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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
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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
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To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied
Fan, Jianqing; Hall, Peter; Yao, Qiwei - London School of Economics (LSE) - 2007
which the tests are applied, yet we wish to calibrate the tests so that the overall level of the simultaneous test is … accurate. Often the sampling distribution is quite different for each test, so there may not be an opportunity to combine data … this question in cases where the statistic under test is of Student's t type. We show that if either the normal or Student …
Persistent link: https://www.econbiz.de/10010884486
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LARCH, leverage, and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - London School of Economics (LSE) - 2004
Persistent link: https://www.econbiz.de/10010884511
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A Haar-Fisz technique for locally stationary volatility estimation
Fryzlewicz, Piotr; Sapatinas, Theofanis; Subba Rao, Suhasini - London School of Economics (LSE) - 2006
We consider a locally stationary model for financial log-returns whereby the returns are independent and the volatility is a piecewise-constant function with jumps of an unknown number and locations, defined on a compact interval to enable a meaningful estimation theory. We demonstrate that the...
Persistent link: https://www.econbiz.de/10010884578
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Measuring subjective well-being for public policy
Dolan, Paul; Layard, Richard; Metcalfe, Robert - London School of Economics (LSE) - 2011
Persistent link: https://www.econbiz.de/10010884617
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Brownian excursions outside a corridor and two-sided Parisian options
Dassios, Angelos; Wu, Shanle - London School of Economics (LSE) - 2011
In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit...
Persistent link: https://www.econbiz.de/10010884699
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On initial-condition sensitivity and prediction in nonlinear stochastic systems
Yao, Qiwei; Tong, Howell - London School of Economics (LSE) - 1995
Persistent link: https://www.econbiz.de/10010884703
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Optimal hitting time and perpetual option in a non-Lévy model: application to real options
Barrieu, Pauline; Bellamy, N. - London School of Economics (LSE) - 2007
We study the perpetual American option characteristics in the case where the underlying dynamics involve a Brownian motion and a point process with a stochastic intensity. No assumption on the distribution of the jump size is made and we work with an arbitrary positive or negative jump. After...
Persistent link: https://www.econbiz.de/10010884728
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On a semiparametric survival model with flexible covariate effect
Nielsen, Jens P.; Linton, Oliver; Bickel, Peter J. - London School of Economics (LSE) - 1998
A semiparametric hazard model with parametrized time but general covariate dependency is formulated and analyzed inside the framework of counting process theory. A profile likelihood principle is introduced for estimation of the parameters: the resulting estimator is n1/2-consistent,...
Persistent link: https://www.econbiz.de/10010928597