Influence diagnostic analysis in the possibly heteroskedastic linear model with exact restrictions

Journal of the Italian Statistical Society - Tập 25 - Trang 227-249 - 2015
Shuangzhe Liu1, Víctor Leiva2,3, Tiefeng Ma4, Alan Welsh5
1Faculty of Education, Science, Technology and Mathematics, University of Canberra, Canberra, Australia
2Faculty of Engineering and Sciences, Adolfo Ibáñez University, Viña del Mar, Chile
3Institute of Statistics, University of Valparaíso, Valparaíso, Chile
4School of Statistics, Southwestern University of Finance and Economics, Chengdu, China
5Mathematical Sciences Institute, Australian National University, Canberra, Australia

Tóm tắt

The local influence method has proven to be a useful and powerful tool for detecting influential observations on the estimation of model parameters. This method has been widely applied in different studies related to econometric and statistical modelling. We propose a methodology based on the Lagrange multiplier method with a linear penalty function to assess local influence in the possibly heteroskedastic linear regression model with exact restrictions. The restricted maximum likelihood estimators and information matrices are presented for the postulated model. Several perturbation schemes for the local influence method are investigated to identify potentially influential observations. Three real-world examples are included to illustrate and validate our methodology.

Tài liệu tham khảo

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