Browsing by Author "Ajayi, A. G."

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    Performance Evaluation of Some Estimators of Linear Models with Collinearity and Non–Gaussian Error
    (Edited Conference Proceedings of the 1st International Conference of the Nigeria Statistical Society (NSS)., 2017) Yahya, W. B.; Garba, M. K.; Ajayi, A. G.; Dauda, K. A.; Olaniran, O. R.; Gatta, N. F.
    Among typical challenges in numerous multiple linear regression models are those of multicollinearity and non–normal disturbances which have created undesirable consequences for the ordinary least squares (OLS) estimator which is the popular and naïve technique for estimating linear models. Thus, it appears so critical to combine strategies for estimating regression models in order to muddle through while these challenges are present. In this study, the strength of some methods of estimating classical linear regression model in the presence of multicollinearity and non-normal error structures were investigated. The conventional Least Squares (LS), Ridge Regression (RR), Weighted Ridge (WR), Robust M-estimation (M) and Robust Ridge Regression (RRR) methods taking into accounts M-estimation procedures were considered in this study. Results from Monte-Carlo study revealed the superiority of the RRR estimator over others using Mean Squared Errors (MSE) of parameter estimates and Absolute Bias (AB) as assessment criteria among others over various considerations for the distribution of the disturbance term and levels of multicollinearity. The study concluded that whenever linear regression modeling is intended and multicollinearity among the regressors and non-spherical disturbance structure on the response variable are suspected in a data set, the RRR estimator should be adopted in order to ensure optimal efficiency.