Publications [#266646] of A Ronald Gallant

Journal Articles

1. AR Gallant and TM Gerig, Computations for constrained linear models, Journal of Econometrics, vol. 12 no. 1 (1980), pp. 59-84, ISSN 0304-4076
   (last updated on 2016/06/24)

   Abstract:
   The article presents an algorithm for linear regression computations subject to linear parametric equality constraints, linear parametric inequality constraints, or a mixture of the two. No rank conditions are imposed on the regression specification or the constraint specification. The algorithm requires a full Moore-Penrose g-inverse which entails extra computational effort relative to other orthonormalization type algorithms. In exchange, auxiliary statistical information is generated: feasibility of a set of constraints may be checked, estimability of a linear parametric function may be checked, and bias and variance may be decomposed by source. © 1980.