Imposing economic constraints in nonparametric regression: Survey, implementation, and extension

Daniel J. Henderson, Christopher Parmeter

Research output: Contribution to journalArticle

17 Citations (Scopus)

Abstract

Economic conditions such as convexity, homogeneity, homotheticity, and monotonicity are all important assumptions or consequences of assumptions of economic functionals to be estimated. Recent research has seen a renewed interest in imposing constraints in nonparametric regression. We survey the available methods in the literature, discuss the challenges that present themselves when empirically implementing these methods, and extend an existing method to handle general nonlinear constraints. A heuristic discussion on the empirical implementation for methods that use sequential quadratic programming is provided for the reader, and simulated and empirical evidence on the distinction between constrained and unconstrained nonparametric regression surfaces is covered.

Original languageEnglish (US)
Pages (from-to)433-469
Number of pages37
JournalAdvances in Econometrics
Volume25
DOIs
StatePublished - Dec 1 2009
Externally publishedYes

Fingerprint

Nonparametric regression
Economics
Quadratic programming
Economic conditions
Homogeneity
Homotheticity
Convexity
Empirical evidence
Heuristics
Monotonicity

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Imposing economic constraints in nonparametric regression : Survey, implementation, and extension. / Henderson, Daniel J.; Parmeter, Christopher.

In: Advances in Econometrics, Vol. 25, 01.12.2009, p. 433-469.

Research output: Contribution to journalArticle

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