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Influence measures based on confidence ellipsoids in general linear regression model with correlated regressors

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  • T. Söküt Açar
  • M.R. Özkale

Abstract

In this paper, we investigated the Andrews–Pregibon (AP), COVRATIO and Cook–Weisberg (CW) statistics to determine the influential observations on the confidence ellipsoids in linear regression model with correlated errors and correlated regressors. A real example and a Monte Carlo simulation study are given to detect the effects of autocorrelation coefficient and ridge parameter on the AP, COVRATIO and CW statistics.

Suggested Citation

  • T. Söküt Açar & M.R. Özkale, 2016. "Influence measures based on confidence ellipsoids in general linear regression model with correlated regressors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(15), pages 2791-2812, November.
    • Handle: RePEc:taf:japsta:v:43:y:2016:i:15:p:2791-2812
    DOI: 10.1080/02664763.2016.1144726
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    References listed on IDEAS

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    1. Jahufer, Aboobacker & Jianbao, Chen, 2009. "Assessing global influential observations in modified ridge regression," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 513-518, February.
    2. Trenkler, G., 1984. "On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 179-190.
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