Semiparametric Estimation under Shape Constraints

Ximing Wu (wuximing05@gmail.com) and Robin Sickles
Additional contact information
Robin Sickles: Rice University

Working Papers from Rice University, Department of Economics

Abstract: Economic theory provides the econometrician with substantial structure and restrictions necessary to give economic interpretation to empirical findings. In many settings, such as those in consumer demand and production studies, these restrictions often take the form of monotonicity and curvature constraints. Although such restrictions may be imposed in certain parametric empirical settings in a relatively straight-forward fashion by utilizing parametric restrictions or particular parametric functional forms (Cobb-Douglas, CES, etc.), imposing such restrictions in semiparametric models is often problematic. Our paper provides one solution to this problem by incorporating penalized splines, where monotonicity and curvature constraints are maintained via integral transformations of spline basis expansions. We derive the estimator, algorithms for its solution, and its large sample properties. Inferential procedures are discussed as well as methods for selecting the smoothing parameter. We also consider multiple regressions under the framework of additive models. We conduct a series of Monte Carlo simulations to illustrate the finite sample properties of the estimator. We apply the proposed methods to estimate two canonical relationships, one in consumer behavior and one in producer behavior. These two empirical settings examine the relationship between individuals' degree of optimism and risk tolerance and a production function with multiple inputs.

JEL-codes: C14 C15 D04 (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://economics.rice.edu/file/787/download?token=xuopu_ao
Our link check indicates that this URL is bad, the error code is: 406 Not Acceptable

Related works:
Journal Article: Semiparametric estimation under shape constraints (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecl:riceco:15-021

Access Statistics for this paper

More papers in Working Papers from Rice University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by (workingpapers@econlit.org).