Dieter Gstach

Another Approach to Data Envelopment Analysis in Noisy Environments: DEA+

In this paper a DEA+ labeled approach for efficiency measurement in the stochastic case is presented along with a consistency proof and some preliminary evidence illustrating the small sample performance. DEA+ can basically handle multi-output technologies like standard DEA but allows to filter noise, that might have disturbed production and unlike a related approach does not require panel data. Consistency of DEA+ relies on the assumption of i.i.d. distributed and bounded noise and requires radial efficiency measurement. First Monte Carlo experiments show that a DEA+ based average inefficiency estimator performs well for samples of size n=100 in one-output, two-input settings compared to the corresponding Stochastic Frontier Estimator. Sensitivity of DEA+ performance with respect to parametrization of noise is weak, but higher noise contribution requires much larger sample size for satisfactory results.

Comparing structural efficiency of unbalanced subsamples: A resampling adaptation of data envelopment analysis

This paper investigates the performance of a bootstrapping enhanced DEA to measure the relative structural efficiency of unbalanced subsamples. Although this issue plays an important role in applied DEA, it is often ignored, resulting in misleading conclusions concerning relative efficiency. It is shown, that a reasampling approach to DEA can cope with this problem and also allows the use of pooled samples. The distribution of a statistic to test the hypotheses of equal structural efficiency is derived from Monte Carlo simulations and compared with the corresponding statistic calculated from standard DEA results. While the resampling variant of DEA justifies the use of the normal approximation, this is not the case for standard DEA.

The Impact of Deregulation during 1990–1997 on Banking in Austria

The operating environment for banking in Austriachanged substantially during 1990–1997. The changes during the periodcan be seen as a gradualadjustment towards adherence to European banking standards, which becamea legal requirement on Austrias entry, in 1995, into the European Union. Inthis paper, we investigate the relative performance of Austrian banksduring this period and thereby test the hypothesis of increasedcompetition. The study reveals that Aktiengesellschaften hadconsistent productivity improvement over the period, Sparkassen,and Volksbanken exhibited a turnaround in productivity in 1997,and Raiffeisenbanken experienced consistent productivity decline.Overall, Austrian banks experienced a decline in average efficiencyand productivity until 1996 with slight improvements in 1997. Thestudy reveals evidence of product diversification rather thanincreased price competition; a decrease in the spread of prices paidfor inputs indicates increased competitiveness over the period, whichcan be attributed to deregulation brought about by EU-membership.

Scale Economies in Indian Commercial Banking Sector: Evidence from DEA and Translog Estimates

Two alternative estimation models, i.e., a translog cost function and data envelopment analysis DEA based on a cost model are compared and contrasted in revealing scale economies in the Indian commercial banking sector. The empirical results indicate that while the translog cost model exhibits increasing returns to scale for all the ownership groups, the DEA model reveals economies of scale only for foreign banks, diseconomies of scale for nationalized banks, and both economies and diseconomies of scale for private banks. The divergence of the results obtained from these two estimation models should concern model builders. From an empirical perspective the definition of scale economies through a constant input mix is very restrictive. The DEA cost model is much more flexible in this respect: It neither requires the restrictive assumptions that the unit factor prices are always available with certainty, nor that these prices are exogenous to the firms. However, the very volatile nature of the banking industry might question the validity of the empirical estimates in this deterministic setting. Therefore, further research is required to examine the bank performance behavior using both SFA and chance constrained DEA for the comparison in a stochastic setting.

Restricted immigration in a two-sector economy

This paper will analyze income redistribution and fiscal effects caused by immigration in a two-sector economy, where one sector is closed and where foreign and domestic labor are homogeneous. The setup of this model is guided by the stylized fact that todays immigrants in the European Union are distributed highly unequal across sectors, with a clear concentration in low-income sectors. Unlike many previous studies, we do not interpret this segmentation by means of differential skills because we focus on tomorrows potential immigrants from former communist countries in northeastern Europe, which exhibit education levels similar to those of western European workers. Contrary to results from one-sector models, some pure wage earners may also win from immigration as a result of changing relative prices. Therefore, the political support for immigration depends not only on the capital ownership distribution, but also on relative immigration sector size and relative sector productivity. Furthermore, the necessary tax rate to finance the transfer system may decrease as a result of immigration.

Estimating output-specific efficiencies

Preface. Acknowledgments. Part I: Motivating the Concept. 1. Introduction. Part II: Operationalizing the Concept. 2. Technology Estimation. 3. Relation to Radial Measures. 4. Markov Chain Monte Carlo Analysis. 5. Data Generating Process. 6. Identification. 7. Posterior Distributions. Part III: Evaluating the Concept. 8. Estimator Performance. Part IV: Putting the Concept to Work. 9. An Application. 10. Concluding Remarks. References.

Markov Chain Monte Carlo Analysis

In the following I will give a very brief overview on the background of Markov chain Monte Carlo methodology to the extent, necessary to understand the idea behind the mechanics of the present application. The interested reader will find many textbooks covering the theory in detail, for example Gilks et al., 1996b or Gamerman, 1997. Note also that the present application is formulated in a Bayesian framework, while Markov chain Monte Carlo applications are not restricted at all to Bayesian type of analysis.

The Housing Rental Rate Elasticity of Aggregate Consumption: A Panel Study for OECD Countries

Abstract This paper investigates the impact of changing housing rental rates upon aggregate consumption based on yearly data for 18 OECD countries observed between 1970 and 2004. Estimates of long run elasticities are derived from cointegrating relationships with panel estimation techniques and compared with estimates implicitly given in short run dynamic equations. The results across all estimation approaches yield similar magnitudes and indicate a significantly negative impact of rental rate increases upon aggregate consumption. For the EU-25 or the USA, for example, relevant elasticities lie in the range between −0.13 and −0.17. The jointly estimated elasticities of the wealth components seem unaffected, relative to previous studies, by the inclusion of the rental housing market variables.

The Rental Housing Market

This chapter surveys some recent scholarly literature about the macro-economic role of housing with regard to its contribution to an under-standing of rental housing. It will also present major stylized facts about rental housing in the form of simple statistics, partly collected from other sources, partly compiled from the most recent wave of EU-SILC micro-data collection for 2006. Together this material constitutes an informed starting point for a discussion about the potential role of rental housing in macroeconomic analysis.

A Property Taxation Mechanism With Self-Assessment

This paper analyzes a variant of the classic idea for property taxation based on owners self-assessment. To induce reporting of market values tax authorities announce to purchase some of the properties randomly at declared values under certain conditions. These conditions are based on properties of the distribution of declared values. It is proven that a unique Nash equilibrium of this taxation game among tax payers exists in which all of them report market values and tax authorities do not purchase any property.