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  • 1.
    Hultkrantz, Lars
    et al.
    Örebro University, Örebro University School of Business.
    Andersson, Linda
    Örebro University, Örebro University School of Business.
    Mantalos, Panagiotis
    Örebro University, Örebro University School of Business.
    Stumpage prices in Sweden 1909-2012: Testing for non-stationarity2014In: Journal of Forest Economics, ISSN 1104-6899, E-ISSN 1618-1530, Vol. 20, no 1, p. 33-46Article in journal (Refereed)
    Abstract [en]

    The price of timber stumpage is one of the few natural-resource rents that can be directly observed as a market price. Rules for optimal timber harvesting under uncertainty have been found to depend on whether the timber rent price is non-stationary or stationary. In this study we extend previous research by Hultkrantz (1995) that tested for unit-root with an exogenous break point in Swedish stumpage prices from 1909 to 1990, employing data up to 2012, hence for 104 years, and unit-root tests with endogenously selected break points. We find support for a structural level break at the end of WW2 and that non-stationarity can be rejected. We show that this is a robust conclusion. There is thus no sign of a new break in the extended recent time period and no signal of a secular increase of timber resource scarcity. (C) 2013 Department of Forest Economics, Swedish University of Agricultural Sciences, Lima Published by Elsevier GmbH. All rights reserved.

  • 2.
    Hultkrantz, Lars
    et al.
    Örebro University, Swedish Business School at Örebro University.
    Krüger, Niclas
    Örebro University, Örebro University School of Business.
    Mantalos, Panagiotis
    Örebro University, Örebro University School of Business.
    Risk-adjusted long-term social rates of discount for transportation infrastructure investment2014In: Research in Transportation Economics, ISSN 0739-8859, E-ISSN 1875-7979, Vol. 47, p. 70-81Article in journal (Refereed)
    Abstract [en]

    We modify a method recently suggested by Weitzman (2012, 2013) for determining a risk-adjusted social discount rate (SDR) term structure consistent with both the (augmented) Ramsey rule and the consumption-based CAPM. Using this approach we estimate SDR for transportation infrastructure investments based on an analysis of correlations between transportation, split between road and rail, and between passenger travel and freight transport, and GDP in Sweden 1950–2011. We show that this can be estimated from two time-series following a random walk with drift, even if the variables are not co-integrated. Based on current estimates of the risk-free rate and the equity risk premium, we estimate the relevant SDR to be 5–6 per cent, possibly somewhat lower for investment in railroads for passenger travel, and only slowly declining within the investment horizon. This is higher than the current rates used in, for instance, Sweden, Germany and the UK.

  • 3.
    Javed, Farrukh
    et al.
    Dept of Statistics, Lund University, Lund, Sweden.
    Mantalos, Panagiotis
    Örebro University, Örebro University School of Business.
    GARCH-Type Models and Performance of Information Criteria2013In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 42, no 8, p. 1917-1933Article in journal (Refereed)
    Abstract [en]

    This article discusses the ability of information criteria toward the correct selection of different especially higher-order generalized autoregressive conditional heteroscedasticity (GARCH) processes, based on their probability of correct selection as a measure of performance. Each of the considered GARCH processes is further simulated at different parameter combinations to study the possible effect of different volatility structures on these information criteria. We notice an impact from the volatility structure of time series on the performance of these criteria. Moreover, the influence of sample size, having an impact on the performance of these criteria toward correct selection, is observed.

  • 4.
    Javed, Farrukh
    et al.
    Lund University, Lund, Sweden..
    Mantalos, Panagiotis
    Örebro University, Örebro University School of Business.
    Sensitivity of the causality in variance tests to GARCH(1,1) processes2015In: Chilean Journal of Statistics, ISSN 0718-7912, E-ISSN 0718-7920, Vol. 6, no 1, p. 49-65Article in journal (Refereed)
    Abstract [en]

    This paper studies the impact of a number of volatile data sets on volatility spillover tests. We investigate a type of data generating process, AR(1)-GARCH(1,1), with an extensive set of Monte Carlo simulations. It is found that causation pattern, due to causality between two series, is influenced by the intensity of volatility clustering. Two testing procedures are applied for testing causality in the variance. We notice a severe size and power distortion when the clustering parameter is high and when the process is near integration. Furthermore, whenever there is a severe size distortion, there is a serial autocorrelation in the standardized residuals. This is seen when the asymptotic distribution of the statistics is used to define a critical region. So, instead of relying on the asymptotic distribution, we calculate the percentiles of the test statistic with the null hypothesis of no spillover effect and use them as a critical region for both size and power. We observe a significant improvement in the results.

  • 5.
    Jentsch, Carlstein
    et al.
    Department of Economics, University of Mannheim, Mannheim, Germany .
    Kreiss, Jens P.
    Institut für Mathematische Stochastik, Technische Universität Braunschweig, Braunschweig, Germany .
    Mantalos, Panagiotis
    Örebro University, Örebro University School of Business.
    Paparoditis, Efstathios
    Department of Mathematics and Statistics, University of Cyprus, Nicosia, Cyprus .
    Hybrid bootstrap aided unit root testing2012In: Computational statistics (Zeitschrift), ISSN 0943-4062, E-ISSN 1613-9658, Vol. 27, no 4, p. 779-797Article in journal (Refereed)
    Abstract [en]

    In this paper, we propose a hybrid bootstrap procedure for augmented Dickey-Fuller (ADF) tests for the presence of a unit root. This hybrid proposal combines a time domain parametric autoregressive fit to the data and a nonparametric correction applied in the frequency domain to capture features that are possibly not represented by the parametric model. It is known that considerable size and power problems can occur in small samples for unit root testing in the presence of an MA parameter using critical values of the asymptotic Dickey-Fuller distribution. The benefit of the sieve bootstrap in this situation has been investigated by Chang and Park (J Time Ser Anal 24:379–400, 2003). They showed asymptotic validity as well as substantial improvements for small sample sizes, but the actual sizes of their bootstrap tests were still quite far away from the nominal size. The finite sample performances of our procedure are extensively investigated through Monte Carlo simulations and compared to the sieve bootstrap approach. Regarding the size of the tests, our results show that the hybrid bootstrap remarkably outperforms the sieve bootstrap.

  • 6.
    Mantalos, Panagiotis
    Örebro University, Örebro University School of Business.
    Greek Debt Crisis “An Introduction to the Economic Effects of Austerity”Manuscript (preprint) (Other academic)
    Abstract [en]

    We trace the reasons for the negative development of Greek government debt from 1980 to 2014 by studying the deficits of the Greek state under the same period. We also see the Greek debt under the different political regimes. We briefly describe the two bailout programs for Greece and finally we name the amount and Euro states that own the Greek loans. The negative effects of austerity are about 22% less GDP and total household and government consumption and monthly wages; finally, the unemployment rate grew 21%.

  • 7.
    Mantalos, Panagiotis
    Örebro University, Örebro University School of Business.
    Greek debt Crisis: The "@-euro" a New Possible Solution to the Greek Debt Crisis2015In: International Journal of Financial Crisis and Black Money, Vol. 1, no 1, p. 1-6, article id Mgmt-109Article in journal (Refereed)
    Abstract [en]

    We introducing the new idea, of "@-euro" is a self-part-financiering monetary policy. This new idea, introduced more money (liquidity) to Greek state, and a system to collect taxes from the black economy. This idea, which is a possible solution to the Greek Crisis applied in a 7-years alternative Budget. The "@-euro" has two characteristics, first self-financiering and self-discipline. The produced new MTFS with exceptional positive results, with 43, 00 billion surplus after that we have pay 113, 00 billion Euro back to the creditors in a 7 year period. Moreover, no negative effects of austerity. There is fiscal stimulus without inflation!

  • 8.
    Mantalos, Panagiotis
    et al.
    Department of Statistics, University of Lund, Lund, Sweden.
    Karagrigoriou, A.
    Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC2012In: Journal of Statistical Computation and Simulation, ISSN 0094-9655, E-ISSN 1563-5163, Vol. 82, no 3, p. 431-443Article in journal (Refereed)
    Abstract [en]

    In this paper, we consider the bootstrap procedure for the augmented Dickey–Fuller (ADF) unit root test by implementing the modified divergence information criterion (MDIC, Mantalos et al. [An improved divergence information criterion for the determination of the order of an AR process, Commun. Statist. Comput. Simul. 39(5) (2010a), pp. 865–879; Forecasting ARMA models: A comparative study of information criteria focusing on MDIC, J. Statist. Comput. Simul. 80(1) (2010b), pp. 61–73]) for the selection of the optimum number of lags in the estimated model. The asymptotic distribution of the resulting bootstrap ADF/MDIC test is established and its finite sample performance is investigated through Monte-Carlo simulations. The proposed bootstrap tests are found to have finite sample sizes that are generally much closer to their nominal values, than those tests that rely on other information criteria, like the Akaike information criterion [H. Akaike, Information theory and an extension of the maximum likelihood principle, in Proceedings of the 2nd International Symposium on Information Theory, B.N. Petrov and F. Csáki, eds., Akademiai Kaido, Budapest, 1973, pp. 267–281]. The simulations reveal that the proposed procedure is quite satisfactory even for models with large negative moving average coefficients.

  • 9.
    Mantalos, Panagiotis
    et al.
    Department of Statistics , University of Lund , Lund, Sweden.
    Mattheou, K.
    Department of Mathematics and Statistics , University of Cyprus , Nicosia, Cyprus.
    Karagrigoriou, A.
    Department of Mathematics and Statistics , University of Cyprus , Nicosia, Cyprus.
    An Improved Divergence Information Criterion for the Determination of the Order of an AR Process2010In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 39, no 5, p. 865-879Article in journal (Refereed)
    Abstract [en]

    In this article we propose a modification of the recently introduced divergence information criterion (DIC, Mattheou et al., 2009) for the determination of the order of an autoregressive process and show that it is an asymptotically unbiased estimator of the expected overall discrepancy, a nonnegative quantity that measures the distance between the true unknown model and a fitted approximating model. Further, we use Monte Carlo methods and various data generating processes for small, medium, and large sample sizes in order to explore the capabilities of the new criterion in selecting the optimal order in autoregressive processes and in general in a time series context. The new criterion shows remarkably good results by choosing the correct model more frequently than traditional information criteria.

  • 10.
    Mantalos, Panagiotis
    et al.
    Department of Statistics, University of Lund, Lund, Sweden.
    Mattheou, K.
    Department of Mathematics and Statistics, University of Cyprus, Nicosia, Cyprus.
    Karagrigoriou, A.
    Department of Mathematics and Statistics, University of Cyprus, Nicosia, Cyprus.
    Forecasting ARMA models: a comparative study of information criteria focusing on MDIC2010In: Journal of Statistical Computation and Simulation, ISSN 0094-9655, E-ISSN 1563-5163, Vol. 80, no 1, p. 61-73Article in journal (Refereed)
    Abstract [en]

    This paper deals with the implementation of model selection criteria to data generated by ARMA processes. The recently introduced modified divergence information criterion is used and compared with traditional selection criteria like the Akaike information criterion (AIC) and the Schwarz information criterion (SIC). The appropriateness of the selected model is tested for one- and five-step ahead predictions with the use of the normalized mean squared forecast errors (NMSFE).

  • 11.
    Mantalos, Panagiotis
    et al.
    Department of Statistics, Lund University, Sweden.
    Shukur, Ghazi
    Department of Statistics, Lund University, Sweden; Center for labour market policy research (CAFO) Department of Economics and Statistics, Växjö University, Sweden.
    Bootstrap methods for autocorrelation test with uncorrelated but not independent errors2008In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 25, no 5, p. 1040-1050Article in journal (Refereed)
    Abstract [en]

    By using bootstrap technique we investigate the properties of the Breusch [Breusch, T.S., 1978. Testing for autocorrelation in dynamic linear models. Australian Economic Papers 17, 334–355]–Godfrey [Godfrey, L.G., 1978. Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables. Econometrica 46, 1303–1310] autocorrelation tests in dynamic models with uncorrelated but not independent errors. In this paper we show that, under conditions when the errors are uncorrelated but not independent, even the best likelihood ratio test cannot achieve the asymptotic distribution under the null hypothesis of no autocorrelation. Standard bootstrap methods also fail to produce consistent results. To overcome this problem we applied several bootstrap testing methods for the same purpose and found the stationary bootstrap and Wild bootstrap with static model to perform adequately among the other bootstrap methods.

  • 12.
    Mantalos, Panagiotis
    et al.
    Department of Statistics, Lund University, Lund, Sweden.
    Shukur, Ghazi
    Department of Economics, Jönköping International Business School, Jönköping University, Jönköping, Sweden.
    The effect of spillover on the Granger causality test2010In: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 37, no 9, p. 1473-1486Article in journal (Refereed)
    Abstract [en]

    In this paper, we investigate the properties of the Granger causality test in stationary and stable vector autoregressive models under the presence of spillover effects, that is, causality in variance. The Wald test and the WW test (the Wald test with White's proposed heteroskedasticity-consistent covariance matrix estimator imposed) are analyzed. The investigation is undertaken by using Monte Carlo simulation in which two different sample sizes and six different kinds of data-generating processes are used. The results show that the Wald test over-rejects the null hypothesis both with and without the spillover effect, and that the over-rejection in the latter case is more severe in larger samples. The size properties of the WW test are satisfactory when there is spillover between the variables. Only when there is feedback in the variance is the size of the WW test slightly affected. The Wald test is shown to have higher power than the WW test when the errors follow a GARCH(1,1) process without a spillover effect. When there is a spillover, the power of both tests deteriorates, which implies that the spillover has a negative effect on the causality tests.

  • 13.
    Mantalos, Panagiotis
    et al.
    Department of Statistics , University of Lund , Sweden.
    Zografos, Konstantinos
    Department of Mathematics , University of Ioannina , Greece.
    Interval estimation for a binomial proportion: a bootstrap approach2008In: Journal of Statistical Computation and Simulation, ISSN 0094-9655, E-ISSN 1563-5163, Vol. 78, no 12, p. 1249-1263Article in journal (Refereed)
1 - 13 of 13
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