Testing Seasonal Unit Roots in Data at Any Frequency, an HEGY approach

This paper generalizes the HEGY-type test to detect seasonal unit roots in data at any frequency, based on the seasonal unit root tests in univariate time series by Hylleberg, Engle, Granger and Yoo (1990). We introduce the seasonal unit roots at first, and then derive the mechanism of the HEGY-type test for data with any frequency. Thereafter we provide the asymptotic distributions of our test statistics when different test regressions are employed. We find that the F-statistics for testing conjugation unit roots have the same asymptotic distributions. Then we compute the finite-sample and asymptotic critical values for daily and hourly data by a Monte Carlo method. The power and size properties of our test for hourly data is investigated, and we find that including lag augmentations in auxiliary regression without lag elimination have the smallest size distortion and tests with seasonal dummies included in auxiliary regression have more power than the tests without seasonal dummies. At last we apply the our test to hourly wind power production data in Sweden and shows there are no seasonal unit roots in the series.

Testing common nonlinear features in vector nonlinear autoregressive models

This paper studies a special class of vector smooth-transition autoregressive (VSTAR) models that contains common nonlinear features (CNFs), for which we proposed a triangular representation and developed a procedure of testing CNFs in a VSTAR model. We first test a unit root against a stable STAR process for each individual time series and then examine whether CNFs exist in the system by Lagrange Multiplier (LM) test if unit root is rejected in the first step. The LM test has standard Chi-squared asymptotic distribution. The critical values of our unit root tests and small-sample properties of the F form of our LM test are studied by Monte Carlo simulations. We illustrate how to test and model CNFs using the monthly growth of consumption and income data of United States (1985:1 to 2011:11).

CO2 Emissions, GDP and trade : a panel cointegration approach

This paper examines the relationships among per capita CO2 emissions, per capita GDP and international trade based on panel data sets spanning the period 1960-2008: one for 150 countries and the others for sub-samples comprising OECD and Non-OECD economies. We apply panel unit root and cointegration tests, and estimate a panel error correction model. The results from the error correction model suggest that there are long-term relationships between the variables for the whole sample and for Non-OECD countries. Finally, Granger causality tests show that there is bi-directional short-term causality between per capita GDP and international trade for the whole sample and between per capita GDP and CO2 emissions for OECD countries

Essays on growth and environment

This thesis consists of a summary and four self-contained papers. Paper [I] Following the 1987 report by The World Commission on Environment and Development, the genuine saving has come to play a key role in the context of sustainable development, and the World Bank regularly publishes numbers for genuine saving on a national basis. However, these numbers are typically calculated as if the tax system is non-distortionary. This paper presents an analogue to genuine saving in a second best economy, where the government raises revenue by means of distortionary taxation. We show how the social cost of public debt, which depends on the marginal excess burden, ought to be reflected in the genuine saving. We also illustrate by presenting calculations for Greece, Japan, Portugal, U.K., U.S. and OECD average, showing that the numbers published by the World Bank are likely to be biased and may even give incorrect information as to whether the economy is locally sustainable. Paper [II] This paper examines the relationships among per capita CO2 emissions, per capita GDP and international trade based on panel data spanning the period 1960-2008 for 150 countries. A distinction is also made between OECD and Non-OECD countries to capture the differences of this relationship between developed and developing economies. We apply panel unit root and cointegration tests, and estimate a panel error correction model. The results from the error correction model suggest that there are long-term relationships between the variables for the whole sample and for Non-OECD countries. Finally, Granger causality tests show that there is bi-directional short-term causality between per capita GDP and international trade for the whole sample and between per capita GDP and CO2 emissions for OECD countries. Paper [III] Fundamental questions in economics are why some regions are richer than others, why their growth rates differ, whether their growth rates tend to converge, and what key factors contribute to explain economic growth. This paper deals with the average income growth, net migration, and changes in unemployment rates at the municipal level in Sweden. The aim is to explore in depth the effects of possible underlying determinants with a particular focus on local policy variables. The analysis is based on a three-equation model. Our results show, among other things, that increases in the local public expenditure and income taxe rate have negative effects on subsequent income income growth. In addition, the results show conditional convergence, i.e. that the average income among the municipal residents tends to grow more rapidly in relatively poor local jurisdictions than in initially “richer” jurisdictions, conditional on the other explanatory variables. Paper [IV] This paper explores the relationship between income growth and income inequality using data at the municipal level in Sweden for the period 1992-2007. We estimate a fixed effects panel data growth model, where the within-municipality income inequality is one of the explanatory variables. Different inequality measures (Gini coefficient, top income shares, and measures of inequality in the lower and upper part of the income distribution) are examined. We find a positive and significant relationship between income growth and income inequality measured as the Gini coefficient and top income shares, respectively. In addition, while inequality in the upper part of the income distribution is positively associated with the income growth rate, inequality in the lower part of the income distribution seems to be negatively related to the income growth. Our findings also suggest that increased income inequality enhances growth more in municipalities with a high level of average income than in municipalities with a low level of average income.

MODELLING AND FORECASTING INFLATION RATES IN GHANA: AN APPLICATION OF SARIMA MODELS

Ghana faces a macroeconomic problem of inflation for a long period of time. The problem in somehow slows the economic growth in this country. As we all know, inflation is one of the major economic challenges facing most countries in the world especially those in African including Ghana. Therefore, forecasting inflation rates in Ghana becomes very important for its government to design economic strategies or effective monetary policies to combat any unexpected high inflation in this country. This paper studies seasonal autoregressive integrated moving average model to forecast inflation rates in Ghana. Using monthly inflation data from July 1991 to December 2009, we find that ARIMA (1,1,1)(0,0,1)12 can represent the data behavior of inflation rate in Ghana well. Based on the selected model, we forecast seven (7) months inflation rates of Ghana outside the sample period (i.e. from January 2010 to July 2010). The observed inflation rate from January to April which was published by Ghana Statistical Service Department fall within the 95% confidence interval obtained from the designed model. The forecasted results show a decreasing pattern and a turning point of Ghana inflation in the month of July.

Government spending and unemployment : An empirical study on Sweden, 1994-2012

The aim of the study was to see if any relationship between government spending andunemployment could be empirically found. To test if government spending affectsunemployment, a statistical model was applied on data from Sweden. The data was quarterlydata from the year 1994 until 2012, unit-root test were conducted and the variables wheretransformed to its first-difference so ensure stationarity. This transformation changed thevariables to growth rates. This meant that the interpretation deviated a little from the originalgoal. Other studies reviewed indicate that when government spending increases and/or taxesdecreases output increases. Studies show that unemployment decreases when governmentspending/GDP ratio increases. Some studies also indicated that with an already largegovernment sector increasing the spending it could have negative effect on output. The modelwas a VAR-model with unemployment, output, interest rate, taxes and government spending.Also included in the model were a linear and three quarterly dummies. The model used 7lags. The result was not statistically significant for most lags but indicated that as governmentspending growth rate increases holding everything else constant unemployment growth rateincreases. The result for taxes was even less statistically significant and indicates norelationship with unemployment. Post-estimation test indicates that there were problems withnon-normality in the model. So the results should be interpreted with some scepticism.

Load Adapted Solar Thermal Combisystems - Optical Analysis and Systems Optimization

In a northern European climate a typical solar combisystem for a single family house normally saves between 10 and 30 % of the auxiliary energy needed for space heating and domestic water heating. It is considered uneconomical to dimension systems for higher energy savings. Overheating problems may also occur. One way of avoiding these problems is to use a collector that is designed so that it has a low optical efficiency in summer, when the solar elevation is high and the load is small, and a high optical efficiency in early spring and late fall when the solar elevation is low and the load is large.The study investigates the possibilities to design the system and, in particular, the collector optics, in order to match the system performance with the yearly variations of the heating load and the solar irradiation. It seems possible to design practically viable load adapted collectors, and to use them for whole roofs ( 40 m2) without causing more overheating stress on the system than with a standard 10 m2 system. The load adapted collectors collect roughly as much energy per unit area as flat plate collectors, but they may be produced at a lower cost due to lower material costs. There is an additional potential for a cost reduction since it is possible to design the load adapted collector for low stagnation temperatures making it possible to use less expensive materials. One and the same collector design is suitable for a wide range of system sizes and roof inclinations. The report contains descriptions of optimized collector designs, properties of realistic collectors, and results of calculations of system output, stagnation performance and cost performance. Appropriate computer tools for optical analysis, optimization of collectors in systems and a very fast simulation model have been developed.

Testing for Seasonal Unit Roots when Residuals Contain Serial Correlations under HEGY Test Framework

This paper introduces a corrected test statistic for testing seasonal unit roots when residuals contain serial correlations, based on the HEGY test proposed by Hylleberg,Engle, Granger and Yoo (1990). The serial correlations in the residuals of test regressionare accommodated by making corrections to the commonly used HEGY t statistics. Theasymptotic distributions of the corrected t statistics are free from nuisance parameters.The size and power properties of the corrected statistics for quarterly and montly data are investigated. Based on our simulations, the corrected statistics for monthly data havemore power compared with the commonly used HEGY test statistics, but they also have size distortions when there are strong negative seasonal correlations in the residuals.

Automatic spiral analysis for objective assessment of motor symptoms in Parkinson's disease

Objective: To develop a method for objective quantification of PD motor symptoms related to Off episodes and peak dose dyskinesias, using spiral data gathered by using a touch screen telemetry device. The aim was to objectively characterize predominant motor phenotypes (bradykinesia and dyskinesia), to help in automating the process of visual interpretation of movement anomalies in spirals as rated by movement disorder specialists. Background: A retrospective analysis was conducted on recordings from 65 patients with advanced idiopathic PD from nine different clinics in Sweden, recruited from January 2006 until August 2010. In addition to the patient group, 10 healthy elderly subjects were recruited. Upper limb movement data were collected using a touch screen telemetry device from home environments of the subjects. Measurements with the device were performed four times per day during week-long test periods. On each test occasion, the subjects were asked to trace pre-drawn Archimedean spirals, using the dominant hand. The pre-drawn spiral was shown on the screen of the device. The spiral test was repeated three times per test occasion and they were instructed to complete it within 10 seconds. The device had a sampling rate of 10Hz and measured both position and time-stamps (in milliseconds) of the pen tip. Methods: Four independent raters (FB, DH, AJ and DN) used a web interface that animated the spiral drawings and allowed them to observe different kinematic features during the drawing process and to rate task performance. Initially, a number of kinematic features were assessed including ‘impairment’, ‘speed’, ‘irregularity’ and ‘hesitation’ followed by marking the predominant motor phenotype on a 3-category scale: tremor, bradykinesia and/or choreatic dyskinesia. There were only 2 test occasions for which all the four raters either classified them as tremor or could not identify the motor phenotype. Therefore, the two main motor phenotype categories were bradykinesia and dyskinesia. ‘Impairment’ was rated on a scale from 0 (no impairment) to 10 (extremely severe) whereas ‘speed’, ‘irregularity’ and ‘hesitation’ were rated on a scale from 0 (normal) to 4 (extremely severe). The proposed data-driven method consisted of the following steps. Initially, 28 spatiotemporal features were extracted from the time series signals before being presented to a Multilayer Perceptron (MLP) classifier. The features were based on different kinematic quantities of spirals including radius, angle, speed and velocity with the aim of measuring the severity of involuntary symptoms and discriminate between PD-specific (bradykinesia) and/or treatment-induced symptoms (dyskinesia). A Principal Component Analysis was applied on the features to reduce their dimensions where 4 relevant principal components (PCs) were retained and used as inputs to the MLP classifier. Finally, the MLP classifier mapped these components to the corresponding visually assessed motor phenotype scores for automating the process of scoring the bradykinesia and dyskinesia in PD patients whilst they draw spirals using the touch screen device. For motor phenotype (bradykinesia vs. dyskinesia) classification, the stratified 10-fold cross validation technique was employed. Results: There were good agreements between the four raters when rating the individual kinematic features with intra-class correlation coefficient (ICC) of 0.88 for ‘impairment’, 0.74 for ‘speed’, 0.70 for ‘irregularity’, and moderate agreements when rating ‘hesitation’ with an ICC of 0.49. When assessing the two main motor phenotype categories (bradykinesia or dyskinesia) in animated spirals the agreements between the four raters ranged from fair to moderate. There were good correlations between mean ratings of the four raters on individual kinematic features and computed scores. The MLP classifier classified the motor phenotype that is bradykinesia or dyskinesia with an accuracy of 85% in relation to visual classifications of the four movement disorder specialists. The test-retest reliability of the four PCs across the three spiral test trials was good with Cronbach’s Alpha coefficients of 0.80, 0.82, 0.54 and 0.49, respectively. These results indicate that the computed scores are stable and consistent over time. Significant differences were found between the two groups (patients and healthy elderly subjects) in all the PCs, except for the PC3. Conclusions: The proposed method automatically assessed the severity of unwanted symptoms and could reasonably well discriminate between PD-specific and/or treatment-induced motor symptoms, in relation to visual assessments of movement disorder specialists. The objective assessments could provide a time-effect summary score that could be useful for improving decision-making during symptom evaluation of individualized treatment when the goal is to maximize functional On time for patients while minimizing their Off episodes and troublesome dyskinesias.

Automatic spiral analysis for objective assessment of motor symptoms in Parkinson's disease

A challenge for the clinical management of advanced Parkinson’s disease (PD) patients is the emergence of fluctuations in motor performance, which represents a significant source of disability during activities of daily living of the patients. There is a lack of objective measurement of treatment effects for in-clinic and at-home use that can provide an overview of the treatment response. The objective of this paper was to develop a method for objective quantification of advanced PD motor symptoms related to off episodes and peak dose dyskinesia, using spiral data gathered by a touch screen telemetry device. More specifically, the aim was to objectively characterize motor symptoms (bradykinesia and dyskinesia), to help in automating the process of visual interpretation of movement anomalies in spirals as rated by movement disorder specialists. Digitized upper limb movement data of 65 advanced PD patients and 10 healthy (HE) subjects were recorded as they performed spiral drawing tasks on a touch screen device in their home environment settings. Several spatiotemporal features were extracted from the time series and used as inputs to machine learning methods. The methods were validated against ratings on animated spirals scored by four movement disorder specialists who visually assessed a set of kinematic features and the motor symptom. The ability of the method to discriminate between PD patients and HE subjects and the test-retest reliability of the computed scores were also evaluated. Computed scores correlated well with mean visual ratings of individual kinematic features. The best performing classifier (Multilayer Perceptron) classified the motor symptom (bradykinesia or dyskinesia) with an accuracy of 84% and area under the receiver operating characteristics curve of 0.86 in relation to visual classifications of the raters. In addition, the method provided high discriminating power when distinguishing between PD patients and HE subjects as well as had good test-retest reliability. This study demonstrated the potential of using digital spiral analysis for objective quantification of PD-specific and/or treatment-induced motor symptoms.

Can France really stop them? : A study grounded on the realist perspective about the French foreign policy towards Syria as the root cause of the Phenomenon of French Foreign Fighters

During the Syrian conflict the number of European Foreign Fighters has increased exponentially and has become an ever-growing concern for European policymakers. This phenomenon presents host of major security challenges for European policymakers and governments. Among European countries, France provides the highest number of citizens who have gone to Syria to fight against Assad´s regime. The French authorities have estimated that by mid-2014, over 700 French citizens have left France and travelled to Syria to fight. Historically France has had a relationship with Syria which started with its role as a border-drawing colonial power. Grounded in a framework of realism, that emphasizes nation-states as the primary actor within the international system, the analysis concentrates on the role of France´s foreign policy on the Syria as push factor for terrorism and radicalization. This paper attempts to determinate a specific correlation between the policy that France has been conducting towards Syria between 2000 and 2015, and the phenomenon of French Foreign Fighters. Findings suggest that France´s foreign policy towards Syria is the main root cause of the French Foreign Fighters phenomenon.