Multiple linear regression model with stochastic design variables

M. Qamarul Islam and Moti Tiku

Journal of Applied Statistics, 2010, vol. 37, issue 6, 923-943

Abstract: In a simple multiple linear regression model, the design variables have traditionally been assumed to be non-stochastic. In numerous real-life situations, however, they are stochastic and non-normal. Estimators of parameters applicable to such situations are developed. It is shown that these estimators are efficient and robust. A real-life example is given.

Keywords: correlation coefficient; least squares; linear regression; modified maximum likelihood; multivariate distributions; non-normality; random design (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1080/02664760902939612

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