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Fusion of data sets in multivariate linear regression with errors-in-variables
Satorra, Albert
Universitat Pompeu Fabra. Departament d'Economia i Empresa
We consider the application of normal theory methods to the estimation and testing of a general type of multivariate regressionmodels with errors--in--variables, in the case where various data setsare merged into a single analysis and the observable variables deviatepossibly from normality. The various samples to be merged can differ on the set of observable variables available. We show that there is a convenient way to parameterize the model so that, despite the possiblenon--normality of the data, normal--theory methods yield correct inferencesfor the parameters of interest and for the goodness--of--fit test. Thetheory described encompasses both the functional and structural modelcases, and can be implemented using standard software for structuralequations models, such as LISREL, EQS, LISCOMP, among others. An illustration with Monte Carlo data is presented.
Statistics, Econometrics and Quantitative Methods
asymptotic robustness
multivariate regression
asymptotic efficiency
normal theory methods
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