IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s459045.html
 

LPPINV: Stata module providing a non-iterated general implementation of the LPLS estimator for cOLS, TM, and custom cases

Author

Listed:
  • Ilya Bolotov

    (Prague University of Economics and Business)

Programming Language

Stata

Abstract

The program implements the LPLS (linear programming through least squares) estimator with the help of the Moore-Penrose inverse (pseudoinverse), calculated using singular value decomposition (SVD), with emphasis on the estimation of OLS constrained in values (cOLS), Transaction Matrix (TM), and custom (user-defined) cases. The pseudoinverse offers a unique minimum-norm least-squares solution, which is the best linear unbiased estimator (BLUE); see Albert (1972, Chapter VI). (Over)determined problems are accompanied by regression analysis, which is feasible in their case. For such and especially all remaining cases, a Monte Carlo-based t-test of mean NRMSE (normalized by the standard deviation of the RHS) is performed, the sample being drawn from a uniform or user-provided distribution (via a Mata function).

Suggested Citation

  • Ilya Bolotov, 2022. "LPPINV: Stata module providing a non-iterated general implementation of the LPLS estimator for cOLS, TM, and custom cases," Statistical Software Components S459045, Boston College Department of Economics, revised 21 Feb 2024.
    • Handle: RePEc:boc:bocode:s459045
    Note: This module should be installed from within Stata by typing "ssc install lppinv". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/l/lppinv.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lppinv.sthlp
    File Function: help file
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s459045. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.