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Restricted estimation in multivariate measurement error regression model

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  • Jain, Kanchan
  • Singh, Sukhbir
  • Sharma, Suresh

Abstract

We study a multivariate ultrastructural measurement error (MUME) model with more than one response variable. This model is a synthesis of multivariate functional and structural models. Three consistent estimators of regression coefficients, satisfying the exact linear restrictions have been proposed. Their asymptotic distributions are derived under the assumption of a non-normal measurement error and random error components. A simulation study is carried out to investigate the small sample properties of the estimators. The effect of departure from normality of the measurement errors on the estimators is assessed.

Suggested Citation

  • Jain, Kanchan & Singh, Sukhbir & Sharma, Suresh, 2011. "Restricted estimation in multivariate measurement error regression model," Journal of Multivariate Analysis, Elsevier, vol. 102(2), pages 264-280, February.
    • Handle: RePEc:eee:jmvana:v:102:y:2011:i:2:p:264-280
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    References listed on IDEAS

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    1. H. Schneeweiß, 1976. "Consistent estimation of a regression with errors in the variables," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 23(1), pages 101-115, December.
    2. Gleser, Leon Jay, 1993. "Estimators of slopes in linear errors-invariables regression models when the predictors have known reliability matrix," Statistics & Probability Letters, Elsevier, vol. 17(2), pages 113-121, May.
    3. Shalabh & Garg, Gaurav & Misra, Neeraj, 2007. "Restricted regression estimation in measurement error models," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1149-1166, October.
    4. Nguyen, Truc T., 1997. "A Note on Matrix Variate Normal Distribution," Journal of Multivariate Analysis, Elsevier, vol. 60(1), pages 148-153, January.
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    1. Singh, Sukhbir & Jain, Kanchan & Sharma, Suresh, 2012. "Using stochastic prior information in consistent estimation of regression coefficients in replicated measurement error model," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 198-212.
    2. Sukhbir Singh & Kanchan Jain & Suresh Sharma, 2014. "Replicated measurement error model under exact linear restrictions," Statistical Papers, Springer, vol. 55(2), pages 253-274, May.
    3. Sévérien Nkurunziza, 2023. "On efficiency of some restricted estimators in a multivariate regression model," Statistical Papers, Springer, vol. 64(2), pages 617-642, April.
    4. Cheng, C.-L. & Shalabh, & Garg, G., 2016. "Goodness of fit in restricted measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 101-116.

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