Inequality Constrained Least-Squares Estimation
- 1 September 1976
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 71 (355) , 746
- https://doi.org/10.2307/2285614
Abstract
There are growing demands to use prior and sample information for parameter estimation of a regression model in order to maintain consistency with underlying theory. To meet such demands, this paper provides an inequality constrained least-squares (ICLS) estimation, specifies an untruncated variance-covariance matrix of the ICLS estimates, and discusses their statistical properties in large-and small-sample cases. Finally, the ICLS and the ordinary least-squares OLS estimates are compared in terms of sample bias, sample mean-square error MSE and sample variance of the estimates by a Monte Carlo study.Keywords
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