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.
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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 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) |
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| Official URL: | http://fmg.lse.ac.uk |
| 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 |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| Identification Number: | 512 |
| URL: | http://eprints.lse.ac.uk/24763/ |
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