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Ankargren, S. & Lyhagen, J. (2018). Estimating a VECM for a small open economy. Uppsala University
Open this publication in new window or tab >>Estimating a VECM for a small open economy
2018 (English)Report (Other academic)
Abstract [en]

One of the most popular ways to model macro economic variables is bythe vector error correction model (VECM). Besides forecasting and testing ofhypotheses, the  VECM is often used for calculating impulse responses, whichdescribe how shocks today aect the variables in the future. In economic theory,a small open economy denotes the economy of a country which is toosmall to inuence the surrounding world. The surrounding world can, for thisreason, be seen as exogenous relative to the economy of this small open economy.The main contribution of this paper is the proposal of how to estimatea VECM with exogeneity restrictions on both the short-run dynamics andthe short-run adjustment parameters between small open economies and thesurrounding world. A Monte Carlo simulation of impulse responses showsthat the proposed model is considerably more ecient compared to modelsfully or partially ignoring exogeneity. It is also shown that the empirical sizewhen testing for the number of long-run relations is closer to the nominalsize. Using two Swedish macroeconomic data sets the proposed method isapplied to estimate the models under weak exogeneity and Granger noncausality,respectively. We nd for some variables large deviances in impulseresponses between our proposed model incorporating both types of restrictionsand models using none or only one type of restriction, thus illustratingthe need for imposing the full set of restrictions instead of settling for just one.

Place, publisher, year, edition, pages
Uppsala University, 2018. p. 32
Series
Working paper / Department of Statistics, Uppsala University ; 2018:2
Keywords
VECM; Impulse responses; Small open economy; Exogeneity, Cointegration
National Category
Probability Theory and Statistics
Identifiers
urn:nbn:se:uu:diva-357470 (URN)
Funder
The Jan Wallander and Tom Hedelius Foundation, P2016-0293:1
Available from: 2018-08-16 Created: 2018-08-16 Last updated: 2018-08-17Bibliographically approved
John, Ö., Lyhagen, J. & Reggiani, A. (2016). A new way of determining distance decay parameters in spatial interaction models with application to job accessibility analysis in Sweden. European Journal of Transport and Infrastructure Research, 16(2), 344-362
Open this publication in new window or tab >>A new way of determining distance decay parameters in spatial interaction models with application to job accessibility analysis in Sweden
2016 (English)In: European Journal of Transport and Infrastructure Research, ISSN 1567-7133, E-ISSN 1567-7141, Vol. 16, no 2, p. 344-362Article in journal (Refereed) Published
Abstract [en]

In this paper we explore and compare various techniques for the calculation of distance decay parameters which are estimated using statistical methods with half-life decay parameters which are derived mathematically. Half-life models appear to be a valid alternative to traditional spatial interaction models, especially in the presence of spatially highly disaggregate data. Our results indicate that Half-life models are more accurate for the construction of decay parameters than are unconstrained spatial interaction models in 'medium' sized datasets but not as accurate as doubly-constrained models. However, using highly detailed and disaggregate datasets Half-life models may be viable alternatives to doubly-constrained spatial interaction models as the latter will be difficult to estimate when the number of origins and destinations increase. In addition, Half-life models rise in accuracy with increasing degrees of disaggregation due to reductions of systematic errors between observed individual level commuting distance and modelled distances between origins and destinations.

In sum, our findings are as follows. First, since unconstrained and doubly-constrained spatial interaction models become increasingly difficult to estimate and/or less accurate to use compared to Half-life models as the spatial disaggregation increases choice of decay parameter estimation model should be considered in relation to level of disaggregation. Secondly, Half-life models are not affected by the systematic errors observed in the statistically derived models. Finally, using Half-life models for the estimation of decay parameters is simple which may make it easy to employ among practitioners lacking skills or computer means for the estimation of more complex statistically derived models.

National Category
Economic Geography
Identifiers
urn:nbn:se:uu:diva-281078 (URN)000372328000004 ()
Funder
Swedish Research Council, 2012-5509
Available from: 2016-03-17 Created: 2016-03-17 Last updated: 2017-11-30Bibliographically approved
Petra, O. & Lyhagen, J. (2016). Asymptotic properties of Spearman's rank correlation for variables with finite support. PLoS ONE, 11(1), Article ID e0145595.
Open this publication in new window or tab >>Asymptotic properties of Spearman's rank correlation for variables with finite support
2016 (English)In: PLoS ONE, ISSN 1932-6203, E-ISSN 1932-6203, Vol. 11, no 1, article id e0145595Article in journal (Refereed) Published
Abstract [en]

The asymptotic variance and distribution of Spearman's rank correlation have previously been known only under independence. For variables with finite support, [1] has derived the population version of Spearman's rank correlation. Using her results, we show convergence to a normal distribution irrespectively of dependence, and derive the asymptotic variance. A small simulation study indicates that the asymptotic properties are of practical importance.

National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
urn:nbn:se:uu:diva-268658 (URN)10.1371/journal.pone.0145595 (DOI)000367801400041 ()26730491 (PubMedID)
Available from: 2015-12-09 Created: 2015-12-09 Last updated: 2017-12-01Bibliographically approved
Ander, M., Grönqvist, H., Cernvall, M., Engvall, G., Hedström, M., Ljungman, G., . . . von Essen, L. (2016). Development of health-related quality of life and symptoms of anxiety and depression among persons diagnosed with cancer during adolescence: a 10-year follow-up study. Psycho-Oncology, 25(5), 582-589
Open this publication in new window or tab >>Development of health-related quality of life and symptoms of anxiety and depression among persons diagnosed with cancer during adolescence: a 10-year follow-up study
Show others...
2016 (English)In: Psycho-Oncology, ISSN 1057-9249, E-ISSN 1099-1611, Vol. 25, no 5, p. 582-589Article in journal (Refereed) Published
Abstract [en]

Objective: The main aim was to investigate the development of health-related quality of life (HRQOL) and symptoms of anxiety and depression in a cohort diagnosed with cancer during adolescence from shortly after up to 10 years after diagnosis.

Methods: Participants (n = 61) completed the SF-36 and the HADS shortly; six, 12, and 18 months; and two, three, four, and 10 years (n = 28) after diagnosis. Polynomial change trajectories were used to model development.

Results: Polynomial change trajectories showed an initial increase which abated over time into a decrease which abated over time for the SF-36 subscales Mental Health and Vitality; an initial decline which abated over time into an increase for HADS anxiety; and an initial decline which abated over time into an increase which abated over time for HADS depression. The SF-36 mental component summary showed no change from two to 10 years after diagnosis whereas the SF-36 physical component summary showed an increase from two years after diagnosis which declined over time. Ten years after diagnosis 29% reported possible anxiety.

Conclusions: Development of HRQOL and symptoms of anxiety and depression appears to be nonlinear among persons diagnosed with cancer during adolescence. Well into permanent survivorship an increase in symptoms of anxiety is shown and approximately a third of the participants report possible anxiety. The findings indicate the need for: studies designed to pinpoint the times of highest psychological risk, clinical follow-up focusing on psychological problems, and development of effective psychological interventions for survivors of adolescent cancer

National Category
Cancer and Oncology Psychology (excluding Applied Psychology)
Identifiers
urn:nbn:se:uu:diva-262514 (URN)10.1002/pon.3965 (DOI)000374494700014 ()26361085 (PubMedID)
External cooperation:
Funder
Swedish Cancer Society, 99 0347 01 0235 02 0690 03 0227 05 0189 10 0649 11 0649 12 0649Swedish Childhood Cancer Foundation, 1999/021 02/002 04/011 07/044 10/086
Available from: 2015-09-16 Created: 2015-09-16 Last updated: 2017-12-04Bibliographically approved
Larsson, R., Lyhagen, J. & Westerlund, J. (2016). Likelihood Ratio Tests for a Unit Root in Panels with Random Effects. Statistics (Berlin)
Open this publication in new window or tab >>Likelihood Ratio Tests for a Unit Root in Panels with Random Effects
2016 (English)In: Statistics (Berlin), ISSN 0233-1888, E-ISSN 1029-4910Article in journal (Refereed) Published
Abstract [en]

Because of the fixed heterogeneity of their models, most panel unit root tests impose restrictions on the rate at which the number of time periods, T, and the number of  rosssection units, N, go to infinity. A common example of such a restriction is N/T → 0, which in practice means that T >> N, a condition that is not always met. In the current paper the heterogeneity is given a parsimonious random effects specification, which is used as a basis for developing a new likelihood ratio test for a unit root. The asymptotic analysis shows that the new test is valid for all (N, T) expansion paths satisfying N/T5 0, which represents a substantial improvement when compared to the existing fixed effects literature.

Keywords
unit root, panel data, random effects, C12, C13, C33
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
urn:nbn:se:uu:diva-303683 (URN)10.1080/02331888.2016.1266630 (DOI)000399481400009 ()
Funder
Knut and Alice Wallenberg FoundationThe Jan Wallander and Tom Hedelius Foundation, P2014-0112:1
Available from: 2016-09-22 Created: 2016-09-22 Last updated: 2017-05-23Bibliographically approved
Lyhagen, J., Ekberg, S. & Eidestedt, R. (2015). Beating the VAR: Improving Swedish GDP Forecasts Using Error and Intercept Corrections. Journal of Forecasting, 34(5), 354-363
Open this publication in new window or tab >>Beating the VAR: Improving Swedish GDP Forecasts Using Error and Intercept Corrections
2015 (English)In: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 34, no 5, p. 354-363Article in journal (Refereed) Published
Abstract [en]

This paper examines the forecast accuracy of an unrestricted vector autoregressive (VAR) model for GDP, relative to a comparable vector error correction model (VECM) that recognizes that the data are characterized by co-integration. In addition, an alternative forecast method, intercept correction, is considered for further comparison. Recursive out-of-sample forecasts are generated for both models and forecast techniques. The generated forecasts for each model are objectively evaluated by a selection of evaluation measures and equal accuracy tests. The result shows that the VECM consistently outperforms the VAR models. Further, intercept correction enhances the forecast accuracy when applied to the VECM, whereas there is no such indication when applied to the VAR model. For certain forecast horizons there is a significant difference in forecast ability between the intercept corrected VECM compared to the VAR model.

Keywords
forecast accuracy, vector error correction, vector autoregressive, co-integration, intercept correction and Diebold-Mariano test
National Category
Probability Theory and Statistics
Identifiers
urn:nbn:se:uu:diva-260276 (URN)10.1002/for.2329 (DOI)000358009600002 ()
Available from: 2015-08-21 Created: 2015-08-18 Last updated: 2017-12-04Bibliographically approved
Lyhagen, J. & Rickne, J. (2014). Income inequality between Chinese regions: newfound harmony or continued discord?. Empirical Economics, 47(1), 93-110
Open this publication in new window or tab >>Income inequality between Chinese regions: newfound harmony or continued discord?
2014 (English)In: Empirical Economics, ISSN 0377-7332, E-ISSN 1435-8921, Vol. 47, no 1, p. 93-110Article in journal (Refereed) Published
Abstract [en]

This paper develops an improved test of economic convergence or divergence using time series methods by introducing nonlinear trends in the form of logarithmic trend functions into the vector error correction model. The usefulness of the method is illustrated in an analysis of the growth pattern between Chinese regions in 1952-2007. Comparing all combinations of regional pairs, the analysis yields support for economic divergence in roughly half of the cases. In the other half, we instead find that regions have grown while maintaining stable income differences. As such, the results show the co-existence of divergence and conditional convergence among China's regions.

Keywords
China, Output convergence, Nonlinear cointegration, VECM, Regional analysis
National Category
Other Social Sciences
Identifiers
urn:nbn:se:uu:diva-230069 (URN)10.1007/s00181-013-0745-y (DOI)000339103000006 ()
Available from: 2014-09-03 Created: 2014-08-19 Last updated: 2017-12-05Bibliographically approved
Wei, J. & Lyhagen, J. (2013). Bootstrap versus Bartlett type correction of the Dickey-Fuller test. Department of Statistics, Uppsala University
Open this publication in new window or tab >>Bootstrap versus Bartlett type correction of the Dickey-Fuller test
2013 (English)Report (Other academic)
Place, publisher, year, edition, pages
Department of Statistics, Uppsala University, 2013. p. 19
Series
Working paper / Department of Statistics, Uppsala University ; 2013:6
National Category
Other Social Sciences
Research subject
Statistics
Identifiers
urn:nbn:se:uu:diva-202748 (URN)
Available from: 2013-06-26 Created: 2013-06-26 Last updated: 2014-11-06Bibliographically approved
Lyhagen, J. & Kraus, K. (2013). The small sample performance of estimators of the standard errors of structural equation models. Journal of Statistical Computation and Simulation, 83(3), 458-471
Open this publication in new window or tab >>The small sample performance of estimators of the standard errors of structural equation models
2013 (English)In: Journal of Statistical Computation and Simulation, ISSN 0094-9655, E-ISSN 1563-5163, Vol. 83, no 3, p. 458-471Article in journal (Refereed) Published
Abstract [en]

n this paper, we compare five asymptotically, under a correctly specified likelihood, equivalent estimators of the standard errors for parameters in structuralequation models. The estimators are evaluated under different conditions regarding (i)sample size, varying between N=50 and 3200, (ii) distributional assumption of the latent variables and the disturbance terms, namely normal, and heavy tailed (t), and (iii) thecomplexity of the model. For the assessment of the five estimators we use overallperformance, relative bias, MSE and coverage of confidence intervals. The analysis reveals substantial differences in the performance of the five asymptotically equalestimators. Most diversity was found for t distributed, i.e. heavy tailed, data.

Keywords
information matrix, sandwich estimator Monte Carlo simulation, estimators of standard errors, small sample sizes, structural equation modelling, SEM
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
urn:nbn:se:uu:diva-206147 (URN)
Available from: 2013-08-28 Created: 2013-08-28 Last updated: 2017-12-06
Lyhagen, J. & Kraus, K. (2013). The small sample performance of estimators of the standard errors of structural equation models. Journal of Statistical Computation and Simulation, 83(3), 458-471
Open this publication in new window or tab >>The small sample performance of estimators of the standard errors of structural equation models
2013 (English)In: Journal of Statistical Computation and Simulation, ISSN 0094-9655, E-ISSN 1563-5163, Vol. 83, no 3, p. 458-471Article in journal (Refereed) Published
Abstract [en]

n this paper, we compare five asymptotically, under a correctly specified likelihood, equivalent estimators of the standard errors for parameters in structuralequation models. The estimators are evaluated under different conditions regarding (i)sample size, varying between N=50 and 3200, (ii) distributional assumption of the latent variables and the disturbance terms, namely normal, and heavy tailed (t), and (iii) thecomplexity of the model. For the assessment of the five estimators we use overallperformance, relative bias, MSE and coverage of confidence intervals. The analysis reveals substantial differences in the performance of the five asymptotically equalestimators. Most diversity was found for t distributed, i.e. heavy tailed, data.

Keywords
information matrix, sandwich estimator Monte Carlo simulation, estimators of standard errors, small sample sizes, structural equation modelling, SEM
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
urn:nbn:se:uu:diva-160763 (URN)10.1080/00949655.2011.616205 (DOI)000315188300005 ()
Available from: 2011-10-31 Created: 2011-10-31 Last updated: 2017-12-08
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0003-2930-8669

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