Abstract
The paper provides an estimation procedure for the linear model with arbitrary constraints on parameters. The consistency of the both the regular GMM and the bootstrapped GMM estimators for this model is shown. The estimation is formulated and solved as an iterative NLP problem with inequality constraints.
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Kazarian, L. A consistent bootstrapped GMM estimator for the linear model with arbitrary inequality constraints on parameters. Statistical Papers 39, 325–333 (1998). https://doi.org/10.1007/BF02929708
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DOI: https://doi.org/10.1007/BF02929708