Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution
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).
|Date of creation:||Jan 2009|
|Date of revision:||May 2009|
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- 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.).
- Barnett, William A, 1977. "Recursive Subaggregation and a Generalized Hypocycloidal Demand Model," Econometrica, Econometric Society, vol. 45(5), pages 1117-1136, July.
- 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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