Title: Exact Distribution of the Regression Esti Mator in Double Sampling
Abstract: Asymptotic results about the distribution of the regression estimator in a double sampling scheme when using an auxiliary covariate have been established by Engel and Walstra (1991). Conniffe (1985) studied in the finite sample case the closely related model of simultaneous regression equations in econometrics with unequal numbers of observations. The aim of this paper is to provide a normal approximation of the distribution of the regression estimator. First, the exact distribution is derived in the Gaussian framework and the exact moments of the regression estimator are deduced. An Edgeworth expansion of the exact distribution is then calculated in order to propose a normal approximation. The exact distribution, the Edgeworth expansion and the normal approximation are compared throughout an example.
Publication Year: 1999
Publication Date: 1999-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 4
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