Search Results - subject:"least squares regression"

An Unbiased Appraisal of Purchasing Power Parity

McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2001

Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity of between three to five years. However, least squares-based estimates of half-lives are biased downward. Accordingly, we...

Persistent link: https://www.econbiz.de/10005825679

On adaptive linear regression

Maity, Arnab; Sherman, Michael - In: Journal of Applied Statistics 35 (2008) 12, pp. 1409-1422

Ordinary least squares (OLS) is omnipresent in regression modeling. Occasionally, least absolute deviations (LAD) or other methods are used as an alternative when there are outliers. Although some data adaptive estimators have been proposed, they are typically difficult to implement. In this...

Persistent link: https://www.econbiz.de/10005495319

Determinants of Small-Area Water Consumption for the City of Phoenix, Arizona

Wentz, Elizabeth; Gober, Patricia - In: Water Resources Management 21 (2007) 11, pp. 1849-1863

water consumption for detached single-family residential units using ordinary least squares regression (OLS). We compared …

Persistent link: https://www.econbiz.de/10010794209

A simulation study on SPSS ridge regression and ordinary least squares regression procedures for multicollinearity data

Zhang, John; Ibrahim, Mahmud - In: Journal of Applied Statistics 32 (2005) 6, pp. 571-588

This study compares the SPSS ordinary least squares (OLS) regression and ridge regression procedures in dealing with multicollinearity data. The LS regression method is one of the most frequently applied statistical procedures in application. It is well documented that the LS method is extremely...

Persistent link: https://www.econbiz.de/10005492136

A new algorithm for fixed design regression and denoising

Comte, F.; Rozenholc, Y. - In: Annals of the Institute of Statistical Mathematics 56 (2004) 3, pp. 449-473

Persistent link: https://www.econbiz.de/10005616450

Convergence of the Least Squares Monte Carlo Approach to American Option Valuation

Stentoft, Lars - In: Management Science 50 (2004) 9, pp. 1193-1203

In a recent paper, Longstaff and Schwartz (2001) suggest a method to American option valuation based on simulation. The method is termed the Least Squares Monte Carlo (LSM) method, and although it has become widely used, not much is known about the properties of the estimator. This paper...

Persistent link: https://www.econbiz.de/10009208617

A Simple Forecasting Accuracy Criterion Under Rational Expectations; Evidence From the World Economic Outlook and Time Series Models

Barrionuevo, José M. - International Monetary Fund (IMF) - 1992

A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expectations the standard statistical conditions are necessary, but not sufficient to...

Persistent link: https://www.econbiz.de/10005264063

An analysis of a least squares regression method for American option pricing

Protter, Philip; Clément, Emmanuelle; Lamberton, Damien - In: Finance and Stochastics 6 (2002) 4, pp. 449-471

squares regression. The purpose of this paper is to analyze an algorithm due to Longstaff and Schwartz. This algorithm … principle by projections on a finite set of functions. Approximation two: use Monte-Carlo simulations and least squares …Recently, various authors proposed Monte-Carlo methods for the computation of American option prices, based on least …

Persistent link: https://www.econbiz.de/10005613445

L'explication de la consommation de coûts dans le secteur bancaire:la complémentarité de la méthode de régression en composantes principales et de la régression PLS

Thenet, Gervais - In: Revue Finance Contrôle Stratégie 1 (1998) 2, pp. 167-190

, the criteria expressing the costs structuring have been viewed through a partial least squares regression model. We still …

Persistent link: https://www.econbiz.de/10005263499

Confirmatory compositional approaches to the development of product spaces

Vandenbosch, Mark B. - In: European Journal of Marketing 30 (1996) 3, pp. 23-46

The set of compositional approaches to product space development is expanded to include confirmatory methods. Specifically, describes and compares product space development (perceptual mapping) via confirmatory factor analysis and partial least squares with the aid of an empirical example. Both...

Persistent link: https://www.econbiz.de/10014723160