arXiv subjects

Gholamreza Hajargasht

Publications and source records attributed to Gholamreza Hajargasht.

3 recordsLinked to original sources

arXiv2022

Reliability of Ideal Indexes

The Fisher and GEKS are celebrated as ideal bilateral and multilateral indexes due to their superior axiomatic and econ-theoretic properties. The Fisher index is the main index used for constructing CPI by statistical agencies and the GEKS is the index used for compiling PPPs in World Bank's International Comparison Program (ICP). Despite such a high status and the importance attached to these indexes, the stochastic approach to these indexes is not well-developed and no measures of reliability exist for these important economic statistics. The main objective of this paper is to fill this gap. We show how appropriate reliability measures for the Fisher and GEKS indexes, and other ideal price index numbers can be derived and how they should be interpreted and used in practice. In an application to 2017 ICP data on a sample of 173 countries, we estimate the Fisher and GEKS indexes along with their reliability measures, make comparisons with several other notable indexes and discuss the implications.

econ.GN↗

arXiv2020

Accurate Computation of Marginal Data Densities Using Variational Bayes

We propose a new marginal data density estimator (MDDE) that uses the variational Bayes posterior density as a weighting density of the reciprocal importance sampling (RIS) MDDE. This computationally convenient estimator is based on variational Bayes posterior densities that are available for many models and requires simulated draws only from the posterior distribution. It provides accurate estimates with a moderate number of posterior draws, has a finite variance, and provides a minimum variance candidate for the class of RIS MDDEs. Its reciprocal is consistent, asymptotically normally distributed, and unbiased. These properties are obtained without truncating the weighting density, which is typical for other such estimators. Our proposed estimators outperform many existing MDDEs in terms of bias and numerical standard errors. In particular, our RIS MDDE performs uniformly better than other estimators from this class.

stat.AP↗

arXiv2018

Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness

Over the past five decades a number of multilateral index number systems have been proposed for spatial and cross-country price comparisons. These multilateral indexes are usually expressed as solutions to systems of linear or nonlinear equations. In this paper, we provide general theorems that can be used to establish necessary and sufficient conditions for the existence and uniqueness of the Geary-Khamis, IDB, Neary and Rao indexes as well as potential new systems including two generalized systems of index numbers. One of our main results is that the necessary and sufficient conditions for existence and uniqueness of solutions can often be stated in terms of graph-theoretic concepts and a verifiable condition based on observed quantities of commodities.

econ.TH↗