Prediction and sufficiency in the model factor analysis

Ramses Abul Naga

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: Latent variables; factor analysis; sufficiency; prediction; exponential family of distributions; living standards analysis (search for similar items in EconPapers)
JEL-codes: C1 C4 C8 I3 (search for similar items in EconPapers)
Pages: 26 pages
Date: 1997-11
References: Add references at CitEc
Citations: View citations in EconPapers (1)

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http://eprints.lse.ac.uk/6597/ Open access version. (application/pdf)

Related works:
Working Paper: Prediction and Sufficiency in the Model Factor Analysis (1997)
Working Paper: Prediction and Sufficiency in the Model of Factor Analysis (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:6597

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