Jörgen Hellström

A new approach to modelling and forecasting monthly guest nights in hotels

Starting from a day-to-day model on hotel specific guest nights we obtain an integer-valued moving average model by cross-sectional and temporal aggregation. The two parameters of the aggregate model reflect the daily mean check-in and the daily check-out probability. Letting the parameters be functions of dummy and economic variables we demonstrate the potential of the approach in terms of interesting interpretations. Empirical results are presented for a series of Norwegian guests in Swedish hotels. The results indicate strong seasonal patterns in both mean check-in and in the check-out probability. Models based on differenced series are preferred in terms of goodness-of-fit. In a forecast comparison the improvements due to economic variables is minute.

GENERALIZED INTEGER-VALUED AUTOREGRESSION

The integer-valued AR1 model is generalized to encompass some of the more likely features of economic time series of count data. The generalizations come at the price of loosing exact distributional properties. For most specifications the first and second order both conditional and unconditional moments can be obtained. Hence estimation, testing and forecasting are feasible and can be based on least squares or GMM techniques. An illustration based on the number of plants within an industrial sector is considered.

Side effects of generic competition

This study examined the relationship between generic drug market shares and the number of reported side effects. Yearly time-series data for the number of reported side effects and information on market shares, prices, and quantities from 1972 to 1996 were used in this study. Poisson and negative binomial regression models were used in the statistical analysis. The results show that increased generic market share increases the number of reported side effects for all estimated models. When studying the relationship at the substance level, increasing generic market shares increases the number of side effects for 7 of the 15 substances. Generic substitution laws and measures to increase generic competition may thus have unintended consequences since these results show a positive relationship between generic market shares and reported side effects.

Multinational electricity market integration and electricity price dynamics

The paper empirically explores the electricity price dynamics in the Nordic power market, Nord Pool, during the years 1996-2006. Empirically the study reveals that the conditional mean electricity price increased when Finland joined, and remained at the higher level when Denmark also joined. Turning to the price volatility, this increased when Finland joined, but decreased when Denmark also joined. However, the price jump-intensity decreased both when Finland and Denmark joined the market. This means that a larger electricity market seems to reduce the probability of sudden price jumps. That is, the multinational electricity market integration seems to have created a market that handles external shocks to supply and demand more efficient than the separate national electricity markets previously did.

Unit root testing in integer-valued AR(1) models

We focus on the testing of a unit root in the integer-valued autoregression of order one. Finite sample distributions for a Dickey-Fuller test of a random walk with drift with Poisson distributed and, hence, skewed errors are obtained by Monte Carlo simulation.

Intra-household Allocation of Time to Household Production Activities - Evidence from Swedish Household Data

The purpose of this paper is to study the intra-household allocation of time to several household production activities using Swedish cross-sectional household data. The Tobit model is rejected in favor of the Cragg model, suggesting that the intra-household time allocation is best modeled by a two step procedure. Moreover, when household production is defined as the sum of different household activities, the results differ substantially from the case when each household activity is separately estimated. The parameter estimates also indicate that presence of children are more important than economic factors in determining the intra-household allocation of time.

Does social trust speed up reforms? The case of central-bank independence

Many countries have undertaken central-bank independence reforms, but the years of implementation differ. What explains such differences in timing? This is of interest more broadly, as it sheds light on factors that matter for the speed at which economic reforms come about. We study a rich set of potential determinants, both economic and political, but put special focus on a cultural factor, social trust. We find empirical support for an inverse u-shape: Countries with low and high social trust implemented their reforms earlier than countries with intermediate levels. We make use of two factors to explain this pattern: the need to undertake reform (which is more urgent in countries with low social trust) and the ability to undertake reform (which is greater in countries with high social trust).

Evaluating measures of individual investors’ expectations of risk and return

Purpose – The purpose of this paper is to measure individual investors’ expectations of risk and return and to evaluate different expectation measures.Design/methodology/approach – We measure indiv ...

Identification of Jumps in Financial Time Series

The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identification of the number of jumps and jump times during a day, as well as, the size and direction (negative or positive) of the jumps. The method is of importance in order to facilitate detailed empirical studies concerning, for example, causes for jumps in financial price series at finer levels than the daily. The Monte Carlo study reveals that the strategy works reasonably well, particular for lower jump intensities. An application of the studied strategy on the Handelsbanken stock is provided.