Linear Programming-Based Estimators in Simple Linear Regression
AbstractIn this paper we introduce a linear programming estimator (LPE) for the slope parameter in a constrained linear regression model with a single regressor. The LPE is interesting because it can be superconsistent in the presence of an endogenous regressor and, hence, preferable to the ordinary least squares estimator (LSE). Two di erent cases are considered as we investigate the statistical properties of the LPE. In the rst case, the regressor is assumed to be xed in repeated samples. In the second, the regressor is stochastic and potentially endogenous. For both cases the strong consistency and exact nite-sample distribution of the LPE is established. Conditions under which the LPE is consistent in the presence of serially correlated, heteroskedastic errors are also given. Finally, we describe how the LPE can be extended to the case with multiple regressors and conjecture that the extended estimator is consistent under conditions analogous to the ones given herein. Finite-sample properties of the LPE and extended LPE in comparison to the LSE and instrumental variable estimator (IVE) are investigated in a simulation study. One advantage of the LPE is that it does not require an instrument.
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Date of creation: Mar 2010
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- Preve, Daniel & Medeiros, Marcelo C., 2011. "Linear programming-based estimators in simple linear regression," Journal of Econometrics, Elsevier, Elsevier, vol. 165(1), pages 128-136.
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- Kunitomo, N. & McAleer, M.J. & Nishiyama, Y., 2010.
"Moment Restriction-based Econometric Methods: An Overview,"
Econometric Institute Research Papers
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- Fengler, Matthias R. & Hin, Lin-Yee, 2014. "A simple and general approach to fitting the discount curve under no-arbitrage constraints," Economics Working Paper Series 1423, University of St. Gallen, School of Economics and Political Science.
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