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Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution

Author

Listed:
  • William Barnett

    (Department of Economics, University of Kansas)

  • Ousmane Seck

    (California State University at Fullerton)

Abstract

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).

Suggested Citation

  • William Barnett & Ousmane Seck, 2009. "Estimation with Inequality Constraints on Parameters and Truncation of the Sampling Distribution," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200903, University of Kansas, Department of Economics, revised May 2009.
    • Handle: RePEc:kan:wpaper:200903
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    File URL: http://www2.ku.edu/~kuwpaper/2009Papers/200903.pdf
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    References listed on IDEAS

    as
    1. William A. Barnett, 2000. "Economic Monetary Aggregates: An Application of Index Number and Aggregation Theory," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 11-48, Emerald Group Publishing Limited.
    2. Barnett, William A, 1977. "Recursive Subaggregation and a Generalized Hypocycloidal Demand Model," Econometrica, Econometric Society, vol. 45(5), pages 1117-1136, July.
    3. William A. Barnett, 2000. "The User Cost of Money," Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 6-10, Emerald Group Publishing Limited.
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    Cited by:

    1. William Barnett & Ousmane Seck, 2010. "A note on nonidentification in truncated sampling distribution estimation," Economics Bulletin, AccessEcon, vol. 30(2), pages 1670-1679.

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    More about this item

    Keywords

    Asymptotics; truncated sampling distribution; nonidentified sign; inequality constraints; bootstrap; jackknife.;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F12 - International Economics - - Trade - - - Models of Trade with Imperfect Competition and Scale Economies; Fragmentation

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