IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Least Square Linear Prediction with Two-Sample Data

  • David Pacini

    ()

Registered author(s):

    This paper investigates the identification and estimation of the least square linear predictor for the conditional expectation of an outcome variable Y given covariates (X;Z0) from data consisting of two independent random samples; the first sample contains replications of the variables (Y;Z0) but not X, while the second sample contains replications of (X;Z0) but not Y . The contribution is to characterize the identified set of the least square linear predictor when no assumption on the joint distribution of (Y;X;Z0), except for the existence of second order moments, is imposed. We show that the identified set is not a singleton, so the least square linear predictor of interest is set identified. The characterization is used to construct a sample analog estimator of the identified set. The asymptotic properties of the estimator are established and its implementation is illustrated via Monte Carlo exercises.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.efm.bris.ac.uk/economics/working_papers/pdffiles/dp12631.pdf
    Download Restriction: no

    Paper provided by Department of Economics, University of Bristol, UK in its series Bristol Economics Discussion Papers with number 12/631.

    as
    in new window

    Length: 30 pages
    Date of creation: Nov 2012
    Date of revision:
    Handle: RePEc:bri:uobdis:12/631
    Contact details of provider: Postal: 8 Woodland Road, Bristol, BS8 1TN
    Phone: 0117 928 8415
    Fax: 0117 928 8577
    Web page: http://www.efm.bris.ac.uk/
    Email:


    More information through EDIRC

    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.:

    as in new window
    1. Marjorie Flavin & Shinobu Nakagawa, 2008. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," American Economic Review, American Economic Association, vol. 98(1), pages 474-95, March.
    2. Bontemps, Christian & Magnac, Thierry & Maurin, Eric, 2007. "Set Identified Linear Models," IDEI Working Papers 494, Institut d'Économie Industrielle (IDEI), Toulouse.
    3. Beresteanu, Arie & Molinari, Francesca, 2006. "Asymptotic Properties for a Class of Partially Identified Models," Working Papers 06-04, Duke University, Department of Economics.
    4. M Arellano & Costas Megir & Mary Silles, 1990. "Female Labour Supply and On-the-Job Search: An Empirical Model Estimated using Complementary Data Sets," CEP Discussion Papers dp0009, Centre for Economic Performance, LSE.
    5. Meghir, Costas & Palme, Mårten, 1999. "Assessing the Effect of Schooling on Earnings Using a Social Experiment," SSE/EFI Working Paper Series in Economics and Finance 313, Stockholm School of Economics.
    6. Heckman, James J & Smith, Jeffrey, 1997. "Making the Most Out of Programme Evaluations and Social Experiments: Accounting for Heterogeneity in Programme Impacts," Review of Economic Studies, Wiley Blackwell, vol. 64(4), pages 487-535, October.
    7. Tatiana Komarova & Denis Nekipelov & Evgeny Yakovlev, 2011. "Identification, data combination and the risk of disclosure," CeMMAP working papers CWP38/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    8. repec:cup:cbooks:9780521496032 is not listed on IDEAS
    9. Hanming Fang & Michael P. Keane & Dan Silverman, 2006. "Sources of Advantageous Selection: Evidence from the Medigap Insurance Market," NBER Working Papers 12289, National Bureau of Economic Research, Inc.
    10. Molinari, Francesca & Peski, Marcin, 2006. "Generalization Of A Result On," Econometric Theory, Cambridge University Press, vol. 22(01), pages 159-163, February.
    11. Hiroaki Kaido & Andres Santos, 2014. "Asymptotically Efficient Estimation of Models Defined by Convex Moment Inequalities," Econometrica, Econometric Society, vol. 82(1), pages 387-413, 01.
    12. Brozozowski, Matthew & Gervais, Martin & Klein, Paul & Suzuki, Micho, 2009. "Consumption, income, and wealth inequality in Canada," Discussion Paper Series In Economics And Econometrics 0904, Economics Division, School of Social Sciences, University of Southampton.
    13. Bostic, Raphael & Gabriel, Stuart & Painter, Gary, 2009. "Housing wealth, financial wealth, and consumption: New evidence from micro data," Regional Science and Urban Economics, Elsevier, vol. 39(1), pages 79-89, January.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:bri:uobdis:12/631. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jonathan Temple)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.