Aggregating input–output systems with minimum error

ABSTRACT

Recent advances in multi-region input-output (IO) table construction have led to large databases becoming available. Some of these databases currently demand too much computer memory or user cognition to be handled effectively outside high-performance environments, especially for applications such as virtual laboratories, computable general equilibrium modelling, linear programming, series expansion, or structural decomposition analysis, thus inhibiting their widespread use by analysts and decision-makers. Aggregation is an obvious solution; but there is a need for structured approaches to aggregating an IO system in a way that does not compromise the ability to effectively answer the research question at hand. In this article, I describe how structural path analysis can be used to realise a computationally inexpensive method for aggregating IO systems whilst minimising aggregation errors. I show that there exists no one-fits-all strategy, but that optimal aggregation depends on the research question at hand.     

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。     

Intranational Price Convergence and Price Stickiness: Evidence from Denmark

We show that estimates of the half‐life of deviations from the law of one price are biased when their precision is not taken into account when aggregating data for different types of goods. Using a comprehensive dataset with monthly price data for 124 homogeneous products across regions in Denmark over the period 1997–2010, we find a large positive aggregation bias. On average, we find that the half‐life is 8.4 months when taking the bias into account, compared with 28.7 months when applying the standard method. The heterogeneity in the estimated half‐life can be explained by price stickiness, distance between regions, and whether the good is traded or non‐traded.     

Measuring financial systemic stress for Turkey: A search for the best composite indicator

In this study, we aim to construct a single financial stress indicator (FSI) for Turkey adopting weekly data from between April 2005 and December 2016. To do so, we compose 15 different FSIs using 14 variables that will represent five different markets, i.e. the money market, the bond market, the foreign exchange market, the equity market and the banking sector. We aggregate these five different markets using a variety of techniques, including principal component analysis (PCA), basic portfolio theory, variance equal weights and the Bayesian dynamic factor model. We compare 15 different FSIs on the basis of their relation to, and the forecasting power of, different variables such as the growth rate of industrial production, the OECD business condition index and the OECD composite leading indicator for Turkey. Our results suggest that there is no simple best indicator for Turkey to measure financial systemic stress. Some indicators offer good forecasting power for economic growth while others have a stronger correlation with systemic risk. Therefore, we offer a final FSI for Turkey conducting a model averaging method via a rolling correlation based weighting scheme to benefit from the information content of all the FSIs and observe that the final FSI successfully indicates the tension periods.     

The Relationship between Unethical Behavior and the Dimensions of the Ethical Climate Questionnaire

This study examined the relationship between unethical employee behavior and the dimensions of the Ethical Climate Questionnaire (ECQ). In order to explore the relationship between the dimensions of the ECQ and unethical behavior, the factor structure of five previously identified empirical models and the hypothesized nine-dimension model for the ECQ was tested with a confirmatory factor analysis. The analysis revealed that the hypothesized nine-dimension model provided as good or even better fit to the data than the five empirically derived models. Therefore, the nine-dimensional model was used to examine the criterion-related validity of the ECQ. The results demonstrated that the nine ethical climate dimensions were correlated with some of the unethical behaviors examined in this study, but not others. However, the results clearly demonstrated that most of the ethical climate dimensions were significantly related to an aggregate measure of unethical behavior. It was suggested that these results might account for the differences in previous studies on the criterion-related validity of the ECQ. The results also replicated a previous report that the association between unethical behavior and ethical climate is stronger in organizations that do not have a code of ethics. Finally, a difference was observed in the ethical climates for organizations with a code of ethics and organizations without a code of ethics.     

Reconsidering Heterogeneity and Aggregation Issues in Environmental Valuation: A Multi-attribute Approach

The economic valuation of complex environmental goods (composed of multiple attributes) is an expanding field of research in ecological and environmental economics. However, several issues are still subjects of debate. This paper focuses on three of them: the linearity of the valuation function in the attributes; aggregation criteria for obtaining social values; and the heterogeneity of individuals’ utility functions. A methodological approach based on Multi-attribute Utility Theory, which enables us to contrast the impact of these concerns on the valuation of environmental goods, is proposed. We employ the methodology to value a protected natural area and, from the results obtained, we can conclude that the non-linearity and the heterogeneity of the individual utility function are relevant aspects of environmental valuation that need to be taken into account when valuing environmental goods.     

信任视角下虚拟企业人才聚集冲突治理研究

虚拟企业人才聚集是组织人才聚集的特殊形式,人才聚集既可能产生正效应,也可能发生冲突,增加不信任,从而产生负效应。运用虚拟组织、聚集经济和组织行为学等理论与方法,界定了虚拟组织人才聚集的概念和特征;利用社会燃烧理论构建人才聚集效应方程,探讨了人才聚集劣质化演进过程,研究了人才聚集过程中的冲突类型,分析了认知冲突和情感冲突对人才聚集的影响。在此基础上,为避免人才聚集冲突现象,充分发挥人才效能,提出了人才聚集冲突治理的信任模式。     

Aggregation under homogeneous ambiguity: a two-fund separation result

Contrary to the common prior model, the construction of a representative agent whose preferences follow the multiple-priors model (1989) requires strong restrictions on sets of priors and on an aggregate endowment process if we permit a large deviation among agents’ degrees of risk aversion. This paper shows that if agents’ felicity functions belong to a family of linear risk tolerance functions with the same marginal risk tolerance, the representative agent always exists at an interior equilibrium without such restrictions, and two-fund separation holdsI am grateful to a referee and to participants at the conference, Uncertainty in Economic Theory, held at Yale University (October 2004) for their valuable comments and suggestions     

Detecting periods of exuberance: A look at the role of aggregation with an application to house prices

The recently developed SADF and GSADF unit root tests of Phillips and Yu (2011) and Phillips et al. (2015a,b) have become popular in the literature for detecting exuberance in asset prices. In this paper, we examine through simulation experiments the effect of cross-sectional aggregation on the power properties of these tests. The simulation design considered is based on simulated data and actual housing data for both U.S. metropolitan areas and international housing markets and thus allows us to draw conclusions for different levels of aggregation. Our findings suggest that aggregation lowers the power of both the SADF and GSADF tests. The effect, however, is much larger for the SADF test. We also provide evidence that tests based on panel data techniques, namely the panel GSADF test recently proposed by Pavlidis et al. (2016), can perform substantially better than univariate tests applied to aggregated series. Furthermore, we also illustrate the date-stamping procedure under the univariate/panel GSADF procedure uncovering novel evidence on the role of interest rates and policy uncertainty as factors explaining episodes of widespread mildly explosive dynamics in housing markets.     

On behavioral heterogeneity

Summary. An index of behavioral heterogeneity for every finite population of households is defined. It is shown that the higher the index of behavioral heterogeneity the less sensitive depends the aggregate consumption expenditure ratio upon prices. As a consequence, a high index implies a tendency for the Jacobian of aggregate demand to have a dominant negative diagonal.Received: 12 May 2003, Revised: 13 February 2004, JEL Classification Numbers: D 11, E 10.Financial support by Deutsche Forschungsgemeinschaft, grants HI 232/2-3 and KN 567/1-1, is gratefully acknowledged.