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

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.

KEYWORDS:

• Andrews–Pregibon statistic
• autocorrelation
• Cook–Weisberg statistic
• COVRATIO statistic
• leverages
• multicollinearity

AMS SUBJECT CLASSIFICATION:

• 62J05
• 62J07
• 62J20

Disclosure statement

No potential conflict of interest was reported by the authors.

ORCID

T. Söküt Açar http://orcid.org/0000-0002-4444-1671