The Sign of a Mean Regression: Characterisation, Estimation and Applications

31 Pages Posted: 28 Nov 2001

See all articles by Spyros Skouras

Spyros Skouras

Athens University of Economics and Business - Department of International and European Economic Studies

Abstract

There exist a number of important applications in which interest centers on the sign rather than the overall shape of a mean regression. These include certain decision-making problems as well as the problems of calibration and econometric equation inversion. We show that the sign of a mean regression for Y may be viewed as a generalisation of a quantile regression for the sign of Y. This characterisation is used to construct three related estimators that require only a very weak specification condition for the estimated model's sign to be consistent for the regression's sign. The relative merits of each estimator are discussed and simulations are used to study one of the estimators.

Keywords: Regression sign, regression zeros, robust consistent estimation, quantile regression, decision rule estimation, calibration, econometric equation inversion

JEL Classification: C13, C14, C25, C44, G11.

Suggested Citation

Skouras, Spyros, The Sign of a Mean Regression: Characterisation, Estimation and Applications. Available at SSRN: https://ssrn.com/abstract=291922 or http://dx.doi.org/10.2139/ssrn.291922

Spyros Skouras (Contact Author)

Athens University of Economics and Business - Department of International and European Economic Studies ( email )

GR-10434 Athens
Greece

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