A Comparative Analysis on Some Estimators of Parameters of Linear Regression Models in Presence of Multicollinearity

Audu, Warha, Abdulhamid and Muhammad, Yusuf Abbakar and Imam, Akeyede, (2018) A Comparative Analysis on Some Estimators of Parameters of Linear Regression Models in Presence of Multicollinearity. Asian Journal of Probability and Statistics, 2 (2). pp. 1-8. ISSN 2582-0230

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Abstract

Linear regression is the measure of relationship between two or more variables known as dependent and independent variables. Classical least squares method for estimating regression models consist of minimising the sum of the squared residuals. Among the assumptions of Ordinary least squares method (OLS) is that there is no correlations (multicollinearity) between the independent variables. Violation of this assumptions arises most often in regression analysis and can lead to inefficiency of the least square method. This study, therefore, determined the efficient estimator between Least Absolute Deviation (LAD) and Weighted Least Square (WLS) in multiple linear regression models at different levels of multicollinearity in the explanatory variables. Simulation techniques were conducted using R Statistical software, to investigate the performance of the two estimators under violation of assumptions of lack of multicollinearity. Their performances were compared at different sample sizes. Finite properties of estimators’ criteria namely, mean absolute error, absolute bias and mean squared error were used for comparing the methods. The best estimator was selected based on minimum value of these criteria at a specified level of multicollinearity and sample size. The results showed that, LAD was the best at different levels of multicollinearity and was recommended as alternative to OLS under this condition. The performances of the two estimators decreased when the levels of multicollinearity was increased.

Item Type: Article
Subjects: Science Global Plos > Mathematical Science
Depositing User: Unnamed user with email support@science.globalplos.com
Date Deposited: 01 May 2023 07:53
Last Modified: 01 Feb 2024 04:22
URI: http://ebooks.manu2sent.com/id/eprint/722

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