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Diagnostics in elliptical regression models with stochastic restrictions applied to econometrics |
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| Authors: | Víctor Leiva Shuangzhe Liu Lei Shi Francisco José A. Cysneiros |
| Affiliation: | 1. Faculty of Engineering and Sciences, Universidad Adolfo Ibá?ez, Vi?a del Mar, Chile;2. Institute of Statistics, Universidad de Valparaíso, Valparaíso, Chilevictorleivasanchez@gmail.com;4. Faculty of Education, Science, Technology and Mathematics, University of Canberra, Canberra, Australia;5. Statistics and Mathematics College, Yunnan University of Finance and Economics, Kunming, People's Republic of China;6. Department of Statistics, Universidade Federal de Pernambuco, Recife, Brazil |
| Abstract: | We propose an influence diagnostic methodology for linear regression models with stochastic restrictions and errors following elliptically contoured distributions. We study how a perturbation may impact on the mixed estimation procedure of parameters in the model. Normal curvatures and slopes for assessing influence under usual schemes are derived, including perturbations of case-weight, response variable, and explanatory variable. Simulations are conducted to evaluate the performance of the proposed methodology. An example with real-world economy data is presented as an illustration. |
| Keywords: | computational statistics elliptically contoured distributions generalized least squares local influence method maximum-likelihood method mixed estimation |