Showing 1 - 10 of 54
This paper studies the effect of human capital on the regional entry of firms. An econometric model for a system of disjoint regions and frequency data is constructed, making the comparison between the regions a random discrete choice problem. Empirical evidence from Swedish labour market...
Persistent link: https://www.econbiz.de/10005424021
A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly...
Persistent link: https://www.econbiz.de/10009318808
Conditional heteroskedasticity properties are derived for some common count data regression and time series models. New extensions are suggested and discussed.
Persistent link: https://www.econbiz.de/10005424016
The daily number of occupied hotel rooms in three large Swedish cities is modelled by an integer-valued and binomial autoregression. The model includes the capacity constraint and price variables are incorporated through the parameters of the model. The model implies a duration of hotel visit...
Persistent link: https://www.econbiz.de/10005424022
Modelling the incidence of self-employment has traditionally proved problematic. Whilst the individual supply side characteristics of the self-employed are well documented, the literature has largely neglected (or misspecified) demand side aspects. In this paper we present results from an...
Persistent link: https://www.econbiz.de/10005427635
The research estimates a competing risk model of mortgage terminations on samples of UK securitised subprime mortgages. Given the argued role of these types of loan in the recent financial crisis then it is important to better understand their performance and supposed idiosyncratic behaviour....
Persistent link: https://www.econbiz.de/10010742120
In this paper we examine the demand for education among rural Black households in South Africa using nationally representative data from the 1990s. In particular our study focuses on factors affecting schooling decisions at the household level. Our estimation results reveal strong evidence of a...
Persistent link: https://www.econbiz.de/10005064122
This thesis comprises four papers concerning modelling of financial count data. Paper [1], [2] <p> and [3] advance the integer-valued moving average model (INMA), a special case of integer-valued <p> autoregressive moving average (INARMA) model class, and apply the models to the number of <p> stock...</p></p></p>
Persistent link: https://www.econbiz.de/10005651931
The 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 some wellknown estimators are adapted and a GMM type estimator is suggested. The...
Persistent link: https://www.econbiz.de/10005651943
This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. Paper [3] focus on the information content in the limit order book concerning future price...
Persistent link: https://www.econbiz.de/10005651956