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Nonparametric Multivariate Regression Subject to Constraint

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  • Goldman, Steven M.

Abstract

We review Hildreth's algorithm for computing the least squares regression subject to inequality constraints and Dykstra's generalization. We provide a geometric proof of convergence and several enhancements to the algorithm and generalize the application of the algorithm from convex cones to convex sets.

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Bibliographic Info

Paper provided by Department of Economics, Institute for Business and Economic Research, UC Berkeley in its series Department of Economics, Working Paper Series with number qt7r623607.

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Date of creation: 01 May 1993
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Handle: RePEc:cdl:econwp:qt7r623607

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Related research

Keywords: nonparametric regression; constrained least squares; quadratic programming; Social and Behavioral Sciences;

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  1. Varian, Hal R, 1984. "The Nonparametric Approach to Production Analysis," Econometrica, Econometric Society, vol. 52(3), pages 579-97, May.
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Cited by:
  1. Lee, Chia-Yen & Johnson, Andrew L. & Moreno-Centeno, Erick & Kuosmanen, Timo, 2013. "A more efficient algorithm for Convex Nonparametric Least Squares," European Journal of Operational Research, Elsevier, vol. 227(2), pages 391-400.
  2. Paul Ruud, . "Restricted Least Squares Subject to Monotonicity and Concavity Constraints," Working Papers _007, University of California at Berkeley, Econometrics Laboratory Software Archive.
  3. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
  4. Henderson, Daniel J. & Parmeter, Christopher F., 2009. "Imposing Economic Constraints in Nonparametric Regression: Survey, Implementation and Extension," IZA Discussion Papers 4103, Institute for the Study of Labor (IZA).
  5. Adonis Yatchew & Len Bos, 1997. "Nonparametric Least Squares Regression and Testing in Economic Models," Working Papers yatchew-99-01, University of Toronto, Department of Economics.
  6. Quisumbing, Agnes R., 1995. "Gender differences in agricultural productivity," FCND discussion papers 5, International Food Policy Research Institute (IFPRI).

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