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Rationality of expectations and data vintage: evidence from business tendency surveys

100%
Tomczyk E.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2015
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issue 4 (50)
184-195
EN
In this paper, the results of the quantification procedures and the properties of expectations series obtained for two data vintages are compared. The volume index of production sold in manufacturing is defined for end-of-sample and real time data, and evaluated against expectations expressed in business tendency surveys. Empirical analysis shows that (1) there are no statistically significant differences between the quantification results obtained on the basis of real time and end-of-sample data, and (2) the results of unbiasedness and orthogonality tests are not influenced by data vintage. Therefore, for the purposes of analyzing the properties of expectations expressed in the business tendency survey, researchers can use easily available end-of-sample data instead of custom-designed and individually compiled real time databases. Also, (3) expectations series are not unbiased or efficient forecasts of changes in production, regardless of data vintage.
2
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DATA VINTAGE IN TESTING PROPERTIES OF EXPECTATIONS

100%
Tomczyk E.
Metody Ilościowe w Badaniach Ekonomicznych
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2015
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vol. 16
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issue 2
123-132
EN
Results of quantification procedures and properties of expectations series obtained for two data vintages are described. Volume index of production sold in manufacturing is defined for end-of-sample and real time data, and evaluated against expectations expressed in business tendency surveys. Empirical analysis confirms that while there are only minor differences in quantification results with respect to data vintage, properties of expectations time series obtained on their basis do diverge.
3
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ZASTOSOWANIE INDEKSÓW SIŁY W ANALIZIE STRUKTURY WŁASNOŚCIOWEJ SEKTORA BADAWCZO-ROZWOJOWEGO

100%
Tomczyk E.
Metody Ilościowe w Badaniach Ekonomicznych
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2018
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vol. 19
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issue 3
303-310
PL
Celem artykułu jest zbadanie nacisku, jaki mogą wywierać właściciele jednostek sektora badawczo-rozwojowego na zatrudnionych w nich naukowców. Na podstawie indeksów siły Shapleya-Shubika i Banzhafa stwierdzono, że sektor badawczo-rozwojowy w Polsce obejmuje w większości ośrodki, w których dominującą rolę odgrywa pojedynczy silny właściciel. Może on potencjalnie nadzorować i ingerować w prace zatrudnionych w nich naukowców, choć na pytanie, czy presja taka rzeczywiście jest w praktyce stosowana, indeksy siły nie dają odpowiedzi.
EN
The article aims to analyze the pressure that can be exerted by owners of research and development (R+D) companies in Poland over their employees. To analyze the power of co-owners of the R+D companies, cooperative game theory tools are used, namely, Shapley-Shubik and Banzhaf power indices. It is found that there is an owner with a dictatorship power, with power index equal to 1, in the vast majority of the companies, and there are few cases with dispersed ownership. Therefore, the R+D sector in Poland is comprised primarily of the units in which the single powerful owner plays the major role. Pressure exercised over the scientists employed in these companies may follow; however, whether the pressure is actually exerted, cannot be determined by analysis of power indices.
4
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Quantification of expectations for general economic situation on the basis of industrial production index with data revisions

100%
Tomczyk E.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2015
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vol. 97: Economic cycles and uncertainty
95-106
EN
Use of appropriate data vintages and taking data revisions into account have only recently became a staple of applied econometric analysis. In this paper, the topic of data vintage in regression quantification procedures is readdressed for survey data on general economic situation. From empirical analysis it follows that quantification of survey data on general economic situation on the basis of industrial production index does not present a significant improvement over the use of response balance. Additionally, results obtained for real-time and end-of-sample data are very similar and do not suggest superiority of any of these two data vintages as far as quantification of survey data on general economic situation is concerned
5
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Racjonalność oczekiwań polskich przedsiębiorców: reguła czy wyjątek? Wnioski z testów koniunktury IRG SGH

100%
Tomczyk E.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2008
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vol. 80
375-388
6
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Are expectations of Polish industrial enterprises rational? Evidence from business tendency surveys

100%
Tomczyk E.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2004
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vol. 75
27-44
7
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End-of-sample vs. Real-time Data: Perspectives for Analysis of Expectations

100%
Tomczyk E.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2013
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vol. 93: Expectations and Forecasting
45-69
EN
Data revision is usually defined as an adjustment published after initial value had been announced; it may reflect rectification of errors, availability of new information, introduction of new measurement or aggregation techniques etc. This paper addresses the impact of data revisions on measures of expectations and offers an introduction to empirical analysis of data vintage in testing properties of expectations. It also defines and classifies data revisions and presents a review of literature and databases available for the purposes of real time analysis.
8
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Test koniunktury jako źródło danych o oczekiwaniach podmiotów gospodarczych

88%
Tomczyk E.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2002
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vol. 73
107-126
9
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Racjonalność oczekiwań respondentów testu koniunktury

75%
Tomczyk E.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2001
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vol. 70
83-118
10
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Non-response and Weighting Systems in Business Tendency Surveys: Are Expectations Influenced?

63%
Tomczyk E., Kowalczyk B.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2011
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vol. 86:Business Surveys, Business Cycles. Polish Contribution to the 30th CIRET Conference
101-119
EN
Rationality of economic agents belongs to the basic assumptions of neoclassical economic theory, and for decades it has inspired research on whether expectations are indeed formed rationally. Direct data on expectations are available mainly through business tendency surveys which are subject to various types of non-response problems. Inclination of industrial enterprises to respond may be correlated with values of measured variable, introducing response bias. Response bias may also occur as a result of introducing weighting systems to control variable size of respondents. The two key properties of rational expectations, on which the majority of empirical analyses of survey data are focused, are unbiasedness and orthogonality. We analyze several sample balance statistics and expectations series based on quantified survey data, taking into consideration issues of non-response and weighting schemes. Alternative definitions of expectations series aim to account for: 1) influence of arbitrary assumptions concerning weighting of individual data, 2) changing sample structure that results from non-response, 3) response rates varying with degree of optimism / pessimism of respondents. Results of our analysis indicate that expectations concerning relative changes in production are unbiased but not efficient with respect to freely available information, namely, observed relative changes in production (lagged three months) and expectations balance (lagged two months). This result holds for a range of weighting schemes and non-response issues analyzed, including changes introduced to sample structure by non-response, and increased inclination of “optimists” and “pessimists” to supply answers in the business tendency survey, as long as their shares remain constant in time.
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