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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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Keywords: nonparametric regression; constrained least squares; quadratic programming; Economics; Economic Theory;

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References

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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. 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.
  2. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
  3. 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).
  4. Ruud, Paul A., 1995. "Restricted Least Squares Subject to Monotonicity and Concavity Constraints," University of California Transportation Center, Working Papers qt71z2n16p, University of California Transportation Center.
  5. Quisumbing, Agnes R., 1995. "Gender differences in agricultural productivity," FCND discussion papers 5, International Food Policy Research Institute (IFPRI).

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