Regressor diagnostics for the classical errors-in-variables model (Q583779): Difference between revisions
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Revision as of 22:59, 19 March 2024
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English | Regressor diagnostics for the classical errors-in-variables model |
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Regressor diagnostics for the classical errors-in-variables model (English)
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1988
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The author introduces the mixed linear model \(y=\beta 'X^*+\mu\) where the ``proxy variables'' \(X=X^*+\epsilon\) are subject to the measurement errors. A series of diagnostics are developed to prove the sensitivity of regression coefficient estimates to measurement errors in each regressor (large-sample-properties of the classical errors-in-variables model). Algorithms to compute the diagnostics are provided, and an example is used for illustrations.
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mixed linear model
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proxy variables
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diagnostics
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sensitivity of regression coefficient estimates to measurement errors
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large-sample- properties
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errors-in-variables model
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Algorithms
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