Influence diagnostics for the structural errors-in-variables model under the Student-t distribution

Manuel Galea, Heleno Bolfarine and Filidor Vilcalabra

Journal of Applied Statistics, 2002, vol. 29, issue 8, 1191-1204

Abstract: The influence of observations on the parameter estimates for the simple structural errors-in-variables model with no equation error, under the Student-t distribution, is investigated using the local influence approach. The main conclusion is that the Student-t model with small degrees of freedom is able to incorporate possible outliers and influential observations in the data. The likelihood displacement approach is useful for outlier detection, especially when a masking phenomenon is present and the degrees of freedom parameter is large. The diagnostics are illustrated with two examples.

Date: 2002
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DOI: 10.1080/0266476022000011265

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