Abstract

SummaryIn recent years, small area estimation has played an important role in statistics as it deals with the problem of obtaining reliable estimates for parameters of interest in areas with small or even zero sample sizes corresponding to population sizes. Nested error linear regression models are often used in small area estimation assuming that the covariates are measured without error and also the relationship between covariates and response variable is linear. Small area models have also been extended to the case in which a linear relationship may not hold, using penalised spline (P‐spline) regression, but assuming that the covariates are measured without error. Recently, a nested error regression model using a P‐spline regression model, for the fixed part of the model, has been studied assuming the presence of measurement error in covariate, in the Bayesian framework. In this paper, we propose a frequentist approach to study a semi‐parametric nested error regression model using P‐splines with a covariate measured with error. In particular, the pseudo‐empirical best predictors of small area means and their corresponding mean squared prediction error estimates are studied. Performance of the proposed approach is evaluated through a simulation and also by a real data application. We propose a frequentist approach to study a semi‐parametric nested error regression model using P‐splines with a covariate measured with error.

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