### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Econometrics |

Number of pages | 32 |

Volume | 2002-63 |

Publication status | Published - 2002 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2002-63 |

### Fingerprint

### Keywords

- testing
- sampling
- least squares
- maximum likelihood
- multivariate regression

### Cite this

*Multivariate Regression with Monotone Missing Observation of the Dependent Variables*. (CentER Discussion Paper; Vol. 2002-63). Tilburg: Econometrics.

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**Multivariate Regression with Monotone Missing Observation of the Dependent Variables.** / Raats, V.M.; van der Genugten, B.B.; Moors, J.J.A.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - Multivariate Regression with Monotone Missing Observation of the Dependent Variables

AU - Raats, V.M.

AU - van der Genugten, B.B.

AU - Moors, J.J.A.

N1 - Pagination: 32

PY - 2002

Y1 - 2002

N2 - Multivariate regression is discussed, where the observations of the dependent variables are (monotone) missing completely at random; the explanatory variables are assumed to be completely observed.We discuss OLS-, GLS- and a certain form of E(stimated) GLS-estimation.It turns out that (E)GLS-estimation uses the preceding dependent variables in a well-structured way.In case of normality, ML-estimation coincides with (E)GLS-estimation.We include (sets of) MANOVA-tables enabling us to perform exact tests on the coecients based on a (new) generalized Wilks' distribution.Only the very special case of the constant as sole explanatory variable has been treated in the literature so far: our model incorporates this missing data problem.

AB - Multivariate regression is discussed, where the observations of the dependent variables are (monotone) missing completely at random; the explanatory variables are assumed to be completely observed.We discuss OLS-, GLS- and a certain form of E(stimated) GLS-estimation.It turns out that (E)GLS-estimation uses the preceding dependent variables in a well-structured way.In case of normality, ML-estimation coincides with (E)GLS-estimation.We include (sets of) MANOVA-tables enabling us to perform exact tests on the coecients based on a (new) generalized Wilks' distribution.Only the very special case of the constant as sole explanatory variable has been treated in the literature so far: our model incorporates this missing data problem.

KW - testing

KW - sampling

KW - least squares

KW - maximum likelihood

KW - multivariate regression

M3 - Discussion paper

VL - 2002-63

T3 - CentER Discussion Paper

BT - Multivariate Regression with Monotone Missing Observation of the Dependent Variables

PB - Econometrics

CY - Tilburg

ER -