Computations for constrained linear models

Journal Article

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.

Cited Authors

  • Gallant, AR; Gerig, TM

Published Date

  • 1980

Published In

Volume / Issue

  • 12 / 1

Start / End Page

  • 59 - 84

International Standard Serial Number (ISSN)

  • 0304-4076