Common Features in Vector Nonlinear Time Series Models

This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in these area. Both stationary and nonstationary time series are concerned. A definition of common features is proposed in an appropriate way to each class. Based on the definition, a vector nonlinear time series model with common features is set up for testing for common features. The proposed models are available for forecasting as well after being well specified. The first paper addresses a testing procedure on nonstationary time series. A class of nonlinear cointegration, smooth-transition (ST) cointegration, is examined. The ST cointegration nests the previously developed linear and threshold cointegration. An Ftypetest for examining the ST cointegration is derived when stationary transition variables are imposed rather than nonstationary variables. Later ones drive the test standard, while the former ones make the test nonstandard. This has important implications for empirical work. It is crucial to distinguish between the cases with stationary and nonstationary transition variables so that the correct test can be used. The second and the fourth papers develop testing approaches for stationary time series. In particular, the vector ST autoregressive (VSTAR) model is extended to allow for common nonlinear features (CNFs). These two papers propose a modeling procedure and derive tests for the presence of CNFs. Including model specification using the testing contributions above, the third paper considers forecasting with vector nonlinear time series models and extends the procedures available for univariate nonlinear models. The VSTAR model with CNFs and the ST cointegration model in the previous papers are exemplified in detail,and thereafter illustrated within two corresponding macroeconomic data sets.

The determinants of internationalstudent mobility : An empirical study on U.S. Data

The increase in foreign students in countries such as the US, the UK and Francesuggests that the international ‘education industry’ is growing in importance. Thepurpose of this paper is to investigate the empirical determinants of internationalstudent mobility. A secondary purpose is to give tentative policy suggestions to hostcountry, source country and also to provide some recommendations to students whowant to study abroad. Using pooled cross-sectional time series data for the US overthe time period 1993-2006, we estimate an econometric model of enrolment rates offoreign students in the US. Our results suggest that tuition fees, US federal support ofeducation, and the size of the ‘young’ generation of source countries have asignificant influence on international student mobility. We also consider other factorsthat may be relevant in this context.

On administrative borders and accessibility to public services: : The case of hospitals in Sweden.

An administrative border might hinder the optimal allocation of a given set of resources by restricting the flow of goods, services, and people. In this paper we address the question: Do administrative borders lead to poor accessibility to public service such as hospitals? In answering the question, we have examined the case of Sweden and its regional borders. We have used detailed data on the Swedish road network, its hospitals, and its geo-coded population. We have assessed the population’s spatial accessibility to Swedish hospitals by computing the inhabitants’ distance to the nearest hospital. We have also elaborated several scenarios ranging from strongly confining regional borders to no confinements of borders and recomputed the accessibility. Our findings imply that administrative borders are only marginally worsening the accessibility.

A Cost Model for the Effect of Setup Time Reduction in Stainless Steel Strip Production

Setup time reduction facilitate the flexibility needed for just-in-time production. An integrated steel mill with meltshop, continuous caster and hot rolling mill is often operated as decoupled processes. Setup time reduction provides the flexibility needed to reduce buffering, shorten lead times and create an integrated process flow. The interdependency of setup times, process flexibility and integration were analysed through system dynamics simulation. The results showed significant reductions of energy consumption and tied capital. It was concluded that setup time reduction in the hot strip mill can aid process integration and hence improve production economy while reducing environmental impact.