Diagnostics in elliptical regression models with stochastic restrictions applied to econometrics

Víctor Leiva, Shuangzhe Liu, Lei Shi, Francisco José A. Cysneiros

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

15 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Páginas (desde-hasta)627-642
Número de páginas16
PublicaciónJournal of Applied Statistics
Volumen43
N.º4
DOI
EstadoPublicada - 11 mar. 2016
Publicado de forma externa

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