Goodness of fit in restricted measurement error models

C.-L. Cheng, Shalabh, and G. Garg

Journal of Multivariate Analysis, 2016, vol. 145, issue C, 101-116

Abstract: The restricted measurement error model is employed when certain study variables are not observable by direct measurement and if some information about the unknown regression coefficients is available a priori. In this study, we present a method for checking the goodness of fit in the restricted measurement error model. We obtain the goodness-of-fit statistics based on the concept of coefficient of determination and their asymptotic distributions are derived. The results of simulations are also presented to demonstrate the finite sample behaviour of the estimators.

Keywords: Coefficient of determination; Goodness of fit; Least squares estimator; Linear equality constraint; Measurement error; Restricted regression; Ultrastructural model (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.jmva.2015.12.005

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