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Title: Empirical likelihood confidence region for parameter in the errors-in-variables models
Authors: Cui, H.
Chen, S.X. 
Keywords: Bartlett correction
Confidence region
Coverage error
Empirical likelihood
Linear regression
Issue Date: Jan-2003
Citation: Cui, H., Chen, S.X. (2003-01). Empirical likelihood confidence region for parameter in the errors-in-variables models. Journal of Multivariate Analysis 84 (1) : 101-115. ScholarBank@NUS Repository.
Abstract: This paper proposes a constrained empirical likelihood confidence region for a parameter β0 in the linear errors-in-variables model: Yi = xi τβ0 + Ei, Xi = xi + ui, (1 ≤ i ≤ n), which is constructed by combining the score function corresponding to the squared orthogonal distance with a constrained region of β0. It is shown that the coverage error of the confidence region is of order n-1, and Bartlett corrections can reduce the coverage errors to n-2 . An empirical Bartlett correction is given for practical implementation. Simulations show that the proposed confidence region has satisfactory coverage not only for large samples, but also for small to medium samples. © 2003 Elsevier Science (USA). All rights reserved.
Source Title: Journal of Multivariate Analysis
ISSN: 0047259X
DOI: 10.1016/S0047-259X(02)00017-9
Appears in Collections:Staff Publications

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