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Nonparametric Multivariate Regression Subject to Constraint

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Author Info
S. M. Goldman (U C at Berkeley)
P. A. Ruud (U C at Berkeley)

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Abstract

We review Hildreth's algorithm for computing the least squares regression subject to inequality constraints and Dykstra's generalization. We provide a geometric proof of convergence and several enhancements to the algorithm and generalize the application of the algorithm from convex cones to convex sets.

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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 9311001.

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Length: 16 pages
Date of creation: 12 Nov 1993
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Handle: RePEc:wpa:wuwpem:9311001

Note: 16 pages; keywords: econometrics, econometric models
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Web page: http://129.3.20.41

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

References listed on IDEAS
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.:

  1. Varian, Hal R, 1984. "The Nonparametric Approach to Production Analysis," Econometrica, Econometric Society, vol. 52(3), pages 579-97, May. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Adonis Yatchew & Len Bos, 1997. "Nonparametric Least Squares Regression and Testing in Economic Models," Working Papers yatchew-99-01, University of Toronto, Department of Economics. [Downloadable!]
  2. Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Valentino Dardanoni & Antonio Forcina, 1996. "Inference for the Lorenz Curve Ordering," University of California at San Diego, Economics Working Paper Series 96-26, Department of Economics, UC San Diego. [Downloadable!]
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