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.
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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: | https://www.fmg.ac.uk/ |
| 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 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24763 |
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