Econometric models of Finnish non-industrial private forest owners' timber supply and timber stock

This dissertation examines the short- and long-run impacts of timber prices and other factors affecting NIPF owners' timber harvesting and timber stocking decisions. The utility-based Faustmann model provides testable hypotheses of the exogenous variables retained in the timber supply analysis. The timber stock function, derived from a two-period biomass harvesting model, is estimated using a two-step GMM estimator based on balanced panel data from 1983 to 1991. Timber supply functions are estimated using a Tobit model adjusted for heteroscedasticity and nonnormality of errors based on panel data from 1994 to 1998. Results show that if specification analysis of the Tobit model is ignored, inconsistency and biasedness can have a marked effect on parameter estimates. The empirical results show that owner's age is the single most important factor determining timber stock; timber price is the single most important factor in harvesting decision. The results of the timber supply estimations can be interpreted using utility-based Faustmann model of a forest owner who values a growing timber in situ.

Generalised regression estimation for domain class frequencies

This study examines the properties of Generalised Regression (GREG) estimators for domain class frequencies and proportions. The family of GREG estimators forms the class of design-based model-assisted estimators. All GREG estimators utilise auxiliary information via modelling. The classic GREG estimator with a linear fixed effects assisting model (GREG-lin) is one example. But when estimating class frequencies, the study variable is binary or polytomous. Therefore logistic-type assisting models (e.g. logistic or probit model) should be preferred over the linear one. However, other GREG estimators than GREG-lin are rarely used, and knowledge about their properties is limited. This study examines the properties of L-GREG estimators, which are GREG estimators with fixed-effects logistic-type models. Three research questions are addressed. First, I study whether and when L-GREG estimators are more accurate than GREG-lin. Theoretical results and Monte Carlo experiments which cover both equal and unequal probability sampling designs and a wide variety of model formulations show that in standard situations, the difference between L-GREG and GREG-lin is small. But in the case of a strong assisting model, two interesting situations arise: if the domain sample size is reasonably large, L-GREG is more accurate than GREG-lin, and if the domain sample size is very small, estimation of assisting model parameters may be inaccurate, resulting in bias for L-GREG. Second, I study variance estimation for the L-GREG estimators. The standard variance estimator (S) for all GREG estimators resembles the Sen-Yates-Grundy variance estimator, but it is a double sum of prediction errors, not of the observed values of the study variable. Monte Carlo experiments show that S underestimates the variance of L-GREG especially if the domain sample size is minor, or if the assisting model is strong. Third, since the standard variance estimator S often fails for the L-GREG estimators, I propose a new augmented variance estimator (A). The difference between S and the new estimator A is that the latter takes into account the difference between the sample fit model and the census fit model. In Monte Carlo experiments, the new estimator A outperformed the standard estimator S in terms of bias, root mean square error and coverage rate. Thus the new estimator provides a good alternative to the standard estimator.

Essays on Risk Modeling. Applications to Portfolio and Risk Management (summary section only)

In this thesis we deal with the concept of risk. The objective is to bring together and conclude on some normative information regarding quantitative portfolio management and risk assessment. The first essay concentrates on return dependency. We propose an algorithm for classifying markets into rising and falling. Given the algorithm, we derive a statistic: the Trend Switch Probability, for detection of long-term return dependency in the first moment. The empirical results suggest that the Trend Switch Probability is robust over various volatility specifications. The serial dependency in bear and bull markets behaves however differently. It is strongly positive in rising market whereas in bear markets it is closer to a random walk. Realized volatility, a technique for estimating volatility from high frequency data, is investigated in essays two and three. In the second essay we find, when measuring realized variance on a set of German stocks, that the second moment dependency structure is highly unstable and changes randomly. Results also suggest that volatility is non-stationary from time to time. In the third essay we examine the impact from market microstructure on the error between estimated realized volatility and the volatility of the underlying process. With simulation-based techniques we show that autocorrelation in returns leads to biased variance estimates and that lower sampling frequency and non-constant volatility increases the error variation between the estimated variance and the variance of the underlying process. From these essays we can conclude that volatility is not easily estimated, even from high frequency data. It is neither very well behaved in terms of stability nor dependency over time. Based on these observations, we would recommend the use of simple, transparent methods that are likely to be more robust over differing volatility regimes than models with a complex parameter universe. In analyzing long-term return dependency in the first moment we find that the Trend Switch Probability is a robust estimator. This is an interesting area for further research, with important implications for active asset allocation.

Applications of Treatment Effects Models and Semiparametric Estimation

This thesis is composed of an introductory chapter and four applications each of them constituting an own chapter. The common element underlying each of the chapters is the econometric methodology. The applications rely mostly on the leading econometric techniques related to estimation of causal effects. The first chapter introduces the econometric techniques that are employed in the remaining chapters. Chapter 2 studies the effects of shocking news on student performance. It exploits the fact that the school shooting in Kauhajoki in 2008 coincided with the matriculation examination period of that fall. It shows that the performance of men declined due to the news of the school shooting. For women the similar pattern remains unobserved. Chapter 3 studies the effects of minimum wage on employment by employing the original Card and Krueger (1994; CK) and Neumark and Wascher (2000; NW) data together with the changes-in-changes (CIC) estimator. As the main result it shows that the employment effect of an increase in the minimum wage is positive for small fast-food restaurants and negative for big fast-food restaurants. Therefore, it shows that the controversial positive employment effect reported by CK is overturned for big fast-food restaurants and that the NW data are shown, in contrast to their original results, to provide support for the positive employment effect. Chapter 4 employs the state-specific U.S. data (collected by Cohen and Einav [2003; CE]) on traffic fatalities to re-evaluate the effects of seat belt laws on the traffic fatalities by using the CIC estimator. It confirms the CE results that on the average an implementation of a mandatory seat belt law results in an increase in the seat belt usage rate and a decrease in the total fatality rate. In contrast to CE, it also finds evidence on compensating-behavior theory, which is observed especially in the states by the border of the U.S. Chapter 5 studies the life cycle consumption in Finland, with the special interest laid on the baby boomers and the older households. It shows that the baby boomers smooth their consumption over the life cycle more than other generations. It also shows that the old households smoothed their life cycle consumption more as a result of the recession in the 1990s, compared to young households.

Suomalaisten yksityismetsien raakapuun tarjonta 1999-2009

Pro gradu -tutkielman tavoite on mallintaa suomalaisten yksityismetsien raakapuun tarjontaa vuosien 1999-2009 puukauppa-aineistolla. Tutkielman tulos on raakapuun kantohinnasta ja muista tarpeellisista selittävistä muuttujista riippuva tarjonnan funktio kaikille käsitellyille raakapuulajeille. Tutkielman toimeksiantaa UPM-Kymmene Oyj. Tarkoitus on, että tarjontafunktioiden ja lopputuotteidensa kysynnän tuntemuksen avulla UPM-Kymmene voi tarkastella mahdollisuuksiaan puunhankintaan tulevaisuudessa. Tutkielma esittelee suomalaisen raakapuumarkkinan erityispiirteitä, metsäekonomista teoriaa raakapuun tarjonnasta sekä aihetta koskevien aiempien empiiristen tutkimusten tuloksia. Esittelyn perusteella löydetään kysymyksenasettelun kannalta hinnan lisäksi kiinnostavimmat muuttujat tarjonnan vaihtelun selittämiseen. Osoittautuu, että vaikka kysyntäfunktion olemassaolon taloustieteellinen perusteltavuus suomalaisella raakapuumarkkinalla on kyseenalainen, ostomäärän ja hinnan samanaikainen määräytyminen aiheuttaa aineistossa riippuvuutta tarjontamallien virhetermin ja selittävänä muuttujana käytettävän kantohinnan välillä. Tutkielma jatkuu simultaanisuusharhan, instrumenttimuuttujamenetelmän ja kaksivaiheisen pienimmän neliösumman menetelmän esittelyllä seuraten Hamiltonin kirjaa 77me Serres Analysis (1994) sekä Davidsonin ja MacKinnonin kirjaa Econometric Theory and Methods (2004). Tarkentuvaa estimaattoria varten tarvitaan instrumenttimuuttujia, jotka valitaan kunkin raakapuulajin mallille erikseen. Osassa tarjontamalleista havaitaan estimolntimenetelmän kannalta olennaista muuttujien epästationaarisuutta, joka perustellaan seurauksettomaksi soveltaen johtopäätöksiä Hsiaon artikkelista Statistical Properties of the Tvvo-Stage Least Squares Estimator Under Cointegration (1997). Diagnostisen tarkastelun jälkeen mallit todetaan moitteettomiksi. Tulosten mukaan raakapuun tarjonnan hintajousto on korkeampi kuin esitellyissä aikaisemmissa empiirisissä tutkimuksissa. Lisäksi käsiteltyjen kuitupuulajien tarjontojen hintajoustot ovat tukkipuulajien joustoja korkeampia, mikä on metsänhoidollisin syin perusteltavaa. Tarjonta ei sen sijaan näytä juuri reagoineen käsitellylle aikajaksolle sattuneisiin veromuutoksiin. Osoittautuu myös, ettei tarjonta riipu voimakkaasti sijoitetun pääoman hinnasta eli korosta. Valtiotieteellisen tiedekunnan dekaani ja UPM-Kymmene sopivat vuonna 2009, että pro gradu -tutkielmasta säilytetään valtiotieteellisen tiedekunnan kirjastossa sensuroitua kappaletta, josta yksityiskohtaisimmat lopputulokset jätetään pois. Tämä tutkielman kappale on suppea, siten sivumäärältään tiivistelmäsivun tietoa lyhyempi.