Empirical Likelihood Confidence Region for Parameters in Semi‐linear Errors‐in‐Variables Models

Hengjian Cui and Efang Kong

Scandinavian Journal of Statistics, 2006, vol. 33, issue 1, 153-168

Abstract: Abstract. This paper proposes a constrained empirical likelihood confidence region for a parameter in the semi‐linear errors‐in‐variables model. The confidence region is constructed by combining the score function corresponding to the squared orthogonal distance with a constraint on the parameter, and it overcomes that the solution of limiting mean estimation equations is not unique. It is shown that the empirical log likelihood ratio at the true parameter converges to the standard chi‐square distribution. Simulations show that the proposed confidence region has coverage probability which is closer to the nominal level, as well as narrower than those of normal approximation of generalized least squares estimator in most cases. A real data example is given.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9469.2006.00468.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:33:y:2006:i:1:p:153-168

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0303-6898

Access Statistics for this article

Scandinavian Journal of Statistics is currently edited by ÿrnulf Borgan and Bo Lindqvist

More articles in Scandinavian Journal of Statistics from Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association, Swedish Statistical Association
Bibliographic data for series maintained by Wiley Content Delivery ().