Parametric transformed Fay–Herriot model for small area estimation

Shonosuke Sugasawa and Tatsuya Kubokawa

Journal of Multivariate Analysis, 2015, vol. 139, issue C, 295-311

Abstract: Motivated from analysis of positive data such as income, revenue, harvests and production, the paper suggests the parametric transformed Fay–Herriot model in small-area estimation. When the dual power transformation is used as the parametric transformation, we provide consistent estimators of the transformation parameter, the regression coefficients and the variance component. The empirical best linear unbiased predictors which plug in those consistent estimators are suggested, and their mean squared errors (MSE) are asymptotically evaluated. A second-order unbiased estimator of the MSE is also given through the parametric bootstrap. Finally, performances of the suggested procedures are investigated through simulation and empirical studies.

Keywords: Asymptotically unbiased estimator; Box–Cox transformation; Dual power transformation; Fay–Herriot model; Linear mixed model; Mean squared error; Parametric bootstrap; Small area estimation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:139:y:2015:i:c:p:295-311

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DOI: 10.1016/j.jmva.2015.04.001

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