Restricted estimation in multivariate measurement error regression model

Kanchan Jain, Sukhbir Singh and Suresh Sharma

Journal of Multivariate Analysis, 2011, vol. 102, issue 2, 264-280

Abstract: We study a multivariate ultrastructural measurement error (MUME) model with more than one response variable. This model is a synthesis of multivariate functional and structural models. Three consistent estimators of regression coefficients, satisfying the exact linear restrictions have been proposed. Their asymptotic distributions are derived under the assumption of a non-normal measurement error and random error components. A simulation study is carried out to investigate the small sample properties of the estimators. The effect of departure from normality of the measurement errors on the estimators is assessed.

Keywords: Measurement; error; Multivariate; regression; Reliability; matrix; Linear; restrictions; Consistent; estimators (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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