Similar Search Results

Prediction and sufficiency in the model factor analysis

Abul Naga, Ramses H. - London School of Economics (LSE) - 1997

We contrast two approaches to the prediction of latent variables in the model of factor analysis. The likelihood statistic is a sufficient statistic for the unobservables when sampling arises from the exponential family of distributions. Linear predictors, on the other hand, can be obtained as...

Persistent link: https://www.econbiz.de/10010745989

Functional-coefficient regression models for nonlinear time series

Cai, Zongwu; Fan, Jianqing; Yao, Qiwei - London School of Economics (LSE) - 2000

forecasting performance. Also proposed are a new bootstrap test for the goodness of fit of models and a bandwidth selector based … on newly defined cross-validatory estimation for the expected forecasting errors. The proposed methodology is data …

Persistent link: https://www.econbiz.de/10011126715

On determination of cointegration ranks

Li, Qiaoling; Pan, Jiazhu; Yao, Qiwei - London School of Economics (LSE) - 2009

We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987 …). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then … the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown …

Persistent link: https://www.econbiz.de/10010746018

Tracking unemployment in Wales through recession and into recovery

Artis, Michael; Sensier, Marianne - London School of Economics (LSE) - 2011

This paper assesses turning points in the economic cycle of Welsh unitary authorities by applying a mathematical algorithm to the claimant count unemployment data. All but one unitary authority has now emerged from recession (Anglesey being the exception). We also date the business cycle for the...

Persistent link: https://www.econbiz.de/10011126513

Exploiting the monthly data-flow in structural forecasting

Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - London School of Economics (LSE) - 2014

This paper shows how and when it is possible to obtain a mapping from a quarterly DSGE model to amonthly specification thatmaintains the same economic restrictions and has real coefficients. We use this technique to derive the monthly counterpart of the Gali et al (2011) model. We then augment...

Persistent link: https://www.econbiz.de/10011126615

On the out-of-sample importance of skewness and asymetric dependence for asset allocation

Patton, Andrew J. - London School of Economics (LSE) - 2002

Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The Þrst is skewness in the distribution of individual stock returns, while the second is an asymmetry in the dependence between stocks: stock...

Persistent link: https://www.econbiz.de/10011071238

Agricultural returns and conflict: quasi-experimental evidence from a policy intervention programme in Rwanda

Kondylis, Florence - London School of Economics (LSE) - 2005

In 1997 Rwanda introduced a re-settlement policy for refugees displaced during previous conflicts. We exploit geographic variation in the speed of implementation of this policy to investigate the impact of conflict-induced displacement and the re-settlement policy on household agricultural...

Persistent link: https://www.econbiz.de/10010745879

Convergence club empirics: some dynamics and explanations of unequal growth across Indian states

Bandyopadhyay, Sanghamitra - London School of Economics (LSE) - 2003

This paper documents the convergence of incomes across Indian states over the period 1965 to 1998. It departs from traditional analyses of convergence by tracking the evolution of the entire income distribution, instead of standard regression and time series analyses. The findings reveal...

Persistent link: https://www.econbiz.de/10011071107

A comparison of reduced-form permit price models and their empirical performances

Grüll, Georg; Taschini, Luca - London School of Economics (LSE) - 2010

Equilibrium models have been proposed in literature with the aim of describing the evolution of the price of emission permits. This paper derives first a reducedform model from an equilibrium model and thereby explains how existing reducedform models are related to equilibrium models. Second, by...

Persistent link: https://www.econbiz.de/10011071177

Instrumental variables for binary treatments with heterogeneous treatment effects: a simple exposition

Manning, Alan - London School of Economics (LSE) - 2004

This note provides a simple exposition of what IV can and cannot estimate in a model with a binary treatment variable and heterogeneous treatment effects. It shows how linear IV is a misspecification of functional form and the reason why linear IV estimates for this model will always depend on...

Persistent link: https://www.econbiz.de/10010746568