A heteroscedastic structural errors-in-variables model with equation error |
| |
Authors: | AG Patriota H Bolfarine M de Castro |
| |
Institution: | aUniversidade de São Paulo, Instituto de Matemática e Estatística, São Paulo-SP, Brazil;bUniversidade de São Paulo, Instituto de Ciências Matemáticas e de Computação, São Carlos-SP, Brazil |
| |
Abstract: | It is not uncommon with astrophysical and epidemiological data sets that the variances of the observations are accessible from an analytical treatment of the data collection process. Moreover, in a regression model, heteroscedastic measurement errors and equation errors are common situations when modelling such data. This article deals with the limiting distribution of the maximum-likelihood and method-of-moments estimators for the line parameters of the regression model. We use the delta method to achieve it, making it possible to build joint confidence regions and hypothesis testing. This technique produces closed expressions for the asymptotic covariance matrix of those estimators. In the moment approach we do not assign any distribution for the unobservable covariate while with the maximum-likelihood approach, we assume a normal distribution. We also conduct simulation studies of rejection rates for Wald-type statistics in order to verify the test size and power. Practical applications are reported for a data set produced by the Chandra observatory and also from the WHO MONICA Project on cardiovascular disease. |
| |
Keywords: | Asymptotic theory Equation error Heteroscedasticity Measurement error models |
本文献已被 ScienceDirect 等数据库收录! |
|