Tor Jacobson
Sveriges riksbank, Research, Department Member
We consider a computer-intensive method for inference on cointegrating vectors in maximum likelihood cointegration analysis. Simulation studies show that the size distortion for the asymptotic likelihood ratio test can be considerable for... more
We consider a computer-intensive method for inference on cointegrating vectors in maximum likelihood cointegration analysis. Simulation studies show that the size distortion for the asymptotic likelihood ratio test can be considerable for small samples. It is demonstrated that a parametric bootstrap frequently results in a nearly exact alpha-level test. Furthermore, response surface regression is used to examine small-sample properties of the asymptotic test. In particular, using an extensive experimental design, in which the data-generating processes are based on empirical models, we describe how the complexity of the model affects the degree of size distortion for given sample size.
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A bank that lends money to a household faces two types of risk. Most commonly mentioned is the risk of a default. Hardly ever referred to is the risk of an early redemption of the loan - leading to dormancy. We model consumer loans'... more
A bank that lends money to a household faces two types of risk. Most commonly mentioned is the risk of a default. Hardly ever referred to is the risk of an early redemption of the loan - leading to dormancy. We model consumer loans' transition from an active to a dormant state and estimate a semi-parametric duration model with a
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We examine the sources of labor market fluctuations in the Scandinavian countries using VAR models with common trends. Our primary concerns are the sources of hysteresis in unemployment and possible differences between the economies. A... more
We examine the sources of labor market fluctuations in the Scandinavian countries using VAR models with common trends. Our primary concerns are the sources of hysteresis in unemployment and possible differences between the economies. A simple economic model is presented to motivate our identifying assumptions. We show how estimates of the theoretical parameters may be obtained from the estimated common
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ABSTRACT Not available.
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The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and... more
The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and interesting for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can be usefully applied in
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ABSTRACT Not available.
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ABSTRACT We examine long-run PPP between Germany, Great Britain, Japan and the United States over the period 1930–1996 using multivariate cointegration techniques. Bilateral PPP between the four countries is examined in one system (as... more
ABSTRACT We examine long-run PPP between Germany, Great Britain, Japan and the United States over the period 1930–1996 using multivariate cointegration techniques. Bilateral PPP between the four countries is examined in one system (as opposed to e.g. series of trivariate systems). In all of the statistical analysis, asymptotic tests are augmented by parametric bootstrap analogues, whereby we reduce, if not eliminate, the size distortion typically present in small-sample studies. The cointegration analysis provides support for the necessary conditions for PPP (i.e. cointegrating relations are found) but not for the sufficient conditions (i.e., the coefficients in the cointegrating relations are far from what PPP predicts). These results are at odds with results from other studies that also analyze long-horizon data sets. Copyright Springer-Verlag 2004
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... Whereas the likelihood ratio test is oversized for small T, and severely so for a 1% nominal size, the approximated test is undersized, in particular for a 1% nominal size where the null remainsunrejected throughout 1 000 000 samples... more
... Whereas the likelihood ratio test is oversized for small T, and severely so for a 1% nominal size, the approximated test is undersized, in particular for a 1% nominal size where the null remainsunrejected throughout 1 000 000 samples for the very small T. The effectiveness of ...