| Title: |
No. 2002-63 MULTIVARIATE REGRESSION WITH MONOTONE MISSING OBSERVATION OF THE DEPENDENT VARIABLES |
| Authors: |
V. M. Raats; B. B. Van Der Genugten; J. J. A. Moors; Jel Codes C |
| Contributors: |
The Pennsylvania State University CiteSeerX Archives |
| Source: |
http://greywww.kub.nl:2080/greyfiles/center/2002/doc/63.pdf. |
| Publication Year: |
2002 |
| Collection: |
CiteSeerX |
| Subject Terms: |
generalized Wilks distribution; hypothesis testing; least squares; maximum likelihood; monotone sample data |
| Description: |
ISSN 0924-7815Multivariate regression with monotone missing observations of the dependent variables V.M. Raats ∗ , B.B. van der Genugten and J.J.A. Moors Multivariate regression is discussed, where the observations of the dependent variables are (monotone) missing completely at random; the explanatory variables are assumed to be completely observed. We discuss OLS-, GLS- and a certain form of E(stimated) GLS-estimation. It turns out that (E)GLS-estimation uses the preceding dependent variables in a well-structured way. In case of normality, ML-estimation coincides with (E)GLSestimation. We include (sets of) MANOVA-tables enabling us to perform exact tests on the coefficients based on a (new) generalized Wilks ’ distribution. Only the very special case of the constant as sole explanatory variable has been treated in the literature so far: our model incorporates this missing data problem. |
| Document Type: |
text |
| File Description: |
application/pdf |
| Language: |
English |
| Relation: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.201.1347; http://greywww.kub.nl:2080/greyfiles/center/2002/doc/63.pdf |
| Availability: |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.201.1347; http://greywww.kub.nl:2080/greyfiles/center/2002/doc/63.pdf |
| Rights: |
Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: |
edsbas.66CFB5A5 |
| Database: |
BASE |