Forecasting of Migration Matrices in Business Demography

• Authors: Gurgul Piotr , Zając Paweł
• Languages of publication: EN

Abstracts

EN

This paper demonstrates that the forecast of migration matrices can be conducted by means of updating procedures, well-known in the I-O theory. The authors use some of the most popular I-O updating procedures (RAS and some non-biproportional approaches) and calculate measures of the ex-post error of predictions. While taking into account the measures of distance between two matrices, a ranking of forecasting methods of migration matrices (forecast horizon one) is established. Finally, the advantages and drawbacks of particular forecasting methods with respect to one-step ex-post forecasts of migration matrices are discussed.

Keywords

EN

Births and deaths of enterprises migration in branches of industry prediction; updating methods

• Publisher: Główny Urząd Statystyczny
• Journal: Statistics in Transition new series
• Year: 2012
• Volume: 13
• Issue: 2
• Pages: 387-404

Contributors

author

Gurgul Piotr

• AGH University of Science and Technology

author

Zając Paweł

• AGH University of Science and Technology

References

• AGARWAL V., TAFFLER R. (2011). Comparing the performance of market-based and accounting based bankruptcy prediction models, Journal of Banking and Finance, 32, pp. 1541-1551.
• ALMON C. (1968). Recent methodological advances in input-output in the United States and Canada, Fourth International Conference on Input-Output Techniques, Geneva.
• ALTMAN E. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance, 23, pp. 589-609.
• ALTMAN E., AVERY R., EISENBEIS R., SINKEY J. (1981). Application of classification techniques in business, banking, and finance, Greenwich, Conn, JAI Press.
• BAETGE J., STROEHER T. (2005). Empirische Insolvenzforschung zur Beurteilung der Bestandsfestigkeit von Unternehmen, in: Burmann, Chr. (Eds.), Management von Ad-hoc-Krisen: Grundlagen, Strategien und Erfolgsfaktoren, Gabler, Wiesbaden, pp. 151-167.
• BEAVER W.H. (1966). Financial ratios as predictors of failure, in: Empirical research in accounting: Selected studies, Supplement for Journal of Accounting Research, 4, pp. 71-111.
• BACHARACH M. (1970). Biproportional Matrices and Input-Output Change, Cambridge, U.K., Cambridge University Press.
• BLUM M. (1974). Failing Company Discriminant Analysis, Journal of Accounting Research, Spring, pp. 1 -25.
• COPPENS F., VERDUYN F. (2009). Analysis of business demography using Markov chains: an application to Belgian data, Working Paper Research 170, National Bank of Belgium.
• DAVYDENKO S., FRANKS J. (2008). Do bankruptcy codes matter? A study of defaults in France, Germany, and the U.K., Journal of Finance, 63, pp. 565-608.
• DEAKIN E.B. (1972). A Discriminant Analysis of Predictors of Business Failure, Journal of Accounting Research, Spring, pp. 167- 179.
• DIACOGIANNIS G.P. (1996). The usefulness of share prices and inflation for corporate failure prediction, University of Piraeus Journal of Economics Business, Statistics and Operations Research, 46, pp. 135-156.
• DIAMOND U.S. (1976). Pattern Recognition and the Detection of Corporate Failure, Ph.D. dissertation, New York University.
• EISENBEIS R.A. (1977). Pitfalls in the application of discriminant analysis in business, finance, and economics, Journal of Finance, 32, pp. 875-900.
• FREDERICK W.C., DAVIS K., POST J.E. (1988). Corporate Social Respon-sibility and Business Ethics, McGraw-Hill Publishing Company, New York, pp. 28-29.
• FOSTER R., KAPLAN S. (2001). Creative Destruction, Financial Times.
• GURGUL H., ZAJAC P. (2011). The dynamic model of birth and death of enterprises, Statistics in Transition, 12/ 2, pp. 381–400.
• GREINER L.E., SCHEIN V.E. (1988). Power and Organization Development, Addison-Wesley.
• HANDY CH. (1995). The Age of Paradox, Harvard Business School Press.
• HESSELMANN S. (1995). Insolvenzprognose mit Hilfequalitativer Faktoren, Shaker Verlag, Aachen.
• JACKSON R.W., MURRAY A.T. (2004). Alternative input–output matrix updating formulations, Economic Systems Research, 16, pp. 135–14.
• JACOBSON T., LINDE J. (2000). Credit rating and the business cycle: can bankruptcies be forecast?, Sveriges Riksbank economic review, 4, pp. 11-33.
• JONES S., HENSHER D.A. (2008). Advances in credit risk modeling and corporate bankruptcy Prediction, University Press, Cambridge, UK.
• KAHL M. (2002). Economic distress, financial distress and dynamic liquidation, Journal of Finance, 57, pp. 135-168.
• KEASEY K., WATSON R. (1987). Non-financial symptoms and the prediction of small company failure: a test or Argenti's hypotheses, Journal of Business Finance and Accounting, 14 (3), 335-354.
• LAHR M., de MESNARD L. (2004). Biproportional Techniques in Input-Output Analysis: Table Updating and Structural Analysis, Economic Systems Research, 16 (2), 115-34.
• MATSCHKE M.J. (1979). Insolvenzprognose aus vergangenheitsorientierten Jahresabschlüssen als Basis von Kreditentscheidungen, Betriebswirtschaftlich eForschung und Praxis, 31, pp. 485-504.
• MILLER R.E., BLAIR P.D. (1985). Input-output analysis: Foundations and extensions, Prentice-Hall, Englewood Cliffs, N.J.
• MOYER R.C. (1977). Forecasting financial failure: a re-examination, Financial Management, 6, pp.11-17.
• MUCHE T. (2007). Ein stochastisches Modell zur Insolvenzprognose auf der Basis von Jahresabschlußdaten, Betriebswirtschaftliche Forschung und Praxis, 59, pp. 376-399.
• OHLSON J.A. (1980). Financial Ratios and Probabilistic Prediction of Bankruptcy, Journal of Accounting Research, Spring, pp. 109-131.
• PEEL M.J., PEEL D.A. (1988). A Multilogit Approach to Predicting Corporate Failure: Some Evidence for the UK Corporate Sector, Omega, pp. 309-318.
• PLATT H., PLATT M. (1991). A note on the use of industry-relative ratios in bankruptcy prediction, Journal of Banking and Finance, 15, pp. 1183-1194.
• ROY J., BATTEN D., LESSE P. (1982). Minimizing information loss in simple aggregation, Environment and Planning, 14, 973-980.
• SHUMPETER J. (1982). The Theory of Economic Development: An inquiry into profits, capital, credit, interest and the business cycle, Transaction Publisher.
• STONE R.A. (1961). Input-Output Accounts and National Accounts. Paris, Organization for European Economic Cooperation.
• THEIL H. (1971). Applied Economic Forecasting. Amsterdam, North-Holland.
• THIELE O., LOHMANN K. (1995). Möglichkeiten und Grenzen der Insolvenzprognose auf der Grundlage von Jahresabschluss informationen, Freiberger Arbeitspapiere, 95/17.
• WILCOX J.W. (1971), A Simple Theory of Financial Ratios as Predictors of Failure, Journal of Accounting Research, Autumn, pp. 389-395.
• ZAVGREN C.V. (1985). Assessing the Vulnerability to the Failure of American Industrial Firms: A Logistic Analysis, Journal of Business Finance and Accounting, pp. 19-45.
• ZMIJEWSKI M. (1984). Methodological issues related to the estimation of financial distress prediction models, Journal of Accounting Research (Supplement), pp. 59-82.