Multivariate Fay–Herriot models for small area estimation

Roberto Benavent and Domingo Morales

Computational Statistics & Data Analysis, 2016, vol. 94, issue C, 372-390

Abstract: Multivariate Fay–Herriot models for estimating small area indicators are introduced. Among the available procedures for fitting linear mixed models, the residual maximum likelihood (REML) is employed. The empirical best predictor (EBLUP) of the vector of area means is derived. An approximation to the matrix of mean squared crossed prediction errors (MSE) is given and four MSE estimators are proposed. The first MSE estimator is a plug-in version of the MSE approximation. The remaining MSE estimators combine parametric bootstrap with the analytic terms of the MSE approximation. Several simulation experiments are performed in order to assess the behavior of the multivariate EBLUP and for comparing the MSE estimators. The developed methodology and software are applied to data from the 2005 and 2006 Spanish living condition surveys. The target of the application is the estimation of poverty proportions and gaps at province level.

Keywords: Multivariate linear mixed models; Fay–Herriot model; REML method; EBLUP; MSE estimation; Bootstrap; Poverty (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:94:y:2016:i:c:p:372-390

DOI: 10.1016/j.csda.2015.07.013

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