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Degeneracy in Heteroscedastic Regression Models

✍ Scribed by Kim-Hung Li; Nai Ng Chan

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
129 KB
Volume
74
Category
Article
ISSN
0047-259X

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✦ Synopsis

The maximum likelihood estimation in a regression model with heteroscedastic errors is considered. When the design matrices in the model are inappropriately specified, the maximum likelihood estimates of the variances of certain observations are found to be zero irrespective of the observed values, resulting in degeneracy. Necessary and sufficient conditions for degeneracy are given and used for its avoidance.

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