Diagnostics in elliptical regression models with stochastic restrictions applied to econometrics

Víctor Leiva, Shuangzhe Liu, Lei Shi and Francisco José A. Cysneiros

Journal of Applied Statistics, 2016, vol. 43, issue 4, 627-642

Abstract: We propose an influence diagnostic methodology for linear regression models with stochastic restrictions and errors following elliptically contoured distributions. We study how a perturbation may impact on the mixed estimation procedure of parameters in the model. Normal curvatures and slopes for assessing influence under usual schemes are derived, including perturbations of case-weight, response variable, and explanatory variable. Simulations are conducted to evaluate the performance of the proposed methodology. An example with real-world economy data is presented as an illustration.

Date: 2016
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DOI: 10.1080/02664763.2015.1072140

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