Modified likelihood ratio tests in heteroskedastic multivariate regression models with measurement error
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Publication:5219488
Abstract: In this paper, we develop modified versions of the likelihood ratio test for multivariate heteroskedastic errors-in-variables regression models. The error terms are allowed to follow a multivariate distribution in the elliptical class of distributions, which has the normal distribution as a special case. We derive the Skovgaard adjusted likelihood ratio statistics, which follow a chi-squared distribution with a high degree of accuracy. We conduct a simulation study and show that the proposed tests display superior finite sample behavior as compared to the standard likelihood ratio test. We illustrate the usefulness of our results in applied settings using a data set from the WHO MONICA Projection cardiovascular disease.
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Cited in
(6)- Improved likelihood ratio tests in a measurement error model for multivariate replicated data
- Hypotheses Testing on a Multivariate Null Intercept Errors-in-Variables Model
- An improved test for heteroskedasticity using adjusted modified profile likelihood inference
- Adjusted likelihood inference in an elliptical multivariate errors-in-variables model
- A modified signed likelihood ratio test in elliptical structural models
- A heteroscedastic measurement error model based on skew and heavy-tailed distributions with known error variances
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