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A constrained least squares method for estimating the effects of an unknown monotonically intervening factor
Author(s) -
Thore Sten
Publication year - 1989
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980080403
Subject(s) - ordinary least squares , monotonic function , econometrics , regression , least squares function approximation , mathematics , hyperplane , economics , regression analysis , statistics , estimation , combinatorics , mathematical analysis , estimator , management
A constrained least squares method is developed for the estimation of the effects of an unknown intervening causal factor in regression analysis, when the unknown factor shifts the regression hyperplane monotonically upwards (downwards) over time. As an illustration, we estimate the price elasticity of cigarettes in the USA and the systematic shifts of the demand curve for cigarettes during the time period 1964‐86 (these shifts presumably reflecting the heightened awareness of the general public of the potential dangers of smoking).