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The mean, variance, and bias of the OLS based estimator of the extremum of a quadratic regression model for small samples
Stockholm University, Faculty of Social Sciences, Department of Statistics. Uppsala University, Sweden.ORCID iD: 0000-0003-3691-8326
Number of Authors: 12022 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 51, no 9, p. 2870-2886Article in journal (Refereed) Published
Abstract [en]

Many economic theories suggest that the relation between two variablesyandxfollow a function forming a convex or concave curve. In the classical linear model (CLM) framework, this function is usually modeled using a quadratic regression model, with the interest being to find the extremum value or turning point of this function. In the CLM framework, this point is estimated from the ratio of ordinary least squares (OLS) estimators of coefficients in the quadratic regression model. We derive an analytical formula for the expected value of this estimator, from which formulas for its variance and bias follow easily. It is shown that the estimator is biased without the assumption of normality of the error term, and if the normality assumption is strictly applied, the bias does not exist. A simulation study of the performance of this estimator for small samples show that the bias decreases as the sample size increases.

Place, publisher, year, edition, pages
2022. Vol. 51, no 9, p. 2870-2886
Keywords [en]
Extremum value, Kuznets curve, polynomial regression, quadratic regression, turning point
National Category
Mathematics
Identifiers
URN: urn:nbn:se:su:diva-184585DOI: 10.1080/03610926.2020.1782936ISI: 000549138900001Scopus ID: 2-s2.0-85087501838OAI: oai:DiVA.org:su-184585DiVA, id: diva2:1464941
Available from: 2020-09-08 Created: 2020-09-08 Last updated: 2022-04-26Bibliographically approved

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Karlsson Rosenblad, Andreas

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