Forecasting the Size Distribution of Financial Plants in Swedish Municipalities
AbstractThe paper studies the forecasting of a future size distribution of plants. As a model we use an open Markov chain model for macro data. Estimation is by reparametrization instead of by inequality restrictions using single equation least squares. The estimator is studied in a small Monte Carlo experiment for short time series lengths and macro data. Well-known mobility indices and a new idea of using a truncated transition probability matrix are discussed and also studied in the Monte Carlo experiment. For the financial plants (1984-1993) we find evidence of mobility of a downsizing nature. In a one-step-ahead forecast evaluation we find some overprediction.
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Bibliographic InfoPaper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 478.
Length: 16 pages
Date of creation: 04 Oct 1998
Date of revision:
Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
More information through EDIRC
Open Markov chain; Mobility index; Reparametrization; Least squares estimation; Plant size; Municipality;
Find related papers by JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- L20 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-1998-10-08 (All new papers)
- NEP-ECM-1998-10-08 (Econometrics)
- NEP-ETS-1998-10-08 (Econometric Time Series)
- NEP-TID-1998-10-08 (Technology & Industrial Dynamics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Battese, G E & Coelli, T J, 1995. "A Model for Technical Inefficiency Effects in a Stochastic Frontier Production Function for Panel Data," Empirical Economics, Springer, vol. 20(2), pages 325-32.
- Geweke, John & Marshall, Robert C & Zarkin, Gary A, 1986. "Mobility Indices in Continuous Time Markov Chains," Econometrica, Econometric Society, vol. 54(6), pages 1407-23, November.
- Conlisk, John, 1985. "Comparative statics for markov chains," Journal of Economic Dynamics and Control, Elsevier, vol. 9(2), pages 139-151, October.
- Shorrocks, A F, 1978. "The Measurement of Mobility," Econometrica, Econometric Society, vol. 46(5), pages 1013-24, September.
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