Uncertainty under a multivariate nested-error regression model with logarithmic transformation
Assuming a multivariate linear regression model with one random factor, we consider the parameters defined as exponentials of mixed effects, i.e., linear combinations of fixed and random effects. Such parameters are of particular interest in prediction problems where the dependent variable is the logarithm of the variable that is the object of inference. We derive bias-corrected empirical predictors of such parameters. A second order approximation for the mean crossed product error of the predictors of two of these parameters is obtained, and an estimator is derived from it. The mean squared error is obtained as a particular case.
|Date of creation:||Oct 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eric V. Slud & Tapabrata Maiti, 2006. "Mean-squared error estimation in transformed Fay-Herriot models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(2), pages 239-257.
- Jiming Jiang & P. Lahiri, 2006. "Mixed model prediction and small area estimation," TEST- An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(1), pages 1-96, June.
- Molina, Isabel & Baíllo, Amparo, 2005. "Mean squared errors of small area estimators under a unit-level multivariate model," DES - Working Papers. Statistics and Econometrics. WS ws054007, Universidad Carlos III de Madrid. Departamento de Estadística.
When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:ws066117. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ana Poveda)
If references are entirely missing, you can add them using this form.