LPPINV: Stata module providing a non-iterated general implementation of the LPLS estimator for cOLS, TM, and custom cases

Ilya Bolotov

Statistical Software Components from Boston College Department of Economics

Abstract: The program implements the LPLS (linear programming through least squares) estimator with the help of the Moore-Penrose inverse (pseudoinverse), calculated using singular value decomposition (SVD), with emphasis on the estimation of OLS constrained in values (cOLS), Transaction Matrix (TM), and custom (user-defined) cases. The pseudoinverse offers a unique minimum-norm least-squares solution, which is the best linear unbiased estimator (BLUE); see Albert (1972, Chapter VI). (Over)determined problems are accompanied by regression analysis, which is feasible in their case. For such and especially all remaining cases, a Monte Carlo-based t-test of mean NRMSE (normalized by the standard deviation of the RHS) is performed, the sample being drawn from a uniform or user-provided distribution (via a Mata function).

Language: Stata
Requires: Stata version 16
Keywords: linear programming; least squares; pseudoinverse; singular value decomposition (search for similar items in EconPapers)
Date: 2022-02-06, Revised 2024-02-21
Note: This module should be installed from within Stata by typing "ssc install lppinv". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/l/lppinv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lppinv.sthlp help file (text/plain)

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