Library Header Image
LSE Research Online LSE Library Services

Estimation of linear regression models by a spread-tolerant estimator

Linton, Oliver (2004) Estimation of linear regression models by a spread-tolerant estimator. Financial Markets Group Discussion Papers (512). Financial Markets Group, The London School of Economics and Political Science, London, UK.

PDF - Published Version
Download (142kB) | 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)
Official URL:
Additional Information: © 2004 The Author
Divisions: Financial Markets Group
Subjects: H Social Sciences > HG Finance
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: 06 Aug 2009 13:28
Last Modified: 15 Sep 2023 22:58

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics