Topics in Spatial Econometrics - With Applications to House Prices

Topics in Spatial Econometrics — With Applications to House Prices Spatial effects in data occur when geographical closeness of observations influences the relation between the observations. When two points on a map are close to each other, the observed values on a variable at those points tend to be similar. The further away the two points are from each other, the less similar the observed values tend to be. Recent technical developments, geographical information systems (GIS) and global positioning systems (GPS) have brought about a renewed interest in spatial matters. For instance, it is possible to observe the exact location of an observation and combine it with other characteristics. Spatial econometrics integrates spatial aspects into econometric models and analysis. The thesis concentrates mainly on methodological issues, but the findings are illustrated by empirical studies on house price data. The thesis consists of an introductory chapter and four essays. The introductory chapter presents an overview of topics and problems in spatial econometrics. It discusses spatial effects, spatial weights matrices, especially k-nearest neighbours weights matrices, and various spatial econometric models, as well as estimation methods and inference. Further, the problem of omitted variables, a few computational and empirical aspects, the bootstrap procedure and the spatial J-test are presented. In addition, a discussion on hedonic house price models is included. In the first essay a comparison is made between spatial econometrics and time series analysis. By restricting the attention to unilateral spatial autoregressive processes, it is shown that a unilateral spatial autoregression, which enjoys similar properties as an autoregression with time series, can be defined. By an empirical study on house price data the second essay shows that it is possible to form coordinate-based, spatially autoregressive variables, which are at least to some extent able to replace the spatial structure in a spatial econometric model. In the third essay a strategy for specifying a k-nearest neighbours weights matrix by applying the spatial J-test is suggested, studied and demonstrated. In the final fourth essay the properties of the asymptotic spatial J-test are further examined. A simulation study shows that the spatial J-test can be used for distinguishing between general spatial models with different k-nearest neighbours weights matrices. A bootstrap spatial J-test is suggested to correct the size of the asymptotic test in small samples.

Inference on Cointegration in Vector Autoregressive Models (summary section only)

In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The thesis consists of an introduction and four papers. The first paper proposes a new test for cointegration in VAR models that is directly based on the eigenvalues of the least squares (LS) estimate of the autoregressive matrix. In the second paper we compare a small sample correction for the likelihood ratio (LR) test of cointegrating rank and the bootstrap. The simulation experiments show that the bootstrap works very well in practice and dominates the correction factor. The tests are applied to international stock prices data, and the .nite sample performance of the tests are investigated by simulating the data. The third paper studies the demand for money in Sweden 1970—2000 using the I(2) model. In the fourth paper we re-examine the evidence of cointegration between international stock prices. The paper shows that some of the previous empirical results can be explained by the small-sample bias and size distortion of Johansen’s LR tests for cointegration. In all papers we work with two data sets. The first data set is a Swedish money demand data set with observations on the money stock, the consumer price index, gross domestic product (GDP), the short-term interest rate and the long-term interest rate. The data are quarterly and the sample period is 1970(1)—2000(1). The second data set consists of month-end stock market index observations for Finland, France, Germany, Sweden, the United Kingdom and the United States from 1980(1) to 1997(2). Both data sets are typical of the sample sizes encountered in economic data, and the applications illustrate the usefulness of the models and tests discussed in the thesis.

Effect of matrix strength on the mechanical properties of Al-Zn-Mg/SiCp composites

The mechanical properties of Al-Zn-Mg alloy reinforced with SiCP composites prepared by solidification route were studied by altering the matrix strength with different heat treatments. With respect to the control alloy, the composites have shown similar ageing behaviour in terms of microhardness data at 135 degrees C. It was shown that although composites exhibited enhanced modulus values, the strengthening was found to be dependent on the damage that is occurring during straining. Thus the initial matrix strength plays an important role in determining the strengthening. Consequently, compression data had shown a different trend compared to tension. (C) 2000 Elsevier Science Ltd. All rights reserved.

Managing Project Business Development: an Inter-Organizational and Intra-Organizational Perspective (summary section only)

The driving force behind this study is the gap between the reality of the firms engaged in project business and the available studies covering project management and business process development. Previous studies show that project-based organizations were ‘immature’ in terms of the project-management ‘maturity model’, as few firms were found to be optimizing processes. Even within those, very little attention was paid to combine inter-organizational and intra-organizational perspectives. In this study an effort is made to elaborate some thoughts and views on project management, which interrelate firms’ external and internal activities. In line with the integration, the dissertation uses an approach to the management of project-business interdependencies in the networks of actors, activities and resources. Firstly, the study develops an understanding for inter-organizational perspectives by exploring the complementarities of process activities in the basic development of project business. It presents a framework that is elaborated on the basis of the reciprocal interactions of activities within and outside the organization—thus providing a coherent basis for continuous business-process improvement. In addition, the study presents new tools that can be used to develop project-business processes in each of its functional areas. The research demonstrates how project-business activities can be optimized using the right resources at the right time with the right actors and the right actions. The selected five articles included in this dissertation explain the basic framework for the development of project business. Each paper covers various aspects of inter-organizational and intra-organizational perspectives for project management. The study develops a valuable and procedural model for business-process improvement using the Delphi method that can be used not only in academia but also as a guide for practitioners that takes them through a series of well-defined steps when making informed, consistent and efficient changes to their business processes.

Hur den aktiva kunden konstruerar budskap - Ett synsätt inom relationskommunikation

Den här avhandlingen erbjuder ett nytt perspektiv på marknadskommunikation. Det nya är ett starkt kundfokus, där kunden är en aktiv medpart i kommunikationsprocessen. I det traditionella kommunikationsperspektivet har man sett kunden som ett objekt som blir utsatt för företagets olika åtgärder. Där har det varit företaget som stått för integreringen av de olika budskapen. I det här arbetet står kunden för integrationen och har därmed möjligheten att lägga till budskap eller lämna bort någonting väsentligt. I och med perspektivskiftet kan man upptäcka nya fenomen i kommunikation som inte tidigare beaktats i tillräcklig utsträckning. Eftersom det är kunden som står för den aktiva konstruktionen av budskap, kan kundens uppfattning vara en annan än den som företagen avsett. Kundens uppfattning kan beskrivas med hjälp av begreppen tydlig, otydlig och tyst kommunikation. Inom ramen för tyst kommunikation utvecklas ett nytt begrepp – passiv kommunikation – som kan öppna möjligheter för företag att minska på den aktiva kommunikationen med sina kunder. Även källorna till den här kommunikationen kan variera. Dylika källor kan lokaliseras till relation, händelse eller konsekvens. Dessa fenomen har sammanställts i en modell som kallas relationskommunikationsarenan. Kundernas uppfattningar varierar beroende på om det är fråga om relationskommunikation eller annan kommunikation. Dessa uppfattningar är strukturerade i två olika dimensioner: en tids- och en kontextdimension. Tidsdimensionen består av historiska och framtidsrelaterade faktorer och kontextdimensionen är en situationsdimension som består av interna, personliga faktorer och av externa faktorer i omgivningen. I relations-kommunikation förekommer faktorer från alla dimensioner. Modellen för denna struktur kallas den dynamiska kommunikationsmodellen. I avhandlingen utvecklas även en metod – kommunikationstopografi – med vars hjälp olika uppfattningar kan visualiseras på ett åskådligt sätt. Med topografierna kan olika budskap som annonser analyseras och tydliga, otydliga samt tysta budskap separeras. På motsvarande sätt kan även olika grupper av personer som uppfattar budskap på ett visst sätt särskiljas. Både budskap och personer analyseras här. Förekomsten av relationskommunikation kan i en del fall påvisas. Med kommunikationstopografi kan man visa hur den aktiva kunden konstruerar, lägger till eller lämnar bort budskap.

Examining and Modeling the Dynamics of the Volatility Surface

The objective of this paper is to investigate and model the characteristics of the prevailing volatility smiles and surfaces on the DAX- and ESX-index options markets. Continuing on the trend of Implied Volatility Functions, the Standardized Log-Moneyness model is introduced and fitted to historical data. The model replaces the constant volatility parameter of the Black & Scholes pricing model with a matrix of volatilities with respect to moneyness and maturity and is tested out-of-sample. Considering the dynamics, the results show support for the hypotheses put forward in this study, implying that the smile increases in magnitude when maturity and ATM volatility decreases and that there is a negative/positive correlation between a change in the underlying asset/time to maturity and implied ATM volatility. Further, the Standardized Log-Moneyness model indicates an improvement to pricing accuracy compared to previous Implied Volatility Function models, however indicating that the parameters of the models are to be re-estimated continuously for the models to fully capture the changing dynamics of the volatility smiles.

Volatility Smile Dynamics in Scenario Analysis

The objective of this paper is to suggest a method that accounts for the impact of the volatility smile dynamics when performing scenario analysis for a portfolio consisting of vanilla options. As the volatility smile is documented to change at least with the level of implied at-the-money volatility, a suitable model is here included in the calculation process of the simulated market scenarios. By constructing simple portfolios of index options and comparing the ex ante risk exposure measured using different pricing methods to realized market values, ex post, the improvements of the incorporation of the model are monitored. The analyzed examples in the study generate results that statistically support that the most accurate scenarios are those calculated using the model accounting for the dynamics of the smile. Thus, we show that the differences emanating from the volatility smile are apparent and should be accounted for and that the methodology presented herein is one suitable alternative for doing so.

Elucidation of the mechanism of interaction of sheep spleen galectin-1 with splenocytes and its role in cell-matrix adhesion

The binding of a 14 kDa beta-galactoside animal lectin to splenocytes has been studied in detail. The binding data show that there are two classes of binding sites on the cells for the lectin: a high-affinity site with a K-a ranging from 1.1 x 10(6) to 5.1 x 10(5) M-1 and a low affinity binding site with a K-a ranging from 7.7 x 10(4) to 3.4 x 10(4) M-1 The number of receptors per cell for the high- and low-affinity sites is 9 +/- 3 x 10(6) and 2.5 +/- 0.5 x 10(6) respectively. The temperature dependence of the K value yielded the thermodynamic parameters. The energetics of this interaction shows that, although this interaction is essentially enthalpically driven (Delta H - 21 kJ lambda mol(-1)) for the high-affinity sites, there is a very favorable entropy contribution to the free energy of this interaction (-T Delta S - 17.5 Jmol(-1)), suggesting that hydrophobic interaction may also be playing a role in this interaction. Lactose brought about a 20% inhibition of this interaction, whereas the glycoprotein asialofetuin brought about a 75 % inhibition, suggesting that complex carbohydrate structures are involved in the binding of galectin-1 to splenocytes, Galectin-1 also mediated the binding and adhesion of splenocytes to the extracellular matrix glycoprotein laminin, suggesting a role for it in cell-matrix interactions. Copyright (C) 2000 John Wiley & Sons, Ltd.

A density matrix renormalization group study of low-lying excitations of polythiophene within a Pariser-Parr-Pople model

Symmetrized density-matrix-renormalization-group calculations have been carried out, within Pariser-Parr-Pople Hamiltonian, to explore the nature of the ground and low-lying excited states of long polythiophene oligomers. We have exploited C-2 symmetry and spin parity of the system to obtain excited states of experimental interest, and studied the lowest dipole allowed excited state and lowest dipole forbidden two photon state, for different oligomer sizes. In the long system limit, the dipole allowed excited state always lies below the lowest dipole forbidden two-photon state which implies, by Kasha rule, that polythiophene fluoresces strongly. The lowest triplet state lies below two-photon state as usual in conjugated polymers. We have doped the system with a hole and an electron and obtained the charge excitation gap and the binding energy of the 1(1)B(u)(-) exciton. We have calculated the charge density of the ground, one-photon and two-photon states for the longer system size of 10 thiophene rings to characterize these states. We have studied bond order in these states to get an idea about the equilibrium excited state geometry of the system. We have also studied the charge density distribution of the singly and doubly doped polarons for longer system size, and observe that polythiophenes do not support bipolarons.

A soluble random-matrix model for relaxation in quantum systems

We study the relaxation of a degenerate two-level system interacting with a heat bath, assuming a random-matrix model for the system-bath interaction. For times larger than the duration of a collision and smaller than the Poincaré recurrence time, the survival probability of still finding the system at timet in the same state in which it was prepared att=0 is exactly calculated.

On the hardness and elastic modulus of bulk metallic glass matrix composites

The influences of the amorphous matrix and crystalline dendrite phases on the hardness and elastic moduli of Zr/Ti-based bulk metallic glass matrix composites have been assessed. While the moduli of the composites correspond to those predicted by the rule of mixtures, the hardness of the composites is similar to that of the matrix, suggesting that the plastic flow in the composites under constrained conditions such as indentation is controlled by the flow resistance of the contiguous matrix. (C) 2010 Acta Materialia Inc. Published by Elsevier Ltd. All rights reserved.

Tests for Cointegration Rank and the Initial Condition

Many economic events involve initial observations that substantially deviate from long-run steady state. Initial conditions of this type have been found to impact diversely on the power of univariate unit root tests, whereas the impact on multivariate tests is largely unknown. This paper investigates the impact of the initial condition on tests for cointegration rank. We compare the local power of the widely used likelihood ratio (LR) test with the local power of a test based on the eigenvalues of the companion matrix. We find that the power of the LR test is increasing in the magnitude of the initial condition, whereas the power of the other test is decreasing. The behaviour of the tests is investigated in an application to price convergence.

Computing a matrix symmetrizer exactly using modified multiple modulus residue arithmetic

A symmetric solution X satisfying the matrix equation XA = AtX is called a symmetrizer of the matrix A. A general algorithm to compute a matrix symmetrizer is obtained. A new multiple-modulus residue arithmetic called floating-point modular arithmetic is described and implemented on the algorithm to compute an error-free matrix symmetrizer.

PVA-SSA-HPA Mixed-Matrix-Membrane Electrolytes for DMFCs

Stabilized forms of heteropolyacids (HPAs), namely phosphomolybdic acid (PMA), phosphotungstic acid (PTA), and silicotungstic acid (STA), are incorporated into poly (vinyl alcohol) (PVA) cross-linked with sulfosuccinic acid (SSA) to form mixed-matrix membranes for application in direct methanol fuel cells (DMFCs). Bridging SSA between PVA molecules not only strengthens the network but also facilitates proton conduction in HPAs. The mixed-matrix membranes are characterized for their mechanical stability, sorption capability, ion-exchange capacity, and wetting in conjunction with their proton conductivity, methanol permeability, and DMFC performance. Methanol-release kinetics is studied ex situ by volume-localized NMR spectroscopy (employing point-resolved spectroscopy'') with the results clearly demonstrating that the incorporation of certain inorganic fillers in PVA-SSA viz., STA and PTA, retards the methanol-release kinetics under osmotic drag compared to Nafion, although PVA-SSA itself exhibits a still lower methanol permeability. The methanol crossover rate for PVA-SSA-HPA-bridged-mixed-matrix membranes decreases dramatically with increasing current density rendering higher DMFC performance in relation to a DMFC using a pristine PVA-SSA membrane. A peak power density of 150 mW/cm(2) at a load current density of 500 mA/cm(2) is achieved for the DMFC using a PVA-SSA-STA-bridged-mixed-matrix-membrane electrolyte. (C) 2010 The Electrochemical Society. [DOI: 10.1149/1.3465653] All rights reserved.