Linton, Oliver (2004) Estimation of linear regression models by a spread-tolerant estimator. Discussion paper, 512. Financial Markets Group, London School of Economics and Political Science, London, UK.
Download (139Kb) | Preview
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 non-linear, and indeed the criterion function itself is non smooth. We establish its asymptotic properties using the approach of Pakes & Pollard (1989). We compare the estimator with mid-point OLS.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2004 The Author|
|Library of Congress subject classification:||H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
|Sets:||Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Actions (login required)
|Record administration - authorised staff only|