Linton, Oliver (2001) Estimation of linear regression models from bid-ask data by a spread-tolerant estimator. Annals of Economics and Finance, 2 (1). pp. 237-248. ISSN 1529-7373
Full text not available from this repository.Abstract
We investigate a class of estimators for linear regression models where the dependent variable is subject to bid-ask censoring. Our estimation method is based on a definition of error that is zero when the predictor lies between the actual bid price and ask price, and linear outside this range. Our estimator minimizes a sum of such squared errors; it is nonlinear, and indeed the criterion function itself is non-smooth. We establish its asymptotic properties using the approach of Pakes and Pollard (1989). We compare the estimator with midpoint OLS.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.aeconf.net/ |
| Additional Information: | © 2001 Peking University Press |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C24 - Truncated and Censored Models |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 14 Oct 2024 02:00 |
| URI: | http://eprints.lse.ac.uk/id/eprint/1111 |
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