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Theory and Methods: Influence Diagnostics for Simultaneous Equations Models
Author(s) -
Zhao Yuejen,
Lee Andy H.
Publication year - 1998
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00038
Subject(s) - leverage (statistics) , mathematics , simultaneous equations model , missing data , simultaneous equations , statistics , econometrics , mathematical optimization , differential equation , mathematical analysis
This paper presents influence diagnostics for simultaneous equations models. It proposes residuals, leverage and other influence measures. A missing data method is adopted to minimize the masking effect due to case deletions. The assessment of local influence is also considered. The paper shows how to evaluate the effects that perturbations to the endogenous variables, predetermined variables and case weights may have on the parameter estimates. The diagnostics are illustrated with two examples.