Robust inference for seemingly unrelated regression models

DOI10.1016/J.JMVA.2018.05.002zbMATH Open1406.62024arXiv1801.04716OpenAlexW2784112492WikidataQ129832980 ScholiaQ129832980MaRDI QIDQ1661346FDOQ1661346

Authors: Kris Peremans, Stefan Van Aelst 

Publication date: 16 August 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: Seemingly unrelated regression models generalize linear regression models by considering multiple regression equations that are linked by contemporaneously correlated disturbances. Robust inference for seemingly unrelated regression models is considered. MM-estimators are introduced to obtain estimators that have both a high breakdown point and a high normal efficiency. A fast and robust bootstrap procedure is developed to obtain robust inference for these estimators. Confidence intervals for the model parameters as well as hypothesis tests for linear restrictions of the regression coefficients in seemingly unrelated regression models are constructed. Moreover, in order to evaluate the need for a seemingly unrelated regression model, a robust procedure is proposed to test for the presence of correlation among the disturbances. The performance of the fast and robust bootstrap inference is evaluated empirically in simulation studies and illustrated on real data.

Full work available at URL: https://arxiv.org/abs/1801.04716

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• scientific article; zbMATH DE number 1046396

zbMATH Keywords

robust testingfast and robust bootstrapdiagonality testMM-estimator

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (3)

• Multiple robust estimation of marginal structural mean models for unconstrained outcomes
• Robust Bayesian seemingly unrelated regression model
• S-estimation in linear models with structured covariance matrices

Uses Software

• Systemfit

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