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  • 1.
    Aronsson, Thomas
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Household work travel time1996In: Regional studies, ISSN 0034-3404, E-ISSN 1360-0591, Vol. 30, no 6, p. 541-548Article in journal (Refereed)
    Abstract [en]

    This study derives and estimates models for the work travel time of each spouse in the household conditional on both spouses' hours of work. The model is estimated using Swedish household data. The own labour supply has a positive impact on travel time for females and a negative one for males. The estimated effects of the other spouse's labour supply are insignificant. An overall test of whether the hours of work are weakly separable from work travel time indicates that this hypothesis cannot be rejected for males but can be rejected for females.

  • 2.
    Aronsson, Thomas
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    The importance of locational choice in an empirical labour supply model1996In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 28, no 5, p. 521-529Article in journal (Refereed)
    Abstract [en]

    An estimation of labour supply is modelled using the theory of urban household behaviour. The major purpose is to test the (implicit) assumption in previous labour supply studies that work travel and housing consumption are weakly separable from the hours of work. The results, which are obtained using Swedish data, imply that the hypothesis of weak separability is clearly rejected. We also find that the choice of location affects policy-relevant conclusions about the labour supply behaviour.

  • 3.
    Berglund, Elisabet
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Plants' entry and exit in Swedish municipalities2001In: The annals of regional science, ISSN 0570-1864, E-ISSN 1432-0592, Vol. 35, no 3, p. 431-448Article in journal (Refereed)
    Abstract [en]

    Plants' entry and exit behaviour in Swedish municipalities are studied within a fixed-effect, integer-valued autoregressive model. Based on eight industrial sectors, 1985-1993, and all municipalities, models are estimated by a generalized method of moment estimator. Influences on entry and exit are systematic and spatially as well as temporally variable. Responses to explanatory variables differ between sectors. Average income, local unemployment and higher education are found to be important determinants of both entry and exit across sectors.

  • 4. Brannas, E.
    et al.
    Lundqvist, H.
    Prentice, E.
    Schmitz, M.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Wiklund, B. -S
    Use of the passive integrated transponder (PIT) in a fish identification and monitoring system for fish behavioral studies1994In: Transactions of the American Fisheries Society, ISSN 0002-8487, E-ISSN 1548-8659, Vol. 123, no 3, p. 395-401Article in journal (Refereed)
    Abstract [en]

    Using Arctic charr Salvelinus alpinus, the system was developed in order to track individual differences. The authors demonstrate some of the applications in behavioral research, such as individual, general, and diet locomotor activity patterns, rheotactic behavior, and sociograms showing activity relationships among individuals within a group. -from Authors

  • 5. Brännäs, E.
    et al.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    A model of patch visit behaviour in fish1998In: Biometrical Journal, ISSN 0323-3847, E-ISSN 1521-4036, Vol. 40, no 6, p. 717-724Article in journal (Refereed)
    Abstract [en]

    The patch visit or sampling behaviour of fish is studied over a 15 day period. The experimental setup consists of three connected patches between which movement is automatically registered. Using an integer-valued time series model we find a diel effect on the probability to stay in one of the patches.

  • 6. Brännäs, Eva
    et al.
    Jonsson, S
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Density-dependent Effects of Prior Residence and Behavioural Strategy on Growth of Stocked Brown Trout (Salmo trutta)2004In: Canadian Journal of Zoology, ISSN 0008-4301, E-ISSN 1480-3283, Vol. 82, no 10, p. 1638-1646Article in journal (Refereed)
    Abstract [en]

    When animals face temporally periods of strong intraspecific competition, prior residency, available resources, and their competitive abilities in terms of size and behavioural strategy affect their chances of survival. Density, individual size, and behavioural strategy had the strongest effect on growth. The mean growth rate of both resident and intruding brown trout (Salmo trutta L., 1758) decreased with increasing density, and the largest individuals were the most successful ones independently of the density of prior residency. An aggressive behavioural factor was beneficial at the lowest and intermediate densities, whereas a nonaggressive behavioural factor was beneficial at higher densities. Prior residency had no overall significant effect on growth, as the effect was highly density-dependent. The difference in growth rate between introduced and resident individuals was significant only at high density and low food abundance per individual. The intruders had a significantly lower growth rate at high densities and fewer individuals had a high growth rate. These results suggest that stocking fish at densities exceeding the carrying capacity of the habitat results in fewer individuals that are able to compete for resources than if fewer individuals were stocked. Brood stock can then be used in a more efficient way.

  • 7. Brännäs, Eva
    et al.
    Nilsson, M. -C
    Nilsson, L.
    Gallet, C.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Berglind, R.
    Eriksson, L. -O
    Leffler, P. -E
    Zackrisson, O.
    Potential toxic effect on aquatic fauna by the dwarf shrub: Empetrum hermaphroditum2004In: Journal of Chemical Ecology, ISSN 0098-0331, E-ISSN 1573-1561, Vol. 30, no 1, p. 215-227Article in journal (Refereed)
    Abstract [en]

    The common evergreen dwarf shrub Empetrum hormaphroditum has influence on the functioning of boreal terrestrial ecosystems in northern Sweden. The negative effects of E. hermaphroditum are partly attributed to the production of the dihydrostilbene, batatasin-III, which is released from leaves and litter by rain and snowmelt. In this study, we investigated whether batatasin-III is carried by runoff into streams and lakes during the snowmelt period and whether it is also potentially hazardous to aquatic fauna. Sampling of water from streams and a lake for which the surrounding terrestrial vegetation is dominated by E. hermaphroditum was done during the snowmelt period in May 1993 and in 1998, and analyzed for batatasin-III. Using 24- and 48-hr standard toxicity tests, we analyzed toxicity to brown trout (Salmo trutta) alevins and juvenile water fleas (Daphnia magna). Toxicity (proportion of dead individuals) to trout was tested at pH 6.5 and compared with that of a phenol within a range of concentrations. In the toxicity (proportion of immobilized indivuals) test on D. magna, the interactive effect of pH (pH 5.5-7.0) was included. Concentration of batatasin-III was generally higher in 1998 than in 1993 and showed peak levels during snowmelt. Concentration in ephemeral runnels > the lake > streams running through clear-cuts dominated by E. hermaphroditum > control streams lacking adjacent E. hermaphroditum vegetation. The maximum concentration of batatasin-III found was 1.06 mg l-1. The proportion of dead yolk sac alevins increased significantly (P < 0.001) with increasing concentrations of batatasin-III and time of exposure. After 24 hr, EC 50 was 10 mg l-1. It was 2 mg l-1 after 48 hr. The effect of phenol was negligible, indicating a specific phytotoxic effect of the bibenzyl structure of batatasin-III. The proportion of mobile D. magna became significantly smaller (P < 0.001) with increasing concentrations of batatasin-III, with decreasing pH, and with increasing exposure time. EC 50 varied between 7 and 17 mg l-1 at pH 5.5 and 7.0, respectively. After 24 hr EC50 decreased and was 2.5 at pH 5.5 and 12 mg l-1 at pH 7.0. The levels of batatasin-III found in the field samples were below the lowest EC50 in acute toxicity tests. However, in view of the interactive effect of pH and exposure time, this study suggests that this stable plant metabolite may impose a lethal effect on the aquatic fauna in small streams.

  • 8.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Adaptations of Conventional Spatial Econometric Models to Count Data2014Report (Other academic)
    Abstract [en]

    The paper suggests and studies count data models corresponding to previously studied spatial econometric models for continuous variables. A novel way of incorporating spatial weights is considered for both time and space dynamic models with or without simultaneity. The paper also contains a brief discussion about estimation issues

  • 9.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Limited dependent poisson regression1992In: Statistician (London. Print), ISSN 0039-0526, E-ISSN 1467-9884, Vol. 41, no 4, p. 413-423Article in journal (Refereed)
    Abstract [en]

    The paper introduces aspects of statistical inference in Poisson regression models, with a dependent variable subject to truncation and/or censoring. Losses in efficiency, due to censoring and truncation, of the maximum likelihood estimator are illustrated. Predictors and predictor variances are given. New adaptations to tests for unobserved random heterogeneity (overdispersion) are given. Power properties are examined in a small Monte Carlo experiment. A labour market illustration is given.

  • 10.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Modelling Non-Linear Economic Relationships by Clive W. J. Granger; Timo Teräsvirta1994In: Scandinavian Journal of Economics, ISSN 0347-0520, E-ISSN 1467-9442, Vol. 96, no 4, p. 576-577Article, book review (Other academic)
  • 11.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Omitted variables in a weibull regression model1984In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 16, no 3-4, p. 279-283Article in journal (Refereed)
    Abstract [en]

    Asymptotic biases of maximum likelihood and least squares estimators in a Weibull model, subject to omitted variables, are given. The results are contrasted to those of a small sample Monte Carlo experiment.

  • 12.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Department of Statistics.
    On estimation in econometric systems in the presence of time-varying parameters1980Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

    Economic systems are often subject to structural variability. For the achievement of correct structural specification in econometric modelling it is then important to allow for parameters that are time-varying, and to apply estimation techniques suitably designed for inference in such models. One realistic model assumption for such parameter variability is the Markovian model, and Kaiman filtering is then assumed to be a convenient estimator. In the thesis several aspects of using Kaiman filtering approaches to estimation in that framework are considered. The application of the Kaiman filter to estimation in econometric models is straightforward if a set of basic assumptions are satisfied, and if necessary initial specifications can be accurately made. Typically, however, these requirements can generally not be perfectly met. It is therefore of great importance to know the consequences of deviations from the basic assumptions and correct initial specifications for inference, in particular for the small sample situations typical in econometrics. If the consequences are severe it is essential to develop techniques to cope with such aspects.For estimation in interdependent systems a two stage Kaiman filter is proposed and evaluated, theoretically, as well as by a small sample Monte Carlo study, and empirically. The estimator is approximative, but with promising small sample properties. Only if the transition matrix of the parameter model and an initial parameter vector are misspecified, the performance deteriorates. Furthermore, the approach provides useful information about structural properties, and forms a basis for good short term forecasting.In a reduced form fraaework most of the basic assumptions of the traditional Kaiman filter are relaxed, and the implications are studied. The case of stochastic regressors is, under reasonable additional assumptions, shown to result in an estimator structurally similar to that due to the basic assumptions. The robustness properties are such that in particular the transition matrix and the initial parameter vector should be carefully estimated. An estimator for the joint estimation of the transition matrix, the parameter vector and the model residual variance is suggested and utilized to study the consequences of a misspecified parameter model. By estimating th transitions the parameter estimates are seen to be robust in this respect.

  • 13.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Prediction and control for a time-series count data model1995In: International Journal of Forecasting, ISSN 0169-2070, E-ISSN 1872-8200, Vol. 11, no 2, p. 263-270Article in journal (Refereed)
    Abstract [en]

    Time series of count data are becoming more widely available. In a recently suggested class of models, the serial correlation between counts can conveniently be accounted for. In this paper, an easily calculated linear predictor is introduced. Control solutions for average count and for probabilities of specified events are given. An illustration based on a road accident frequency model for a Swedish county is included.

  • 14.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Prediction in a duration model1986In: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 5, no 2, p. 97-103Article in journal (Refereed)
  • 15.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Simultaneity in the Multivariate Count Data Autoregressive Model2013Report (Other academic)
    Abstract [en]

    This short paper proposes a simultaneous equations model formulation for time seriesof count data. Some of the basic moment properties of the model are obtained.The inclusion of real valued exogenous variables is suggested to be through the parametersof the model. Some remarks on the application of the model to spatial dataare made. Instrumental variable and generalized method of moments estimators ofthe structural form parameters are also discussed.

  • 16.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Small sample properties in a heterogenous Weibull model1986In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 21, no 1, p. 17-20Article in journal (Refereed)
    Abstract [en]

    Neglected heterogeneity implies bias for estimators in, e.g., the Weibull duration model. In a Monte Carlo experiment the proper maximum likelihood estimator is better than a new least squares estimator. The likelihood estimator neglecting heterogeneity is inferior. 

  • 17.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    The asymmetric count data moving average model2012Report (Other academic)
    Abstract [en]

    This note defines the asymmetric count data, first order moving average model and gives some of its basic properties. A brief account of conditional least squares estimation of unknown parameters is also given.

  • 18.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    The number of shareholders: time series modelling and some empirical results2014In: Contributions to mathematics, statistics, econometrics, and finance: essays in honour of Professor Seppo Pynnönen / [ed] Johan Knif, Bernd Pape, Vasa: Vaasan Yliopisto , 2014, p. 195-205Chapter in book (Refereed)
  • 19.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    The number of Shareholders: Time series modelling and some empirical results2013Report (Other academic)
    Abstract [en]

    The paper discusses some model related issues for time series of the number of shareholders in a stock. The point of departure is an integer-valued autoregressive model of order one. Empirical results are presented for some frequently traded stocks on the Finnish and Swedish stock markets. In these stock markets public records of the number of owners are reported monthly (Finland) and quarterly (Sweden, and initially at biannual) intervals. The aggregate records are useful for, e.g., indirectly estimating average holding times, which are found to vary but to mostly exceed one year.

  • 20.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Brännäs, Eva
    Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish2004In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 33, no 11, p. 2745-2758Article in journal (Refereed)
    Abstract [en]

    This paper introduces a new approach to incorporating time-dependent overdispersion for Poisson-related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data models, some well-known estimators are adapted, and a generalized method of moments (GMM) estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.

  • 21.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    De Gooijer, J. G.
    Asymmetries in conditional mean and variance: Modelling stock returns by asMA-asQGARCH2004In: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 23, no 3, p. 155-171Article in journal (Refereed)
    Abstract [en]

    We propose a nonlinear time series model where both the conditional mean and the conditional variance are asymmetric functions of past information. The model is particularly useful for analysing financial time series where it has been noted that there is an asymmetric impact of good news and bad news on volatility (risk) transmission. We introduce a coherent framework for testing asymmetries in the conditional mean and the conditional variance, separately or jointly. To this end we derive both a Wald and a Lagrange multiplier test. Some of the new asymmetric model's moment properties are investigated. Detailed empirical results are given for the daily returns of the composite index of the New York Stock Exchange. There is strong evidence of asymmetry in both the conditional mean and the conditional variance functions. In a genuine out-of-sample forecasting experiment the performance of the best fitted asymmetric model, having asymmetries in both conditional mean and conditional variance, is compared with an asymmetric model for the conditional mean, and with no-change forecasts. This is done both in terms of conditional mean forecasting as well as in terms of risk forecasting. Finally, the paper presents some evidence of asymmetries in the index stock returns of the Group of Seven (G7) industrialized countries.

  • 22.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    De Gooijer, J. G.
    Teräsvirta, T.
    Testing linearity against nonlinear moving average models1998In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 27, no 8, p. 2025-2035Article in journal (Refereed)
    Abstract [en]

    Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.

  • 23.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    De Gooijer, Jan
    Department of Quantitative Economics, University of Amsterdam.
    Lönnbark, Carl
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Soultanaeva, Albina
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Simultaneity and asymmetry of returns and volatilities: the emerging Baltic States' stock exchanges2012In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 16, no 1, p. 22Article in journal (Refereed)
    Abstract [en]

    The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find recursive structures with Riga directly depending in returns on Tallinn and Vilnius, and Tallinn on Vilnius. For volatilities both Riga and Vilnius depend on Tallinn. In addition,we find evidence of asymmetric effects of shocks arising in Moscow and in the Baltic state on both returns and volatilities.

  • 24.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    De Gooijer, JG
    Autoregressive-asymmetric moving average models for business-cycle data1994In: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 13, no 6, p. 529-544Article in journal (Refereed)
    Abstract [en]

    Much business cycle research is based on an assumption of symmetric cycles, though it is frequently argued that the downturns are steeper and more short-lived than the upturns; implying cyclical asymmetries. A new class of nonlinear autoregressive-asymmetric moving average models is introduced. These models are able to deal with symmetric as well as asymmetric phenomena. A likelihood estimation procedure and a Wald test statistic for symmetry are presented. Evidence of asymmetry is found in US real GNP growth rates.

  • 25.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    De Luna, Xavier
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Generalized method of moment and indirect estimation of the ARasMA model1998In: Computational statistics (Zeitschrift), ISSN 0943-4062, E-ISSN 1613-9658, Vol. 13, no 4, p. 485-494Article in journal (Refereed)
    Abstract [en]

    Estimation in nonlinear time series models has mainly been performed by least squares or maximum likelihood (ML) methods. The paper suggests and studies the performance of generalized method of moments (GMM) and indirect estimators for the autoregressive asymmetric moving average model. Both approaches are easy to implement and perform well numerically. In a Monte Carlo study it is found that the MSE properties of GMM are close to those of ML. The indirect estimator performs poorly in this respect. On the other hand, the three estimation techniques lead to fairly similar power functions for a linearity test.

  • 26.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Eriksson, Maria
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Enrolment in labour market training programmes1996In: Labour, ISSN 1121-7081, E-ISSN 1467-9914, Vol. 10, no 1, p. 193-208Article in journal (Refereed)
    Abstract [en]

    The specification of a model for selection to labour market training is studied. Based on present value maximization, it is demonstrated that frequently adopted specifications of wage equations yield selection models containing a difference between alternative wage rates paid in the training period. In addition, the training effect on future wage rates can be sign determined. Using this, we test the hypothesis of present value maximization. A test that is robust against omitted variables and heteroskedasticity is used. Based on a sample of unemployed Swedish workers, we find positive training effects for most sub-groups.

  • 27.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Hall, Andreia
    Estimation in integer-valued moving average models2001In: Applied Stochastic Models in Business and Industry, ISSN 1524-1904, E-ISSN 1526-4025, Vol. 17, no 3, p. 277-291Article in journal (Refereed)
    Abstract [en]

    The paper presents new characterizations of the integer-valued moving average model. For four model variants, we give moments and probability generating functions. Yule-Walker and conditional least-squares estimators are obtained and studied by Monte Carlo simulation. A new generalized method of moment estimator based on probability generating functions is presented and shown to be consistent and asymptotically normal. The small sample performance is in some instances better than those of alternative estimators.

  • 28.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Hellström, Jörgen
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Very Small Samples and Additional Non-Sample Information in Forecasting2006In: Festschrift for Tarmo Pukkila on his 60th Birthday, University of Tampere , 2006, p. 63-77Chapter in book (Refereed)
  • 29.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Hellström, Jörgen
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Nordström, Jonas
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    A new approach to modelling and forecasting monthly guest nights in hotels2002In: International Journal of Forecasting, ISSN 0169-2070, E-ISSN 1872-8200, Vol. 18, no 1, p. 19-30Article in journal (Refereed)
    Abstract [en]

    Starting from a day-to-day model on hotel specific guest nights we obtain an integer-valued moving average model by cross-sectional and temporal aggregation. The two parameters of the aggregate model reflect mean check-in and the check-out probability. Letting the parameters be functions of dummy and economic variables we demonstrate the potential of the approach in terms of interesting interpretations. Empirical results are presented for a series of Norwegian guests in Swedish hotels. The results indicate strong seasonal patterns in both mean check-in and in the check-out probability. Models based on differenced series are preferred in terms of goodness-of-fit. In a forecast comparison the improvements due to economic variables are small. © 2002 International Institute of Forecasters. Published by Elsevier Science B.V.

  • 30.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Johansson, P.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Panel data regression for counts1996In: Statistical papers, ISSN 0932-5026, E-ISSN 1613-9798, Vol. 37, no 3, p. 191-213Article in journal (Refereed)
    Abstract [en]

    A new panel data model for count data is introduced. We suggest alternative estimators, such as pseudo maximum likelihood and generalized method of moments, of structural and nuisance parameters. In addition, different test statistics of independence and overdispersion are obtained. The small sample performance of the estimators and tests are evaluated in Monte Carlo experiments. The model is applied to the number of days absent in Sweden 1981-1991 for a panel of Swedish male workers.

  • 31.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Johansson, Per
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Time-series count data regression1994In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 23, no 10, p. 2907-2925Article in journal (Refereed)
    Abstract [en]

    The count data model studied in the paper extends the Poisson model by allowing for overdispersion and serial correlation. Alternative approaches to estimate nuisance parameters, required for the correction of the Poisson maximum likelihood covariance matrix estimator and for a quasi-likelihood estimator, are studied. The estimators are evaluated by finite sample Monte Carlo experimentation. It is found that the Poisson maximum likelihood estimator with corrected covariance matrix estimators provide reliable inferences for longer time series. Overdispersion test statistics are wellbehaved, while conventional portmanteau statistics for white noise have too large sizes. Two empirical illustrations are included.

  • 32.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Karlsson, Niklas
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Estimating the perceived tax scale within a labor supply model1996In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 52, no 1, p. 75-79Article in journal (Refereed)
    Abstract [en]

    The Swedish marginal tax scale is too complex to be known in detail by individuals. This paper indicates that perceived tax scales can be estimated jointly with a labor supply equation. The differences between the true and estimated tax scales are found to be small.

  • 33.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Laitila, Thomas
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Heteroskedasticity in the Tobit model1989In: Statistical papers, ISSN 0932-5026, E-ISSN 1613-9798, Vol. 30, no 1, p. 185-196Article in journal (Refereed)
    Abstract [en]

    The paper deals with parameter estimation and the testing of individual parameters in heteroskedastic Tobit models. The statistical properties of semiparametric and maximum likelihood estimators are evaluated. Corresponding t-test statistics are compared. Results from a Monte Carlo experiment indicate that the semiparametric estimator performs relatively better than the maximum likelihood estimator. The associated t-test statistics appear to perform better than the corresponding maximum likelihood test statistics.

  • 34.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Nordman, Niklas
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    An alternative conditional asymmetry specification for stock returns2003In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 13, no 7, p. 537-541Article in journal (Refereed)
    Abstract [en]

    The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are negatively correlated.

  • 35.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Nordman, Niklas
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Conditional skewness modelling for stock returns2003In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 10, no 11, p. 725-728Article in journal (Refereed)
    Abstract [en]

    Two approaches to modelling conditional skewness in a nonlinear model for stock returns are studied. It is found that a normal distribution can be rejected. A log-generalized gamma distribution with one time-varying density parameter, and a Pearson IV specification with three parameters are better supported by data. While the log-generalized gamma indicates that time-varying skewness is an important feature of the daily composite returns of NYSE, the Pearson IV model suggests that excess kurtosis rather than skewness should be accounted for.

  • 36.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Nordström, Jonas
    An Integer-Valued Time Series Model for Hotels that Accounts for Constrained Capacity2004In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1558-3708, Vol. 8, no 4, p. Article 6-Article in journal (Refereed)
    Abstract [en]

    Many service industry firms strive hard to fill free capacity in order to cover their costs for a fixed capital stock. This paper presents a time series model where the capacity constraint is an integral part. The integer-valued autoregressive model builds on a simple idea of how daily time series arise for hotels and other similar establishments. Measures that follow naturally from the time series model are the occupancy probability and the duration of stay for the visitor. Empirically, we study the effects of price changes and a large festival, on these measures.

  • 37.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Nordström, Jonas
    Tourist Accommodation Effects of Festivals2006In: Tourism Economics, ISSN 1354-8166, E-ISSN 2044-0375, Vol. 12, no 2, p. 291-302Article in journal (Refereed)
    Abstract [en]

    There is increasing interest in arranging festivals or special events in many cities. This paper presents an econometric model to account for the tourism accommodation impact of such events. The autoregressive count data model incorporates some of the more important factors in the planning and evaluation of an event, such as spare capacity, displacement effects and the costs that visitors face. The results for two large Swedish festivals indicate that there are some displacement effects but that the net tourism effect is positive, since the average visitor stays longer during festival periods. In the final year of the sample the festival increased the accommodation receipts for the hotels in Stockholm and Gothenburg by 2% and 6%, respectively.

  • 38.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Ohlsson, H.
    Asymmetric time series and temporal aggregation1999In: Review of Economics and Statistics, ISSN 0034-6535, E-ISSN 1530-9142, Vol. 81, no 2, p. 341-344Article in journal (Refereed)
    Abstract [en]

    The detection of nonlinearities could depend on the sampling frequency. Asymmetric monthly series may become symmetric when aggregated to quarterly or annual frequencies. We test against nonlinearity using the nonlinear autoregressive asymmetric moving average (ARasMA) model, which nests the linear ARMA model as a special case. Using monthly, quarterly, and annual Swedish unemployment series, we find support for symmetry/linearity in the annual series but not in the monthly and quarterly series.

  • 39.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Pohjanpalo, J
    Small sample properties of the likelihood estimator in proportional hazard regression-models with omitted variables1986In: Biometrical Journal, ISSN 0323-3847, E-ISSN 1521-4036, Vol. 28, no 2, p. 219-228Article in journal (Refereed)
  • 40.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Quoreshi, A M M Shahiduzzaman
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Integer-valued moving average modelling of the number of transactions in stocks2010In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 20, no 18, p. 1429-1440Article in journal (Refereed)
    Abstract [en]

    The integer-valued moving average model is advanced to model thenumber of transactions in intra-day data of stocks. The conditional mean andvariance properties are discussed and model extensions to includeexplanatory variables are offered. Least squares and generalized method ofmoment estimators are presented. In a small Monte Carlo study a feasibleleast squares estimator comes out as the best choice. Empirically we findsupport for the use of long-lag moving average models in a Swedish stockseries. There is evidence of asymmetric effects of news about prices on thenumber of transactions.

  • 41.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Rosenqvist, G.
    Semiparametric estimation of heterogeneous count data models1994In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 76, no 2, p. 247-258Article in journal (Refereed)
    Abstract [en]

    Unobserved heterogeneity in a stochastic model is usually represented by a mixing distribution. In this paper a semiparametric estimator is adapted to over-dispersed Poisson regression models. No assumptions are needed about the estimated mixing distribution. The parameters of included explanatory variables are estimated at the same time. The applicability and promising properties of the method are illustrated. Empirically the estimator is applied to a coffee purchase model and to a business travel frequency model subject to zero truncation. The approach is useful, e.g., in marketing research where socio-demographic variables as well as marketing instruments can be included as explanatory variables.

  • 42.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Simonsen, Ola
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Discretized time and conditional duration modelling for stock transaction data2007In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 17, p. 647-658Article in journal (Refereed)
    Abstract [en]

    This article considers conditional duration models in which durations are in continuous time, but measured in grouped or discretized form. This feature of recorded durations in combination with a frequently traded stock is expected to negatively influence the performance of conventional estimators for intra-day duration models. A few estimators that account for the discreteness are discussed and compared in a Monte Carlo experiment. An EM-algorithm accounting for the discrete data performs better than those that do not. Empirical results are reported for trading durations in Ericsson B at Stockholmsbörsen for a 3-week period of July 2002. The incorporation of level variables for past trading is rejected in favour of change variables. This enables an interpretation in terms of news effects. No evidence of asymmetric responses to news about prices and spreads is found.

  • 43.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Soultanaeva, Albina
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Influence of news in Moscow and New York on returns and risks on Baltic States' stock markets2011In: Baltic Journal of Economics, ISSN 1406-099X, Vol. 11, no 1, p. 109-124Article in journal (Refereed)
    Abstract [en]

    The impact of news from the Moscow and New York stock exchanges on the daily returns and volatilities of the Baltic stock market indices is studied. A nonlinear time series model that accounts for asymmetries in the conditional mean and variance functions is used for the empirical work. News from New York has stronger e¤ects on returns in Tallinn than news from Moscow. High-risk shocks in New York have a stronger impact on volatility in Tallinn, whereas volatility of Vilnius is more in.uenced by high-risk shocks from Moscow. Riga seems not to be a¤ected by news arriving from abroad.

  • 44.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Uhlin, Stig
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Improper use of the ordinary least-squares estimator in the switching regression-model1984In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 13, no 14, p. 1781-1791Article in journal (Refereed)
  • 45.
    Brännäs, Kurt
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    Zackrisson, Uno
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics.
    On forecasting of innovations1992In: Quality and quantity, ISSN 0033-5177, E-ISSN 1573-7845, Vol. 26, no 1, p. 95-112Article in journal (Refereed)
    Abstract [en]

    The forecasting of basic technological innovations is focused. Clarification of the involved key concepts and an analytical framework are given. The forest industry serves as a background and illustration to the discussion. Considerable uncertainty prevails with respect to strategic investments in production in this industry. Industries, technological products, etc. have empirically been shown to pass similar phases of development over time. This life cycle starts with a basic innovation following on a previous invention. Due to competetion from more recent basic innovations the final phase is one of decline. Basic innovations are suggested to be exogenously determined and to cause structural change. The choice of forecasting strategy is suggested to be made dependent on the type of innovation, knowledge base, and life cycle position.

  • 46. De Gooijer, JG
    et al.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Invertibility of nonlinear time-series models1995In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 24, no 11, p. 2701-2714Article in journal (Refereed)
    Abstract [en]

    Sufficient conditions for invertibility of non-linear time series models are available in the literature only for a few special cases. In this paper a practical and general method for checking invertibility is presented. Briefly stated, it consists of feeding independent and identically distributed innovations into the non-linear model and then observing whether the model blows up or not. Using this idea invertibility conditions are derived for several recently proposed non-linear moving average models. Finally, the method is applied to a number of bilinear models fitted to economic time series.

  • 47. Johansson, P.
    et al.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    A household model for work absence1998In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 30, no 11, p. 1493-1503Article in journal (Refereed)
    Abstract [en]

    The economic incentives of work absence are empirically studied using a panel of Swedish blue collar workers, both men and women, that either are married or living with a spouse as married. A model for the daily absence decision is derived from standard economic utility theory. An estimable form for the annual number of absence days is obtained by considering the data generating process in some detail. The model is estimated, using the first two moments, with a generalized method of moment estimator. The panel structure of the data is explicity considered and a positive dependence between the number of days absent in the two time periods is found for females. A 1% increase in the cost will lead to a decrease in the mean number of days absent by 1.8 and 2.7% for females and males, respectively.

  • 48.
    Lönnbark, Carl
    et al.
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Holmberg, Ulf
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Department of Economics.
    Value at risk for large portfolios2011In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 8, no 2, p. 18p. 59-68Article in journal (Refereed)
    Abstract [en]

    We argue that the practise used in the valuation of the portfolio is important for the calculation of the Value at Risk. In particular, when liquidating a large portfolio the seller may not face horizontal demand curves. We propose a partially new approach for incorporating this fact in the Value at Risk and in an empirical illustration we compare it to a competing approach. We find substantial differences.

  • 49. Sjogren, T.
    et al.
    Brännäs, Kurt
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
    Recreation travel time conditional on labour supply, work travel time and income1996In: Tourism Economics, ISSN 1354-8166, E-ISSN 2044-0375, Vol. 2, no 3, p. 265-272Article in journal (Refereed)
    Abstract [en]

    An economic model is proposed in which individuals are assumed to choose recreation travel time conditional on work travel time, hours of work and income. Using Swedish data and a grouped regression model, work travel time is found to have a significant and negative effect on recreation travel time for both spouses in a household. Income has a negative and significant effect for males but the effect is insignificant for females. Labour supply is not found to have any significant effect.

1 - 49 of 49
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