Estimation of the parameters of a regression model with a multivariate t error variable

1986 ◽  
Vol 15 (2) ◽  
pp. 429-450 ◽  
Author(s):  
Brajendra C. Sutradhar ◽  
Mir M. Ali
Keyword(s):  
Regression Model ◽  
Error Variable ◽  
Multivariate T

On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables

1993 ◽  
Vol 9 (3) ◽  
pp. 504-515 ◽  
Author(s):  
Kazuhiro Ohtani ◽  
Hikaru Hasegawa
Keyword(s):  
Linear Regression ◽  
Regression Model ◽  
Linear Regression Model ◽  
Important Variable ◽  
Small Sample ◽  
Small Samples ◽  
Coefficient Of Determination ◽  
Proxy Variables ◽  
Small Sample Properties ◽  
Multivariate T

In this paper we consider the small sample properties of the coefficient of determination in a linear regression model with multivariate t errors when proxy variables are used instead of unobservable regressors. The results show that if the unobservable variable is an important variable, the adjusted coefficient of determination can be more unreliable in small samples than the unadjusted coefficient of determination from both viewpoints of the bias and the MSE.

The emperor's new clothes: a critique of the multivariate t regression model

1997 ◽  
Vol 51 (3) ◽  
pp. 269-286 ◽  
Author(s):  
T. S. Breusch ◽  
J. C. Robertson ◽  
A. H. Welsh
Keyword(s):  
Regression Model ◽  
Multivariate T
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