Influential Observations in Stochastic Model of Divisia Index Numbers with AR(1) Errors

Syed Muhammed Aqil  Burney; Arfa  Maqsood

doi:10.4236/am.2014.56093

Syed Muhammed Aqil Burney, Arfa Maqsood

Abstract: We use the general form of hat matrix and DFBETA measures to detect the influential observations in order to estimate the Divisia price index number when the error structure is first order serial correlation. An example is presented with reference to price data of Pakistan. Hat values show the noteworthy findings that the corresponding weights of consumer items have large influence on the parameter estimates and are not affected by the parameter of autoregressive process AR(1). Whereas DFBETAs for Divisia index numbers depend on both the weights and autoregressive parameter.

Keywords: Hat Matrix, DFBETA, Divisia Index Number, Influential Observation, Autoregressive Process

Cite this paper: Burney, S. and Maqsood, A. (2014) Influential Observations in Stochastic Model of Divisia Index Numbers with AR(1) Errors. Applied Mathematics, 5, 975-982. doi: 10.4236/am.2014.56093.

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