Tests for structural change,aggregation, and homogeneity

Structural change can be considered by breaking up a sample into subsets and asking if these can be aggregated or pooled. Strategies for constructing tests for aggregation and structural change in this setting have not received sufficient attention in the literature. Our methodology for testing generalizes to multiple regimes a discussion of Pesaran et al. (1985) for the case of two regimes. This treatment permits a unified approach to a large number of testing problems discussed separately in the literature, as special cases or as parts of a test of homogeneity. We also provide a simple alternative to much more complex testing strategies currently being researched and developed in testing for structural change.     

Aggregation of Efficiency Indices

Measurement of technical efficiency is carried out at many levels of aggregation—at the individual branch, plant, division, or district level; at the company- or organization-wide level; at the industry or sectoral level; or at the economy-wide level. In this paper, we examine the conditions under which these indexes constructed at various levels of aggregation can be consistent with one another—that is, the extent to which efficiency indexes can be consistently aggregated. Unfortunately, our results are discouraging, indicating that very strong restrictions on the technology and/or the efficiency index itself are required to enable consistent aggregation (or disaggregation).     

Dollarization persistence and individual heterogeneity

A salient feature of financial dollarization, arguably the one that causes most concern to policymakers, is its persistence: even after successful macroeconomic stabilizations, dollarization ratios often remain high. In this paper we argue that this persistence is connected to the fact that the participants in the dollar deposit market are fairly heterogenous, and so is the way they form their optimal currency portfolio. We develop a simple model when agents differ in their ability to process information, which turns out to be enough to generate persistence upon aggregation. We provide empirical evidence that is consistent with this claim.     

上海市金融服务业区位选择研究

本文探讨了上海市金融服务业办公室区位的选择,从而找出影响金融服务业空间集聚的特性,并从产业差异性、面对面信息、国际性、公司类型、设立时间等角度厘清影响金融服务业办公室区位选择的因素。实证结果表明,主要金融机构均聚集于市中心,而分支机构更倾向于向人口密集的中心城区靠拢。相对于银行业,证券业更加集中,而保险业相对分散。     

Can aggregation explain the persistence of inflation?

An aggregation exercise is proposed that aims at investigating whether the fast average adjustments of the disaggregate inflation series of the euro area CPI is coherent with the slow adjustment of euro area aggregate inflation. Estimating a dynamic factor model for 404 inflation sub-indices of the euro area CPI allows to decompose the dynamics of inflation sub-indices into a part due to a common macroeconomic shock and to sector specific idiosyncratic shocks. Although idiosyncratic shocks dominate the variance of sectoral prices, one common factor appears to be the main driver of aggregate dynamics. In addition, the heterogenous propagation of this common shock across sectoral inflation rates, and in particular its slow propagation to inflation rates of services, generates the persistence of aggregate inflation. We conclude that the aggregation mechanism explains a significant amount of aggregate inflation persistence.     

Reaggregation and firm-level inference in multiplant technologies

We examine conditions under which plant-level data can be used to make firm-level inferences about technology, supply, and demand. Global conditions for such reaggregation involve nonjointness restrictions in both the plant and product dimensions. In the neighborhood of the firm’s fixed overheads, however, restrictions may be eased by appealing to a multiplant generalization of Kohli’s notion of almost nonjointness, which we term “almost reaggregation.” While global conditions for almost reaggregation are the same as for full reaggregation, the local conditions outlined are more easily satisfied. Analysts thus are less likely to commit reaggregation bias when firm-level overheads are constant, and can take advantage of this conclusion through judicious model design.      

Aggregation of heterogeneous beliefs

This paper is a generalization of [Calvet, L., Grandmont, J.-M., Lemaire, I., 2002. Aggregation of heterogenous beliefs and asset pricing in complete financial markets. Working paper] to a dynamic setting. We propose a method to aggregate heterogeneous individual probability beliefs, in dynamic and complete asset markets, into a single consensus probability belief. This consensus probability belief, if commonly shared by all investors, generates the same equilibrium prices as well as the same individual marginal valuation as in the original heterogeneous probability beliefs setting. As in [Calvet, L., Grandmont, J.-M., Lemaire, I., 2002. Aggregation of heterogenous beliefs and asset pricing in complete financial markets. Working paper], the construction stands on a fictitious adjustment of the market portfolio. The adjustment process reflects the aggregation bias due to the diversity of beliefs. In this setting, the construction of a representative agent is shown to be also valid.     

细分数据与加总偏误:来自中日茶叶贸易的经验分析

本文利用1988-2008年中日茶叶贸易数据,分别构建中日茶叶贸易加总与细分数据模型。通过Wald统计量检验加总与细分数据模型之间加总偏误的显著性,并运用Yao统计量检验加总偏误的原因。研究发现,细分数据模型中的高阶自相关导致模型误设,进而引发了加总偏误。这一发现为总量宏观数据加总偏误原因的研究提供了新的视角,并为寻找加总偏误的解决之道拓展了新的途径。     

Group-based forecasting?: A social psychological analysis

The potential of group (vs. individual) forecasting is analyzed from the perspective of the social psychology of groups. The social decision scheme theory (SDST) is summarized, and several simulations are presented to demonstrate the dependence of group aggregation accuracy upon factors such as group size, the accuracy and distribution of individual forecasts, and shared representations of the forecasting problem. Many advantages and disadvantages of group aggregation are identified and related to four generic methods of group aggregation (statistical aggregation, prediction markets, the Delphi method, and face-to-face discussion). A number of aspects of forecasting problems are identified which should govern whether or not group forecasting can be relied upon, and if so, what aggregation method should be used.     

计量模型中的加总偏误与检验方法研究

从加总数据的基本类型出发,依据无偏性条件研究发现非加总数据模型的内生性与加总过程中的内生性是产生加总偏误的根本原因,进而指出了解决内生性的一般性思路。在加总偏误的统计特性检验方面,首先通过构建Wald统计量进行无偏性检验分析,接着通过方差分析得出了方差最小性的条件并对加总模型和非加总数据模型的拟合优度进行了比较研究。本文的分析有助于认识加总偏误的本质,进一步推动线性计量模型加总偏误问题的研究。