Third-order likelihood-based inference for the log-normal regression model

Chwu-Shiun Tarng

Journal of Applied Statistics, 2014, vol. 41, issue 9, 1976-1988

Abstract: This paper examines the general third-order theory to the log-normal regression model. The interest parameter is its conditional mean. For inference, traditional first-order approximations need large sample sizes and normal-like distributions. Some specific third-order methods need the explicit forms of the nuisance parameter and ancillary statistic, which are quite complicated. Note that this general third-order theory can be applied to any continuous models with standard asymptotic properties. It only needs the log-likelihood function. With small sample settings, the simulation studies for confidence intervals of the conditional mean illustrate that the general third-order theory is much superior to the traditional first-order methods.

Date: 2014
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DOI: 10.1080/02664763.2014.898134

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