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Estimators of slopes in linear errors-invariables regression models when the predictors have known reliability matrix

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  • Gleser, Leon Jay

Abstract

In a linear errors-in-variables regression model, one observes a dependent scalar variable Yi and an error-prone measurement Xi of an r-dimensional latent predictor xi, i = 1,...,n, where it is assumed that E[Yixi] = a + Bxi. It is well known that the naive least squares estimator (LSE) of B obtained by regressing Yi on Xi is biased and inconsistent. A natural alternative is to use maximum likelihood to estimate B, under normality assumptions. The use of normality assumptions creates identifiability problems which require parametric restrictions to resolve. Gleser (1992) argues that an appropriate parametric restriction is to assume that the reliability matrix A of the measured predictors Xi is known. The problem of estimating B then reduces to estimation of slopes in a standard linear model with random regressors [Lambda]Xi, but with a known bound on the scaled magnitude (signal-to-noise ratio) of B. The slope b of the regression of Yi on [Lambda]Xi is the best unbiased estimator of B, and is asymptotically equivalent to the maximum likelihood estimator (MLE) of B. In the present paper, it is shown that b is dominated in matrix (and thus total mean-squared-error) risk by a linear 'shrinkage' b of b. The naive LSE is also a linear shrinkage of b; both the naive LSE and b are shown to be linearly inadmissible under total mean-squared-error risk unless [Lambda] = cIr.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:stapro:v:17:y:1993:i:2:p:113-121
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    Citations

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    Cited by:

    1. Shalabh & Garg, Gaurav & Misra, Neeraj, 2009. "Use of prior information in the consistent estimation of regression coefficients in measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1498-1520, August.
    2. 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.
    3. 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.
    4. 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.
    5. Schneeweiss, H. & Shalabh, H., 2007. "On the estimation of the linear relation when the error variances are known," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1143-1148, October.
    6. 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.
    7. Cheng, C.-L. & Shalabh, & Garg, G., 2014. "Coefficient of determination for multiple measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 137-152.

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