Imposing Economic Constraints in Nonparametric Regression: Survey, Implementation and Extension
AbstractEconomic conditions such as convexity, homogeneity, homotheticity, and monotonicity are all important assumptions or consequences of assumptions of economic functionals to be estimated. Recent research has seen a renewed interest in imposing constraints in nonparametric regression. We survey the available methods in the literature, discuss the challenges that present themselves when empirically implementing these methods and extend an existing method to handle general nonlinear constraints. A heuristic discussion on the empirical implementation for methods that use sequential quadratic programming is provided for the reader and simulated and empirical evidence on the distinction between constrained and unconstrained nonparametric regression surfaces is covered.
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Bibliographic InfoPaper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 4103.
Length: 32 pages
Date of creation: Mar 2009
Date of revision:
Publication status: published in: Advances in Econometrics, 2009, 25, 433-469
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Find related papers by JEL classification:
- J20 - Labor and Demographic Economics - - Demand and Supply of Labor - - - General
- J30 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-13 (All new papers)
- NEP-ECM-2009-04-13 (Econometrics)
- NEP-ORE-2009-04-13 (Operations Research)
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