The least square Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz (2001) is widely used for pricing American options. The LSM estimator contains undesirable look-ahead bias, and the conventional technique of removing it necessitates doubling simulations. We present the...

This paper formulates a weighting function from conventional least squares (LS) and combines it with estimation theory to provide the statistical estimate, expected value, and variance of any point on the polynomial constructed for fitting a set of existing data. This solves the problem of the...

Within a New Zealand business cycle context, we assess whether Hamilton's (H84) OLS regression methodology produces stylised business cycle facts which are materially different from HP1600 measures, and whether using the H84 predictor and other forecast extensions improves the HP filter's...

We explore Okun's coefficient in several Latin American countries for the period from 1995-2017 and compare the results obtained using ordinary least squares (OLS) and generalised maximum entropy (GME) estimators. There are several advantages in considering the GME estimator over traditional...

The purpose of this article to propose a comparative study in estimation methods under regression analysis between adaptive, OLS, M and S estimation.. An example is used here to fulfill the objective. In this example S estimation is more suitable. At the end of the discussion we find that if the...

Applied work often studies the effect of a binary variable ("treatment") using linear models with additive effects. I study the interpretation of the OLS estimands in such models when treatment effects are heterogeneous. I show that the treatment coefficient is a convex combination of two...

Applied work often studies the effect of a binary variable ("treatment") using linear models with additive effects. I study the interpretation of the OLS estimands in such models when treatment effects are heterogeneous. I show that the treatment coefficient is a convex combination of two...

Economic diversification has been the glamour of successive administrations in Nigeria, especially amidst the dwindling oil-revenue in recent years, which has resulted from the fluctuations in world crude oil prices. This study aims at investigating the impact of diversifying the economy on the...

Although ordinary least squares (OLS) is generally regarded as the foundation of econometrics, the vital concept of the empirically determined statistical variance in an OLS prediction is misunderstood and missing. The fundamental deficiency is the failure to appropriately model the...

The Capital Asset Pricing Model (CAPM) purports to mathematically relate the expected return of an asset with its risk. Two types of risk are addressed: systematic risk, which is a function of the market; and unsystematic risk, which is independent of the market and is asset specific. The market...