Uncertainty under a multivariate nested-error regression model with logarithmic transformation

Isabel Molina

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: 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: 2006-10
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws066117

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