IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v10y1980i3p332-342.html
   My bibliography  Save this article

On the robustness of least squares procedures in regression models

Author

Listed:
  • Ghosh, Malay
  • Sinha, Bimal Kumar

Abstract

The criterion robustness of the standard likelihood ratio test (LRT) under the multivariate normal regression model and also the inference robustness of the same test under the univariate set up are established for certain nonnormal distributions of errors. Restricting attention to the normal distribution of errors in the context of univariate regression models, conditions on the design matrix are established under which the usual LRT of a linear hypothesis (under homoscedasticity of errors) remains valid if the errors have an intraclass covariance structure. The conditions hold in the case of some standard designs. The relevance of C. R. Rao's (1967 In Proceedings Fifth Berkeley Symposium on Math. Stat. and Prob., Vol. 1, pp. 355-372) and G. Zyskind's (1967, Ann. Math. Statist.38 1092-1110) conditions in this context is discussed.

Suggested Citation

  • Ghosh, Malay & Sinha, Bimal Kumar, 1980. "On the robustness of least squares procedures in regression models," Journal of Multivariate Analysis, Elsevier, vol. 10(3), pages 332-342, September.
    • Handle: RePEc:eee:jmvana:v:10:y:1980:i:3:p:332-342
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0047-259X(80)90053-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Young, Dean M. & Seaman, John W. & Meaux, Laurie M., 1999. "Independence Distribution Preserving Covariance Structures for the Multivariate Linear Model," Journal of Multivariate Analysis, Elsevier, vol. 68(2), pages 165-175, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:10:y:1980:i:3:p:332-342. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.