Empirical likelihood for linear regression models with missing responses

Yongsong Qin, Ling Li and Qingzhu Lei

Statistics & Probability Letters, 2009, vol. 79, issue 11, 1391-1396

Abstract: To make inference on in a linear regression model with missing responses, Wang and Rao [Wang, Q., Rao, J.N.K., 2001. Empirical likelihood for linear regression models under imputation for missing responses. Canad. J. Statist. 29, 597-608.] constructed an empirical likelihood (EL) statistic based on the 'complete' data set after linear regression imputation which is asymptotically a sum of weighted variables with unknown weights. In this paper, we use a new method to produce a 'complete' data set for Y. Based on this data set, we construct an EL statistic on [beta], and show that the EL statistic has the limiting distribution of which is used to construct confidence region on [beta] without adjustment. Results of a simulation study on the finite sample performance of EL-based confidence region on [beta] are reported.

Date: 2009
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