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Estimation of Linear Regression Models by a Spread-Tolerant Estimator

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  • Oliver Linton

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Abstract

We 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 Info

Paper provided by Financial Markets Group in its series FMG Discussion Papers with number dp512.

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Date of creation: Sep 2004
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Handle: RePEc:fmg:fmgdps:dp512

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Web page: http://www.lse.ac.uk/fmg/

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