COMBINING INFORMATION FROM LINEAR MODELS ON POSSIBLY DIFFERENT SCALES

This paper examines the joint statistical analysis of M independent data sets, the jth of which satisfies the model λ_j Y_j=X_jB +ε_j, where the λ_j are unknown and the ε_i are normally distributed with a known correlation structure. The maximum likelihood equations, their asymptotic covariance matrix, and the likelihood ratio test of the hypothesis that the λ_js are all equal are derived. These results are applied to two examples.