Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution
AbstractTheoretical constraints on economic model parameters often are in the form of inequality restrictions. For example, many theoretical results are in the form of monotonicity or nonnegativity restrictions. Inequality constraints can truncate sampling distributions of parameter estimators, so that asymptotic normality no longer is possible. Sampling theoretic asymptotic inference is thereby greatly complicated or compromised. We use numerical methods to investigate the resulting sampling properties of inequality-constrained estimators produced by popular methods of imposing inequality constraints, with particular emphasis on the method of squaring, which is the most widely used method in the applied literature on estimating integrable neoclassical systems of demand equations. See Barnett and Binner (2004).
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Bibliographic InfoPaper provided by University of Kansas, Department of Economics in its series WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS with number 200903.
Length: 23 pages
Date of creation: Jan 2009
Date of revision: May 2009
Asymptotics; truncated sampling distribution; nonidentified sign; inequality constraints; bootstrap; jackknife.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-17 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Barnett, William A., 1980. "Economic monetary aggregates an application of index number and aggregation theory," Journal of Econometrics, Elsevier, vol. 14(1), pages 11-48, September.
- Barnett, William A, 1977.
"Recursive Subaggregation and a Generalized Hypocycloidal Demand Model,"
Econometric Society, vol. 45(5), pages 1117-36, July.
- William A. Barnett, 1976. "Recursive subaggregation and a generalized hypocycloidal demand model," Special Studies Papers 84, Board of Governors of the Federal Reserve System (U.S.).
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