Linear Regression Models under Conditional Independence Restrictions

Abstract

AbstractMaximum likelihood estimation is investigated in the context of linear regression models under partial independence restrictions. These restrictions aim to assume a kind of completeness of a set of predictors Z in the sense that they are sufficient to explain the dependencies between an outcome Y and predictors X: ℒ(Y|Z, X) = ℒ(Y|Z), where ℒ(·|·) stands for the conditional distribution. From a practical point of view, the former model is particularly interesting in a double sampling scheme where Y and Z are measured together on a first sample and Z and X on a second separate sample. In that case, estimation procedures are close to those developed in the study of double‐regression by Engel & Walstra (1991) and Causeur & Dhorne (1998). Properties of the estimators are derived in a small sample framework and in an asymptotic one, and the procedure is illustrated by an example from the food industry context.