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
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.
|Additional Information:||© 2001 Peking University Press|
|Uncontrolled Keywords:||bid-ask spread, censored data, linear regression|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
?? JEL_C13,C24 ??
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C24 - Truncated and Censored Models
|Sets:||Departments > Economics
Collections > Economists Online
|Date Deposited:||27 Apr 2007|
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