Estimation of Linear Regression Models by a Spread-Tolerant Estimator
AbstractWe investigate a class of estimators for Linear Regression models where the dependent variable is subject to bid-ask censoring.� Our estimation method is based on a definition of error that is zero when the predictor lies between the actual bid price and ask price, and linear outside this range.� Our estimator minimizes a sum of such squared errors; it is non-linear, and�indeed the criterion function itself is non smooth.� We establish its asymptotic�properties using the approach of Pakes & Pollard (1989).��We compare the estimator with mid-point OLS.�
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Bibliographic InfoPaper provided by Financial Markets Group in its series FMG Discussion Papers with number dp512.
Date of creation: Sep 2004
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Web page: http://www.lse.ac.uk/fmg/
Other versions of this item:
- Oliver Linton, 2004. "Estimation of linear regression models by a spread-tolerant estimator," LSE Research Online Documents on Economics 24763, London School of Economics and Political Science, LSE Library.
- F3 - International Economics - - International Finance
- G3 - Financial Economics - - Corporate Finance and Governance
- J1 - Labor and Demographic Economics - - Demographic Economics
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