Barnett, William A. and Seck, Ousmane (2008): Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution.
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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).
|Item Type:||MPRA Paper|
|Original Title:||Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution|
|Keywords:||inequality constraints; truncation of sampling distribution; asymptotics; constrained estimation|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C16 - Specific Distributions
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
|Depositing User:||William A. Barnett|
|Date Deposited:||04. May 2009 00:47|
|Last Modified:||15. Feb 2013 20:45|
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Estimation with inequality constraints on the parameters: dealing with truncation of the sampling distribution. (deposited 05. Jan 2009 06:41)
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