Tor Jacobson

Sveriges Riksbank, Tukholma, Stockholm, Sweden

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Publications (8)3.13 Total impact

  • Tor Jacobson, Mikael Gredenhoff
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    ABSTRACT: We consider a computer-intensive method for inference on cointegrating vectors in maximum likelihood cointegration analysis. Simulation studies show that the size distortion for the asymptotic likelihood ratio test can be considerable for small samples. It is demonstrated that a parametric bootstrap frequently results in a nearly exact alpha-level test. Furthermore, response surface regression is used to examine small-sample properties of the asymptotic test. In particular, using an extensive experimental design, in which the data-generating processes are based on empirical models, we describe how the complexity of the model affects the degree of size distortion for given sample size.
    Journal of Business and Economic Statistics 02/2001; 19(1):63-72. · 1.93 Impact Factor
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    01/2001;
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    Tor Jacobson, Henry Ohlsson
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    ABSTRACT: We study three questions which are important for work sharing to increase employment. First, is there a negative long-run relation between working time and employment? Second, are hours per worker exogenous with respect to wages and employment? Third, can policy makers influence actual hours per worker? We formulate a theoretical model for employment, hours per worker, production, and real wages. A VAR model with cointegrating constraints is estimated by maximum likelihood using Swedish private sector data 1970:1-1990:4. We find (i) no long-run relation between hours per worker and employment, (ii) that hours per worker are endogenous with respect to the estimation of long-run parameters, and (iii) that legislated working time and hours per worker are related to each other in the long run.
    Empirical Economics 01/2000; 25(1):169-187. · 0.60 Impact Factor
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    Tor Jacobson
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    ABSTRACT: This paper analyzes - using Monte Carlo simulation - small-sample properties of the maximum likelihood cointegration method for estimation and inference in cointegrated systems. The simulations of a bivariate system concentrate on the following; the estimator of the cointegrating vector; the trace test for determining cointegrating rank, and the likelihood ratio and Wald tests for linear restrictions on the cointegrating vector: Furthermore, we introduce autoregressive conditional heteroscedasticity, as well as multivariate non-normality in the form of excess skewness and kurtosis, in the error process. All in all, the results suggest that the maximum likelihood method displays desirable features as long as the samples are of reasonable sizes.
    Finnish Economic Papers. 01/1995; 8(2):96-107.
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    Tor Jacobson, Henry Ohlsson
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    ABSTRACT: Using a maximum likelihood cointegration approach, we find two long-run relationships between central government, local government, and private sector wages in Sweden. This means that there is one common trend for the three sectoral wages. Private sector wages are weakly exogenous for the estimation of the long-run relationships. This suggests that the private sector is the wage leader. Testing linear restrictions on the estimated cointegrating space, we reject stationarity for the three relative wages using likelihood ratio-tests. The hypotheses of homogeneity for the two cointegrating vectors, i.e., that wages do not diverge in the long run, is also rejected.
    Empirical Economics 01/1994; 19(3):343-60. · 0.60 Impact Factor
  • Tor Jacobson, Henry Ohlsson
    02/1991;
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    ABSTRACT: This study shows that during Paul Volcker's drastic monetary tightening in the early 1980s, local banks operating in only one county reduced loan supply much more sharply than local subsidiaries of multi-county bank holding companies in similar markets, after controlling for bank (and holding-company) size, liquidity and capitalization conditions, and most important, local credit demand. The study allows cleaner identification by examining eighteen U.S. "county-banking states" where a bank's local lending volume at the county level was observable because no one was allowed to branch across county borders. The local nature of lending allows us to approximate and control for the exogenous component of local loan demand using the prediction that counties with higher manufacturing employment share exhibit weaker loan demand during tightening (which is consistent with the interest rate channel and the balance sheet channel of monetary policy transmission). The study also finds that local banks disadvantage was less evident in counties with weaker loan demand. The study's findings shed light on the working of the bank lending channel of monetary policy transmission.