Modified likelihood ratio tests in heteroskedastic multivariate regression models with measurement error

作者：Melo Tatiane F N; Ferrari Silvia L P^*; Patriota Alexandre G

来源：Journal of Statistical Computation and Simulation, 2014, 84(10): 2233-2247.

DOI：10.1080/00949655.2013.787691

• elliptical distribution
• errors-in-variables model
• measurement error
• modified likelihood ratio statistic
• multivariate regression model

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 behaviour 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 Project on cardiovascular disease.

• 出版日期2014-10