Prediction and Sufficiency in the Model Factor Analysis

28 Pages Posted: 21 Feb 2008

See all articles by Ramses H. Abul Naga

Ramses H. Abul Naga

University of Bath - Department of Economics

Date Written: November 1997

Abstract

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 distribution-free statistics. We provide conditions under which a class of linear predictors is sufficient for the exponential family of distributions. We also examine various predictors in the light of the following criteria: (I) sufficiency, (ii) mean-square error, and (iii) unbiasedness and illustrate our results with the help of Chinese data on living standards.

Suggested Citation

Abul Naga, Ramses H., Prediction and Sufficiency in the Model Factor Analysis (November 1997). LSE STICERD Research Paper No. 31, Available at SSRN: https://ssrn.com/abstract=1094776

Ramses H. Abul Naga (Contact Author)

University of Bath - Department of Economics ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom

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