Estimating economic relationships subject to firm‐ and time‐varying equality and inequality constraints
展示了如何用奇异值分解和马尔可夫链蒙特卡洛方法，严格施加经济理论要求的随时间与企业变化的等式和不等式约束，并以超越对数投入需求系统为例进行估计。
Abstract Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD) Theorem and Markov Chain Monte Carlo (MCMC) methods can be used to rigorously impose time‐ and firm‐varying equality and inequality constraints. To illustrate the technique we estimate a system of translog input demand functions subject to all the constraints implied by economic theory, including observation‐varying symmetry and concavity constraints. Results are presented in the form of characteristics of the estimated posterior distributions of functions of the parameters. Copyright © 2001 John Wiley & Sons, Ltd.