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Influence diagnostic analysis in the possibly heteroskedastic linear model with exact restrictions

Liu, Shuangzhe; Leiva, Víctor; Ma, Tiefeng; Welsh, Alan

Description

The local influence method has proven to be a useful and powerful tool for detecting influential observations on the estimation of model parameters. This method has been widely applied in different studies related to econometric and statistical modelling. We propose a methodology based on the Lagrange multiplier method with a linear penalty function to assess local influence in the possibly heteroskedastic linear regression model with exact restrictions. The restricted maximum likelihood...[Show more]

CollectionsANU Research Publications
Date published: 2015-06
Type: Journal article
URI: http://hdl.handle.net/1885/108676
Source: Statistical Methods & Applications
DOI: 10.1007/s10260-015-0329-4

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