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Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution

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  • William Barnett

    (Department of Economics, The University of Kansas)

  • Ousmane Seck

    (California State University at Fullerton)

Abstract

Theoretical 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 Info

Paper provided by University of Kansas, Department of Economics in its series WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS with number 200903.

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Length: 23 pages
Date of creation: Jan 2009
Date of revision: May 2009
Handle: RePEc:kan:wpaper:200903

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Keywords: Asymptotics; truncated sampling distribution; nonidentified sign; inequality constraints; bootstrap; jackknife.;

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  1. 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.).
  2. 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.
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