college choice and earnings when conditioning on observed covariates. The use of a correlation as a measure of dependence allows us to propose a standardised procedure by advocating the use of a fixed value for the correlation, typically 1% or 5%, when checking the sensitivity of an evaluation study. A correlation coefficient is, moreover, intuitive to most empirical scientists, which makes the results of our sensitivity analysis easier to communicate than those of previously proposed methods. In our evaluation of the effects of college choice on earnings, the significantly positive effect obtained could not be questioned by a sensitivity analysis allowing for unobserved confounders inducing at most 5% correlation between college choice and earnings.

  • 66.
    Zeebari, Zangin
    Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
    Developing ridge estimation method for median regression2012Ingår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 39, nr 12, s. 2627-2638Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    In this paper, the ridge estimation method is generalized to the median regression. Though the least absolute deviation (LAD) estimation method is robust in the presence of non-Gaussian or asymmetric error terms, it can still deteriorate into a severe multicollinearity problem when non-orthogonal explanatory variables are involved. The proposed method increases the efficiency of the LAD estimators by reducing the variance inflation and giving more room for the bias to get a smaller mean squared error of the LAD estimators. This paper includes an application of the new methodology and a simulation study as well.

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