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  • 51.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Han, Mengjie
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Informatik.
    Rebreyend, Pascal
    Högskolan Dalarna, Akademin Industri och samhälle, Datateknik.
    Distance measure and the p-median problem in rural areas2015Inngår i: Annals of Operations Research, ISSN 0254-5330, E-ISSN 1572-9338, Vol. 226, nr 1, s. 89-99Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The p-median model is used to locate P facilities to serve a geographically distributed population. Conventionally, it is assumed that the population patronize the nearest facility and that the distance between the resident and the facility may be measured by the Euclidean distance. Carling, Han, and Håkansson (2012) compared two network distances with the Euclidean in a rural region with a sparse, heterogeneous network and a non-symmetric distribution of the population. For a coarse network and P small, they found, in contrast to the literature, the Euclidean distance to be problematic. In this paper we extend their work by use of a refined network and study systematically the case when P is of varying size (1-100 facilities). We find that the network distance give as good a solution as the travel-time network. The Euclidean distance gives solutions some 4-10 per cent worse than the network distances, and the solutions tend to deteriorate with increasing P. Our conclusions extend to intra-urban location problems.

  • 52.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Han, Mengjie
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Informatik.
    Rebreyend, Pascal
    Högskolan Dalarna, Akademin Industri och samhälle, Datateknik.
    Testing the gravity p-median model empirically2015Inngår i: Operations Research Perspectives, ISSN 2214-7160, Vol. 2, nr 124, artikkel-id 132Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Regarding the location of a facility, the presumption in the widely used p-median model is that the customer opts for the shortest route to the nearest facility. However, this assumption is problematic on free markets since the customer is presumed to gravitate to a facility by the distance to and the attractiveness of it. The recently introduced gravity p-median model offers an extension to the p-median model that account for this. The model is therefore potentially interesting, although it has not yet been implemented and tested empirically. In this paper, we have implemented the model in an empirical problem of locating vehicle inspections, locksmiths, and retail stores of vehicle spare-parts for the purpose of investigating its superiority to the p-median model. We found, however, the gravity p-median model to be of limited use for the problem of locating facilities as it either gives solutions similar to the p-median model, or it gives unstable solutions due to a non-concave objective function.

  • 53.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Kulturgeografi.
    A compelling argument for the gravity p-median model2013Inngår i: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 226, nr 3, s. 658-660Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The p-median model is used to locate P facilities to serve a geographically distributed population. Conventionally, it is assumed that the population always travels to the nearest facility. Drezner and Drezner (2006, 2007) provide three arguments on why this assumption might be incorrect, and they introduce the extended gravity p-median model to relax the assumption. We favour the gravity p-median model, but we note that in an applied setting, the three arguments are incomplete. In this communication, we point at the existence of a fourth compelling argument for the gravity p-median model.

  • 54.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Kulturgeografi.
    Short Communication: A compelling argument for the gravity p-median model2012Rapport (Annet vitenskapelig)
    Abstract [en]

    The p-median model is used to locate P facilities to serve a geographically distributed population. Conventionally, it is assumed that the population always travels to the nearest facility. Drezner and Drezner (2006, 2007) provide three arguments on why this assumption might be incorrect, and they introduce the extended the gravity p-median model to relax the assumption. We favour the gravity p-median model, but we note that in an applied setting, Drezner and Drezner’s arguments are incomplete. In this communication, we point at the existence of a fourth compelling argument for the gravity p-median model.

  • 55.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Kulturgeografi.
    Jia, Tao
    School of Remote Sensing and Information Engineering, Wuhan University.
    Out-of-town shopping and its induced CO2-emissions2013Rapport (Annet vitenskapelig)
    Abstract [en]

    Planning policies in several European countries have aimed at hindering the expansion of out-of-town shopping centers. One argument for this is concern for the increase in transport and a resulting increase in environmental externalities such as CO2-emissions. This concern is weakly founded in science as few studies have attempted to measure CO2-emissions of shopping trips as a function of the location of the shopping centers. In this paper we conduct a counter-factual analysis comparing downtown, edge-of-town and out-of-town shopping. In this comparison we use GPS to track 250 consumers over a time-span of two months in a Swedish region. The GPS-data enters the Oguchi’s formula to obtain shopping trip-specific CO2-emissions. We find that consumers’ out-of-town shopping would generate an excess of 60 per cent CO2-emissions whereas downtown and edge-of-town shopping centers are comparable.

  • 56.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Kulturgeografi.
    Jia, Tao
    School of Remote Sensing and Information Engineering, Wuhan University.
    Out-of-town shopping and its induced CO2-emissions2013Inngår i: Journal of Retailing and Consumer Services, ISSN 0969-6989, E-ISSN 1873-1384, Vol. 20, nr 4, s. 16s. 382-388Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Planning policies in several European countries have aimed at hindering the expansion of out-of-town shopping centers. One argument for this is concern for the increase in transport and a resulting increase in environmental externalities such as CO2-emissions. This concern is weakly founded in science as few studies have attempted to measure CO2-emissions of shopping trips as a function of the location of the shopping centers. In this paper we conduct a counter-factual analysis comparing downtown, edge-of-town and out-of-town shopping. In this comparison we use GPS to track 250 consumers over a time-span of two months in a Swedish region. The GPS-data enters the Oguchi’s formula to obtain shopping trip-specific CO2-emissions. We find that consumers’ out-of-town shopping would generate an excess of 60 per cent CO2-emissions whereas downtown and edge-of-town shopping centers are comparable.

  • 57.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Informatik.
    Meng, Xiangli
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Rudholm, Niklas
    Högskolan Dalarna, Akademin Industri och samhälle, Nationalekonomi.
    The effects of taxing truck distance on CO2 emissions from transports in retailing2015Rapport (Annet vitenskapelig)
    Abstract [en]

    To finance transportation infrastructure and to address social and environmental negative externalities of road transports, several countries have recently introduced or consider a distance based tax on trucks. In the competitive retail market such tax can be expected to lower the demand and thereby reduce CO2 emissions of road transports. However, as we show in this paper, such tax might also slow down the transition towards e-tailing. Considering that previous research indicates that a consumer switching from brick-and-mortar shopping to e-tailing reduces her CO2 emissions substantially, the direction and magnitude of the environmental net effect of the tax is unclear. In this paper, we assess the net effect in a Swedish regional retail market where the tax not yet is in place. We predict the net effect on CO2 emissions to be positive, but off-set by about 50% because of a slower transition to e-tailing.

  • 58.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Kulturgeografi.
    Rudholm, Niklas
    Högskolan Dalarna, Akademin Industri och samhälle, Nationalekonomi.
    Optimal retail location and CO2 emissions2012Rapport (Annet vitenskapelig)
    Abstract [en]

    In this paper, the p-median model is used to find the location of retail stores that minimizes CO2 emissions from consumer travel. The optimal location is then compared with the existing retail location,and the excess CO2 emissions compared with the optimal solution is calculated. The results show that by using the environmentally optimal location, CO2 emissions from consumer travel could be reduced by approximately 25percent. 

  • 59.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Kulturgeografi.
    Rudholm, Niklas
    Högskolan Dalarna, Akademin Industri och samhälle, Nationalekonomi.
    Optimal retail location and CO2-emissions2013Inngår i: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 20, nr 14, s. 1357-1361Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    In this paper, the p-median model is used to find the location of retail stores that minimizes CO2-emissions from consumer travel. The optimal location is then compared with the existing retail location,and the excess CO2-emissions compared with the optimal solution is calculated. The results show that by using the environmentally optimal location, CO2-emissions from consumer travel could be reduced by approximately 25 per cent.

  • 60.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Jacobson, T
    Lindé, J
    Roszbach, K
    Corporate Credit Risk Modelling and the Macro Economy2003Rapport (Annet vitenskapelig)
  • 61.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Jacobson, T.
    Lindé, J.
    Roszbach, K.
    Credit Risk Models and Parameter Stability: Empirical Evidence from Sweden2005Inngår i: XIV International Tor Vergata Conference on Banking and Finance, Rom, 2005Konferansepaper (Fagfellevurdert)
  • 62.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Jacobson, Tor
    Lindé, Jesper
    Roszbach, Kasper
    Corporate credit risk modeling and the macroeconomy2007Inngår i: Journal of Banking & Finance, ISSN 0378-4266, E-ISSN 1872-6372, Vol. 31, nr 3, s. 845-868Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Despite a surge in the research efforts put into modeling credit and default risk during the past decade, few studies have incorporated the impact that macroeconomic conditions have on business defaults. In this paper, we estimate a duration model to explain the survival time to default for borrowers in the business loan portfolio of a major Swedish bank over the period 1994-2000. The model takes both firm-specific characteristics, such as accounting ratios and payment behaviour, loan-related information, and the prevailing macroeconomic conditions into account. The output gap, the yield curve and consumers' expectations of future economic development have significant explanatory power for the default risk of firms. We also compare our model with a frequently used model of firm default risk that conditions only on firm-specific information. The comparison shows that while the latter model can make a reasonably accurate ranking of firms' according to default risk, our model, by taking macro conditions into account, is also able to account for the absolute level of risk. 

  • 63.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Jacobsson, T
    Lindé, J
    Roszbach, K
    Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy2002Rapport (Annet vitenskapelig)
  • 64.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Larsson, L.
    Does early intervention help the unemployed youth?2005Inngår i: Labour Economics, ISSN 0927-5371, E-ISSN 1879-1034, Vol. 12, nr 3, s. 301-319Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    This paper evaluates a measure targeted at unemployed individuals aged 20–24. The main purpose of the measure is to prevent long-term unemployment by guaranteeing an assignment to some labor market program within 100 days of unemployment. Municipalities voluntarily agree to offer the guarantee. To identify the effect of the measure, we use three conditions: The guarantee covers individuals aged 24 but not 25, one fifth of the municipalities does not provide the guarantee, and the guarantee existed in 1998 but not in 1997. We find no evidence that the measure did significantly improve the future labor market situation of the youth, which suggests that early intervention in the unemployment spell is not important.

  • 65.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Lundberg, Sofia
    CERUM, Umeå university.
    Asymmetric information and distance: an empirical assessment of geographical credit rationing2005Inngår i: Journal of Economics and Business, ISSN 0148-6195, E-ISSN 1879-1735, Vol. 57, nr 1, s. 39-59Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Does the geographical proximity between the borrowing firm and the lending bank, matter in credit risk management? If so, the bank might expose itself to a greater risk by lending to distant firms and should therefore respond by rationing them harder. In this paper, we incorporate geographical credit rationing in a simple theoretical model, and derive implications, which are empirically testable. We use data on corporate loans granted between the years of 1994 and 2000 by a leading Swedish bank, and find no evidence of geographical credit rationing.

  • 66.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Meng, Xiangli
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    A stopping rule while searching for optimal solution of facility-location2013Rapport (Annet vitenskapelig)
    Abstract [en]

    Solutions to combinatorial optimization, such as p-median problems of locating facilities, frequently rely on heuristics to minimize the objective function. The minimum is sought iteratively and a criterion is needed to decide when the procedure (almost) attains it. However, pre-setting the number of iterations dominates in OR applications, which implies that the quality of the solution cannot be ascertained. A small branch of the literature suggests using statistical principles to estimate the minimum and use the estimate for either stopping or evaluating the quality of the solution. In this paper we use test-problems taken from Baesley's OR-library and apply Simulated Annealing on these p-median problems. We do this for the purpose of comparing suggested methods of minimum estimation and, eventually, provide a recommendation for practioners. An illustration ends the paper being a problem of locating some 70 distribution centers of the Swedish Post in a region.

  • 67.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Meng, Xiangli
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Confidence in heuristic solutions?2014Rapport (Annet vitenskapelig)
    Abstract [en]

    Solutions to combinatorial optimization problems frequently rely on heuristics to minimize an objective function. The optimum is sought iteratively and pre-setting the number of iterations dominates in operations research applications, which implies that the quality of the solution cannot be ascertained. Deterministic bounds offer a mean of ascertaining the quality, but such bounds are available for only a limited number of heuristics and the length of the interval may be difficult to control in an application. A small, almost dormant, branch of the literature suggests using statistical principles to derive statistical bounds for the optimum. We discuss alternative approaches to derive statistical bounds. We also assess their performance by testing them on 40 test p-median problems on facility location, taken from Beasley’s OR-library, for which the optimum is known. We consider three popular heuristics for solving such location problems; simulated annealing, vertex substitution, and Lagrangian relaxation where only the last offers deterministic bounds. Moreover, we illustrate statistical bounds in the location of 71 regional delivery points of the Swedish Post. We find statistical bounds reliable and much more efficient than deterministic bounds provided that the heuristic solutions are sampled close to the optimum. Statistical bounds are also found computationally affordable.

  • 68.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Meng, Xiangli
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Confidence in heuristic solutions?2015Inngår i: Journal of Global Optimization, ISSN 0925-5001, E-ISSN 1573-2916, Vol. 63, nr 2, s. 381-399Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Solutions to combinatorial optimization problems frequently rely on heuristics to minimize an objective function. The optimum is sought iteratively and pre-setting the number of iterations dominates in operations research applications, which implies that the quality of the solution cannot be ascertained. Deterministic bounds offer a mean of ascertaining the quality, but such bounds are available for only a limited number of heuristics and the length of the interval may be difficult to control in an application. A small, almost dormant, branch of the literature suggests using statistical principles to derive statistical bounds for the optimum. We discuss alternative approaches to derive statistical bounds. We also assess their performance by testing them on 40 test p-median problems on facility location, taken from Beasley’s OR-library, for which the optimum is known. We consider three popular heuristics for solving such location problems; simulated annealing, vertex substitution, and Lagrangian relaxation where only the last offers deterministic bounds. Moreover, we illustrate statistical bounds in the location of 71 regional delivery points of the Swedish Post. We find statistical bounds reliable and much more efficient than deterministic bounds provided that the heuristic solutions are sampled close to the optimum. Statistical bounds are also found computationally affordable.

  • 69.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Meng, Xiangli
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    On statistical bounds of heuristic solutions to location problems2016Inngår i: Journal of combinatorial optimization, ISSN 1382-6905, E-ISSN 1573-2886, Vol. 31, nr 4, s. 1518-1549Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Solutions to combinatorial optimization problems, such as problems of locating facilities, frequently rely on heuristics to minimize the objective function. The optimum is sought iteratively and a criterion is needed to decide when the procedure (almost) attains it. Pre-setting the number of iterations dominates in OR applications, which implies that the quality of the solution cannot be ascertained. A small, almost dormant, branch of the literature suggests using statistical principles to estimate the minimum and its bounds as a tool to decide upon stopping and evaluating the quality of the solution. In this paper we examine the functioning of statistical bounds obtained from four different estimators by using simulated annealing on p-median test problems taken from Beasley’s OR-library. We find the Weibull estimator and the 2nd order Jackknife estimator preferable and the requirement of sample size to be about 10 being much less than the current recommendation. However, reliable statistical bounds are found to depend critically on a sample of heuristic solutions of high quality and we give a simple statistic useful for checking the quality. We end the paper with an illustration on using statistical bounds in a problem of locating some 70 distribution centers of the Swedish Post in one Swedish region.

  • 70.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Meng, Xiangli
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    On statistical bounds of heuristic solutions to location problems2014Rapport (Annet vitenskapelig)
    Abstract [en]

    Solutions to combinatorial optimization problems, such as problems of locating facilities, frequently rely on heuristics to minimize the objective function. The optimum is sought iteratively and a criterion is needed to decide when the procedure (almost) attains it. Pre-setting the number of iterations dominates in OR applications, which implies that the quality of the solution cannot be ascertained. A small, almost dormant, branch of the literature suggests using statistical principles to estimate the minimum and its bounds as a tool to decide upon stopping and evaluating the quality of the solution. In this paper we examine the functioning of statistical bounds obtained from four different estimators by using simulated annealing on p-median test problems taken from Beasley’s OR-library. We find the Weibull estimator and the 2nd order Jackknife estimator preferable and the requirement of sample size to be about 10 being much less than the current recommendation. However, reliable statistical bounds are found to depend critically on a sample of heuristic solutions of high quality and we give a simple statistic useful for checking the quality. We end the paper with an illustration on using statistical bounds in a problem of locating some 70 distribution centers of the Swedish Post in one Swedish region. 

  • 71.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Richardson, K.
    The relative efficiency of labour market programs: Swedish experience from the 1990's2004Inngår i: Labour Economics, ISSN 0927-5371, E-ISSN 1879-1034, nr 11:3, s. 335-354Artikkel i tidsskrift (Fagfellevurdert)
  • 72.
    Carling, Kenneth
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Rönnegård, Lars
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Roszbach, Kasper
    Is Firm Interdependence within Industries Important for Portfolio Credit Risk?2004Rapport (Annet vitenskapelig)
    Abstract [en]

    A drawback of available portfolio credit risk models is that they fail to allow for default risk dependency across loans other than through common risk factors. Thereby, thesemodels ignore that close ties can exist between companies due to legal, financial and business relations. In this paper, we integrate the insights from theoretical models of default correlation into a commonly used model of default and portfolio credit risk by allowing for dependency between firm default risk through both common factors and industry specific errors in a duration model. An application using pooled data from two Swedish banks’ business loan portfolios over the period 1996-2000 shows that estimates of individual default risk are little affected by including industry specific errors. However, accounting for these industry effects increases VaR estimates by 50-200 percent. A traditional model with only systematic factors, although able to fit the broad trends in credit losses, cannot match these fluctuations because it fails to capture credit losses in bad times, when banks are typically hit by large unexpected credit losses. The model we propose manages to follow both the trend in credit losses and produce industry driven, time-varying, fluctuations in losses around that trend. Consequently, this model will better aid banks and regulators in determining the appropriate size of economic capital requirements. Capital buffers derived from our model will be larger for periods with large ”aggregate” disturbances and smaller in better times, and avoid both overcapitalization in good times and undercapitalization in bad times.

  • 73.
    Carlsson, Tomas
    et al.
    Högskolan Dalarna, Akademin Utbildning, hälsa och samhälle, Idrotts- och hälsovetenskap.
    Carlsson, Magnus
    Högskolan Dalarna, Akademin Utbildning, hälsa och samhälle, Idrotts- och hälsovetenskap.
    Felleki, Majbritt
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Hammarström, Daniel
    Högskolan Dalarna, Akademin Utbildning, hälsa och samhälle, Idrotts- och hälsovetenskap.
    Heil, Daniel
    Montana State University.
    Malm, Christer
    Umeå Universitet, Idrottsmedicin.
    Tonkonogi, Michail
    Högskolan Dalarna, Akademin Utbildning, hälsa och samhälle, Idrotts- och hälsovetenskap.
    Scaling maximal oxygen uptake to predict performance in elite-standard men cross-country skiers2013Inngår i: Journal of Sports Sciences, ISSN 0264-0414, E-ISSN 1466-447X, Vol. 31, nr 16, s. 1753-1760Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The purpose of this study was to: 1) establish the optimal body-mass exponent for maximal oxygen uptake (O2max) to indicate performance in elite-standard men cross-country skiers; and 2) evaluate the influence of course inclination on the body-mass exponent. Twelve elite-standard men skiers completed an incremental treadmill roller-skiing test to determine O2max and performance data came from the 2008 Swedish National Championship 15-km classic-technique race. Log-transformation of power-function models was used to predict skiing speeds. The optimal models were found to be: Race speed = 7.86 · O2max · m −0.48 and Section speed = 5.96 · O2max · m −(0.38 + 0.03 · α) · e−0.003 · Δ (where m is body mass, α is the section's inclination and Δ is the altitude difference of the previous section), that explained 68% and 84% of the variance in skiing speed, respectively. A body-mass exponent of 0.48 (95% confidence interval: 0.19 to 0.77) best described O2max as an indicator of performance in elite-standard men skiers. The confidence interval did not support the use of either “1” (simple ratio-standard scaled) or “0” (absolute expression) as body-mass exponents for expressing O2max as an indicator of performance. Moreover, results suggest that course inclination increases the body-mass exponent for O2max.

  • 74. Casals, M.
    et al.
    Langohr, K.
    Carrasco, J. L.
    Rönnegård, Lars
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Parameter estimation of Poisson generalized linear mixed models based on three different statistical principles: a simulation study2015Inngår i: SORT - Statistics and Operations Research Transactions, ISSN 1696-2281, E-ISSN 2013-8830, Vol. 39, nr 2, s. 281-308Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Generalized linear mixed models are flexible tools for modeling non-normal data and are useful for accommodating overdispersion in Poisson regression models with random effects. Their main difficulty resides in the parameter estimation because there is no analytic solution for the maximization of the marginal likelihood. Many methods have been proposed for this purpose and many of them are implemented in software packages. The purpose of this study is to compare the performance of three different statistical principles - marginal likelihood, extended likelihood, Bayesian analysis-via simulation studies. Real data on contact wrestling are used for illustration.

  • 75.
    Dmytro S., Yefymov
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Analysis of Structure and Tendencies of Qualified Immigrant Workforce on the Swedish Labor Market2006Independent thesis Advanced level (degree of Master (Two Years))Oppgave
    Abstract [en]

    The purpose of this paper is to make quantitative and qualitative analysis of foreign citizens who may participate on the Swedish labor market (in text refers to as ‘immigrants’). This research covers the period 1973-2005 and gives prediction figures of immigrant population, age and gender structure, and education attainment in 2010. To cope with data regarding immigrants from different countries, the population was divided into six groups. The main chapter is divided into two parts. The first part specifies division of immigrants into groups by country of origin according to geographical, ethnical, economical and historical criteria. Brief characteristics and geographic position, dynamic and structure description were given for each group; historical review explain rapid changes in immigrant population. Statistical models for description and estimation future population were given. The second part specifies education and qualification level of the immigrants according to international and Swedish standards. Models for estimating age and gender structure, level of education and professional orientation of immigrants in different groups are given. Inferences were made regarding ethnic, gender and education structure of immigrants; the distribution of immigrants among Swedish counties is given. Discussion part presents the results of the research, gives perspectives for the future brief evaluation of the role of immigrants on the Swedish labor market.

  • 76.
    Dong, Bei
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Zhang, Ling
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Lu, Xuan
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Chinese Basic Pension Substitution Rate: A Monte Carlo Demonstration of the Individual Account Model2008Independent thesis Basic level (degree of Bachelor)Oppgave
    Abstract [en]

    At the end of 2005, the State Council of China passed ”The Decision on adjusting the Individual Account of Basic Pension System”, which adjusted the individual account in the 1997 basic pension system. In this essay, we will analyze the adjustment above, and use Life Annuity Actuarial Theory to establish the basic pension substitution rate model. Monte Carlo simulation is also used to prove the rationality of the model. Some suggestions are put forward associated with the substitution rate according to the current policy.

  • 77.
    ERIC, AIDOO
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    SAIJING, ZHENG
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    HAPPINESS INDEX THE CONSTRUCTION AND ANALYSIS2010Independent thesis Basic level (degree of Bachelor)Oppgave
    Abstract [en]

    This study aims to investigate the important indicators that contribute to happiness among Beijing residence. The residents of Beijing were taken as the target population for the survey. A questionnaire was used as the main statistical instrument to collect the data from the residents in Beijing. In so doing the investigation employs Factor analyses and chi-square analyses as the main statistical tools used for the analyses in this research. The study found that Beijing residents gained greater happiness in the family, interpersonal relationships, and health status. The analysis also shows that generally, the residence of Beijing feels happier and also in terms of gender basis, females in Beijing feel happier as compare to their male counterpart. It will find that gender, age and education are statistically significant when dealing with happiness.

  • 78.
    Felleki, Majbritt
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik. Swedish University of Agricultural Sciences.
    Genetic Heteroscedasticity for Domestic Animal Traits2014Doktoravhandling, med artikler (Annet vitenskapelig)
    Abstract [en]

    Animal traits differ not only in mean, but also in variation around the mean. For instance, one sire’s daughter group may be very homogeneous, while another sire’s daughters are much more heterogeneous in performance. The difference in residual variance can partially be explained by genetic differences. Models for such genetic heterogeneity of environmental variance include genetic effects for the mean and residual variance, and a correlation between the genetic effects for the mean and residual variance to measure how the residual variance might vary with the mean.

    The aim of this thesis was to develop a method based on double hierarchical generalized linear models for estimating genetic heteroscedasticity, and to apply it on four traits in two domestic animal species; teat count and litter size in pigs, and milk production and somatic cell count in dairy cows.

    The method developed is fast and has been implemented in software that is widely used in animal breeding, which makes it convenient to use. It is based on an approximation of double hierarchical generalized linear models by normal distributions. When having repeated observations on individuals or genetic groups, the estimates were found to be unbiased.

    For the traits studied, the estimated heritability values for the mean and the residual variance, and the genetic coefficients of variation, were found in the usual ranges reported. The genetic correlation between mean and residual variance was estimated for the pig traits only, and was found to be favorable for litter size, but unfavorable for teat count.

  • 79.
    Felleki, Majbritt
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Chalkias, Helena
    A Double Hierarchical Generalized Linear Model For Teat Number In Pigs2010Konferansepaper (Annet vitenskapelig)
  • 80.
    Felleki, Majbritt
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Lee, Dongwhan
    Department of Statistics, Seoul National University, Seoul 151-747, Korea .
    Lee, Youngjo
    Department of Statistics, Seoul National University, Seoul 151-747, Korea .
    Gilmour, Arthur R.
    School of Mathematics and Applied Statistics, Faculty of Informatics, University of Wollongong, Wollongong, NSW 2522, Australia.
    Rönnegård, Lars
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Estimation of breeding values for mean and dispersion, their variance and correlation using double hierarchical generalized linear models2012Inngår i: Genetics Research, ISSN 0016-6723, Vol. 94, nr 6, s. 307-317Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The possibility of breeding for uniform individuals by selecting animals expressing a small response to environment has been studied extensively in animal breeding. Bayesian methods for fitting models with genetic components in the residual variance have been developed for this purpose, but have limitations due to the computational demands. We use the hierarchical (h)-likelihood from the theory of double hierarchical generalized linear models (DHGLM) to derive an estimation algorithm that is computationally feasible for large datasets. Random effects for both the mean and residual variance parts of the model are estimated together with their variance/covariance components. An important feature of the algorithm is that it can fit a correlation between the random effects for mean and variance. An h-likelihood estimator is implemented in the R software and an iterative reweighted least square (IRWLS) approximation of the h-likelihood is implemented using ASReml. The difference in variance component estimates between the two implementations is investigated, as well as the potential bias of the methods, using simulations. IRWLS gives the same results as h-likelihood in simple cases with no severe indication of bias. For more complex cases, only IRWLS could be used, and bias did appear. The IRWLS is applied on the pig litter size data previously analysed by Sorensen & Waagepetersen (2003) using Bayesian methodology. The estimates we obtained by using IRWLS are similar to theirs, with the estimated correlation between the random genetic effects being −0·52 for IRWLS and −0·62 in Sorensen & Waagepetersen (2003).

  • 81.
    Felleki, Majbritt
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik. Sveriges Lantbruksuniversitet.
    Lundeheim, Nils
    Sveriges Lantbruksuniversitet.
    Genetic Control of Residual Variance for Teat Number in Pigs2013Inngår i: Proc. Assoc. Advmt. Anim. Breed. Genet., AAABG , 2013, s. 538-541Konferansepaper (Annet vitenskapelig)
    Abstract [en]

    The genetic improvement in litter size in pigs has been substantial during the last 10-15 years. The number of teats on the sow must increase as well to meet the needs of the piglets, because each piglet needs access to its own teat. We applied a genetic heterogeneity model on teat numberin sows, and estimated medium-high heritability for teat number (0.5), but low heritability for residual variance (0.05), indicating that selection for reduced variance might have very limited effect. A numerically positive correlation (0.8) between additive genetic breeding values for mean and for variance was found, but because of the low heritability for residual variance, the variance will increase very slowly with the mean.

  • 82.
    Felleki, Majbritt
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Lundeheim, Nils
    Sveriges lantbruksuniversitet, Institutionen för husdjursgenetik.
    Genetic Heteroscedasticity for Teat Count in PigsManuskript (preprint) (Annet vitenskapelig)
  • 83.
    Felleki, Majbritt
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Lundeheim, Nils
    SLU.
    Genetic heteroscedasticity of teat count in pigs2015Inngår i: Journal of Animal Breeding and Genetics, ISSN 0931-2668, E-ISSN 1439-0388, Vol. 132, nr 5, s. 392-398Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The genetic improvement in pig litter size has been substantial. The number of teats on the sowmust thus increase as well to meet the needs of the piglets, because each piglet needs access to itsown teat. We applied a genetic heterogeneity model to teat counts in pigs, and estimated a mediumheritability for teat counts (0.35), but found a low heritability for residual variance (0.06),indicating that selection for reduced residual variance might have a limited effect. A numericallypositive correlation (0.8) was estimated between the breeding values for the mean and the residualvariance. However, because of the low heritability of the residual variance, the residual variance will probably increase very slowly with the mean.

  • 84. Fredman, P.
    et al.
    Wikström, Daniel
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Income elasticity of demand for tourism at Fulufjället National Park2018Inngår i: Tourism Economics, ISSN 1354-8166, E-ISSN 2044-0375, Vol. 24, nr 1, s. 51-63Artikkel i tidsskrift (Fagfellevurdert)
  • 85.
    Fredman, Peter
    et al.
    Mittuniversitetet.
    Wikström, Daniel
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Besök och besökare i Fulufjällets nationalpark sommaren 2014 (med jämförelser åren 2001 och 2003)2015Rapport (Annet vitenskapelig)
  • 86. Gunnarsson, Carina C.
    et al.
    Mattsson Petersen, Cecilia
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Water hyacinths as a resource in agriculture and energy production: a literature review2007Inngår i: Waste Management, ISSN 0956-053X, E-ISSN 1879-2456, Vol. 27, nr 1, s. 117-129Artikkel, forskningsoversikt (Fagfellevurdert)
    Abstract [en]

    Water hyacinths are becoming a problem in lakes, ponds and waterways in many parts of the world. This paper contains a literature study of different ways to use water hyacinths, mainly in agricultural or alternative energy systems. The literature review indicated that water hyacinths can be rich in nitrogen, up to 3.2% of DM and have a C/N ratio around 15. The water hyacinth can be used as a substrate for compost or biogas production. The sludge from the biogas process contains almost all of the nutrients of the substrate and can be used as a fertiliser. The use of water hyacinth compost on different crops has resulted in improved yields. The high protein content makes the water hyacinth possible to use as fodder for cows, goats, sheep and chickens. Water hyacinth, due to its abundant growth and high concentrations of nutrients, has a great potential as fertiliser for the nutrient deficient soils of Africa and as feed for livestock. Applying the water hyacinths directly without any other processing than sun drying, seems to be the best alternative in small-scale use due to the relatively small losses of nutrients and workload required. To meet the ever-growing energy demand, biogas production could be one option but it requires investments and technological skills that would impose great problems in developing countries where the water hyacinth is often found. Composting as an alternative treatment has the advantage of a product that is easy to work into the soil compared with dried water hyacinths, because of the decomposed structure. Harvesting and transport of water hyacinths can be conducted manually on a small scale and does not require a new harvesting technique to be introduced. Transporting of fresh water hyacinths means, if used as fertiliser in amounts large enough to enhance or effect crop growth, an unreasonably large labour requirement. Based on the labour need and the limited access to technology, using dried water hyacinths, as green manure is a feasible alternative in many developing countries. (c) 2006 Elsevier Ltd. All rights reserved.

  • 87.
    Han, Mengjie
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Computational study of the step size parameter of the subgradient optimization methodManuskript (preprint) (Annet vitenskapelig)
    Abstract [en]

    The subgradient optimization method is a simple and flexible linear programming iterative algorithm. It is much simpler than Newton's method and can be applied to a wider variety of problems. It also converges when the objective function is non-differentiable. Since an efficient algorithm will not only produce a good solution but also take less computing time, we always prefer a simpler algorithm with high quality. In this study a series of step size parameters in the subgradient equation is studied. The performance is compared for a general piecewise function and a specific p-median problem. We examine how the quality of solution changes by setting five forms of step size parameter.

  • 88.
    Han, Mengjie
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Humaniora och medier, Kulturvetenskap.
    Rebreyend, Pascal
    Högskolan Dalarna, Akademin Industri och samhälle, Datateknik.
    How do different densities in a network affect the optimal location of service centers?2013Rapport (Annet vitenskapelig)
    Abstract [en]

    The p-median problem is often used to locate p service centers by minimizing their distances to a geographically distributed demand (n). The optimal locations are sensitive to geographical context such as road network and demand points especially when they are asymmetrically distributed in the plane. Most studies focus on evaluating performances of the p-median model when p and n vary. To our knowledge this is not a very well-studied problem when the road network is alternated especially when it is applied in a real world context. The aim in this study is to analyze how the optimal location solutions vary, using the p-median model, when the density in the road network is alternated. The investigation is conducted by the means of a case study in a region in Sweden with an asymmetrically distributed population (15,000 weighted demand points), Dalecarlia. To locate 5 to 50 service centers we use the national transport administrations official road network (NVDB). The road network consists of 1.5 million nodes. To find the optimal location we start with 500 candidate nodes in the network and increase the number of candidate nodes in steps up to 67,000. To find the optimal solution we use a simulated annealing algorithm with adaptive tuning of the temperature. The results show that there is a limited improvement in the optimal solutions when nodes in the road network increase and p is low. When p is high the improvements are larger. The results also show that choice of the best network depends on p. The larger p the larger density of the network is needed. 

  • 89.
    Han, Mengjie
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Informatik.
    Rebreyend, Pascal
    Högskolan Dalarna, Akademin Industri och samhälle, Datateknik.
    How does data quality in a network affect heuristic solutions?2014Rapport (Annet vitenskapelig)
    Abstract [en]

    To have good data quality with high complexity is often seen to be important. Intuition says that the higher accuracy and complexity the data have the better the analytic solutions becomes if it is possible to handle the increasing computing time. However, for most of the practical computational problems, high complexity data means that computational times become too long or that heuristics used to solve the problem have difficulties to reach good solutions. This is even further stressed when the size of the combinatorial problem increases. Consequently, we often need a simplified data to deal with complex combinatorial problems. In this study we stress the question of how the complexity and accuracy in a network affect the quality of the heuristic solutions for different sizes of the combinatorial problem. We evaluate this question by applying the commonly used

    p-median model, which is used to find optimal locations in a network of p supply points that serve n demand points. To evaluate this, we vary both the accuracy (the number of nodes) of the network and the size of the combinatorial problem (p).

    The investigation is conducted by the means of a case study in a region in Sweden with an asymmetrically distributed population (15,000 weighted demand points), Dalecarlia. To locate 5 to 50 supply points we use the national transport administrations official road network (NVDB). The road network consists of 1.5 million nodes. To find the optimal location we start with 500 candidate nodes in the network and increase the number of candidate nodes in steps up to 67,000 (which is aggregated from the 1.5 million nodes). To find the optimal solution we use a simulated annealing algorithm with adaptive tuning of the temperature. The results show that there is a limited

    improvement in the optimal solutions when the accuracy in the road network increase and the combinatorial problem (low

    p) is simple. When the combinatorial problem is complex (large p) the improvements of increasing the accuracy in the road network are much larger. The results also show that choice of the best accuracy of the network depends on the complexity of the combinatorial (varying p) problem.

  • 90.
    Han, Mengjie
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Kulturgeografi.
    Rebreyend, Pascal
    Högskolan Dalarna, Akademin Industri och samhälle, Datateknik.
    How does the use of different road networks effect the optimal location of facilities in rural areas?2012Rapport (Annet vitenskapelig)
    Abstract [en]

    The p-median problem is often used to locate P service facilities in a geographically distributed population. Important for the performance of such a model is the distance measure.

    Distance measure can vary if the accuracy of the road network varies. The rst aim in this study is to analyze how the optimal location solutions vary, using the p-median model, when the road network is alternated. It is hard to nd an exact optimal solution for p-median problems. Therefore, in this study two heuristic solutions are applied, simulating annealing and a classic heuristic. The secondary aim is to compare the optimal location solutions using dierent algorithms for large p-median problem. The investigation is conducted by the means of a case study in a rural region with an asymmetrically distributed population, Dalecarlia.

    The study shows that the use of more accurate road networks gives better solutions for optimal location, regardless what algorithm that is used and regardless how many service facilities that is optimized for. It is also shown that the simulated annealing algorithm not just is much faster than the classic heuristic used here, but also in most cases gives better location solutions.

  • 91.
    Han, Mengjie
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Kulturgeografi.
    Rönnegård, Lars
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    How do neighbouring populations affect local population change over time?2013Rapport (Annet vitenskapelig)
    Abstract [en]

    This study covers a period when society changed from a pre-industrial agricultural society to a post-industrial service-producing society. Parallel with this social transformation, major population changes took place. In this study, we analyse how local population changes are affected by neighbouring populations. To do so we use the last 200 years of local population change that redistributed population in Sweden. We use literature to identify several different processes and spatial dependencies in the redistribution between a parish and its surrounding parishes. The analysis is based on a unique unchanged historical parish division, and we use an index of local spatial correlation to describe different kinds of spatial dependencies that have influenced the redistribution of the population. To control inherent time dependencies, we introduce a non-separable spatial temporal correlation model into the analysis of population redistribution. Hereby, several different spatial dependencies can be observed simultaneously over time. The main conclusions are that while local population changes have been highly dependent on the neighbouring populations in the 19th century, this spatial dependence have become insignificant already when two parishes is separated by 5 kilometres in the late 20th century. Another conclusion is that the time dependency in the population change is higher when the population redistribution is weak, as it currently is and as it was during the 19th century until the start of industrial revolution.

  • 92.
    Han, Mengjie
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik. HUI Research.
    Håkansson, Johan
    Högskolan Dalarna, Akademin Industri och samhälle, Informatik. Högskolan Dalarna, Akademin Industri och samhälle, Kulturgeografi. HUI Research, Stockholm.
    Rönnegård, Lars
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik. HUI Research, Stockholm.
    To what extent do neighbouring populations affect local population growth over time?2016Inngår i: Population, Space and Place, ISSN 1544-8444, E-ISSN 1544-8452, Vol. 22, nr 1, s. 68-83Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    This study covers a period when society changed from a pre-industrial agricultural society to a post-industrial service-producing society. Parallel with this social transformation, major population changes took place. In this study, we analyse to what extent local population change is affected by neighbouring populations. To do this, we focused on the last 190 years of local population change that redistributed population in Sweden. We used literature to identify several different processes in the population redistribution. The different processes implied different spatial dependencies between local population change and the surrounding populations. The analysis is based on an unchanged historical parish division, and we used an index of local spatial correlation to describe different types of spatial dependencies that influenced the redistribution of the population. To control inherent time dependencies, we introduced a non-separable spatial-temporal correlation model into the analysis of population redistribution. Hereby, several different spatial dependencies could be simultaneously observed over time. The main conclusions are that while local population changes have been highly dependent on neighbouring populations in the 19th century, this spatial dependence became insignificant already when two parishes are separated by 5 km in the late 20th century. It is argued that the only process that significantly redistributed the population at the end of the 20th century is the immigration to Sweden.

  • 93.
    Han, Mengjie
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    May, Ross
    Högskolan Dalarna, Akademin Industri och samhälle, Mikrodataanalys.
    Zhang, Xingxing
    Högskolan Dalarna, Akademin Industri och samhälle, Energiteknik.
    Wang, Xinru
    Pan, Song
    Yan, Da
    Jin, Yuan
    Xu, Liguo
    A review of reinforcement learning methodologies for controlling occupant comfort in buildings2019Inngår i: Sustainable cities and society, ISSN 2210-6707, Vol. 51, artikkel-id 101748Artikkel i tidsskrift (Fagfellevurdert)
  • 94.
    He, Changli
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik. Tianjin University of Finance and Economics.
    Kang, Jian
    Teräsvirta, Timo
    Zhang, Shuhua
    The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–20162019Inngår i: Econometrics and Statistics, ISSN 2452-3062Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    A new autoregressive model with seasonal dummy variables in which coefficients of seasonal dummies vary smoothly and deterministically over time is introduced. The error variance of the model is seasonally heteroskedastic and multiplicatively decomposed as in ARCH models. This variance is also allowed to be smoothly and deterministically time-varying. Under regularity conditions, consistency and asymptotic normality of the maximum likelihood estimators of parameters of this model is proved. The purpose of the model is to find out how the average monthly temperatures in the well-known central England temperature series have been varying during the period of more than 240 years. The main result is that warming has occurred but that there are notable differences between months. In particular, no warming is found for February, April, May and June.

  • 95.
    He, Changli
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Malmsten, Hans
    Teräsvirta, Timo
    Higher-order dependence in the general Power ARCH process and a special case2008Inngår i: Recent Advances In Linear Models and Related Areas / [ed] Shalabh, C. Heumann, Springer , 2008, s. 231-252Kapittel i bok, del av antologi (Annet vitenskapelig)
  • 96.
    He, Changli
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Sandberg, Rickard
    Testing parameter constancy in unit root autoregressive models against multiple continuous structural changes2012Inngår i: Econometric Reviews, ISSN 0747-4938, E-ISSN 1532-4168, Vol. 31, nr 1, s. 34-59Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    This article considers tests for logistic smooth transition autoregressive (LSTAR) models accommodating multiple time dependent transitions between regimes when the data generating process is a random walk. The asymptotic null distributions of the tests, in contrast to the standard results in Lin and Teräsvirta (1994), are nonstandard. Monte Carlo experiments reveal that the tests have modest size distortions and satisfactory power against LSTAR models with multiple smooth breaks. The tests are applied to Swedish unemployment rates and the hysteresis hypothesis is over-turned in favour of an LSTAR model with two transitions between extreme regimes.

  • 97.
    He, Changli
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Silvennoinen, Annastiina
    Teräsvirta, Timo
    Parameterizing unconditional skewness in models for financial time series2008Inngår i: Journal of Financial Econometrics, ISSN 1479-8409, E-ISSN 1479-8417, Vol. 6, nr 2, s. 208-230Artikkel i tidsskrift (Annet vitenskapelig)
    Abstract [en]

    In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate unconditional skewness. We consider modeling the unconditional mean and variance using models that respond nonlinearly or asymmetrically to shocks. We investigate the implications of these models on the third-moment structure of the marginal distribution as well as conditions under which the unconditional distribution

  • 98.
    He, Changli
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Strandberg, Rickard
    Dickey-Fuller type of tests against non-linear dynamic models2006Inngår i: Oxford Bulletin of Economics and Statistics, ISSN 0305-9049, E-ISSN 1468-0084, Vol. 68, nr s1, s. 835-861Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    In this paper, we introduce several test statistics testing the null hypothesis of a random walk (with or without drift) against models that accommodate a smooth nonlinear shift in the level, the dynamic structure and the trend. We derive analytical limiting distributions for all the tests. The power performance of the tests is compared with that of the unit-root tests by Phillips and Perron [Biometrika (1988), Vol. 75, pp. 335–346], and Leybourne, Newbold and Vougas [Journal of Time Series Analysis (1998), Vol. 19, pp. 83–97]. In the presence of a gradual change in the deterministics and in the dynamics, our tests are superior in terms of power.

  • 99.
    He, Changli
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Teräsvirta, Timo
    An extended constant conditional correlation GARCH model and its fourth-moment structure2004Inngår i: Econometric Theory, ISSN 0266-4666, E-ISSN 1469-4360, Vol. 20, nr 5, s. 904-926Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against which other models can be compared. In this paper we consider an extension to this model and examine its fourth-moment structure. The extension, first defined by Jeantheau (1998, Econometric Theory 14, 70–86), is motivated by the result found and discussed in this paper that the squared observations from the extended model have a rich autocorrelation structure. This means that already the first-order model is capable of reproducing a whole variety of autocorrelation structures observed in financial return series. These autocorrelations are derived for the first- and the second-order constant conditional correlation GARCH model. The usefulness of the theoretical results of the paper is demonstrated by reconsidering an empirical example that appeared in the original paper on the constant conditional correlation GARCH model.

  • 100.
    He, Changli
    et al.
    Högskolan Dalarna, Akademin Industri och samhälle, Statistik.
    Teräsvirta, Timo
    Fourth Moment Structure of the Garch (p,q) Process1999Inngår i: Econometric Theory, Vol. 15, nr 6Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH(p,q) process is given and also an expression for the moment itself. Furthermore, the autocorrelation function of the centered and squared observations of this process is derived. The statistical theory is further illustrated by a few special cases such as theGARCH(2,2)process and the ARCH(q) process.

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