Alabi, N. O. and Akanbi, Olumuyiwa O. (2022) Estimatingregressionparametersinthepresenceofextremeinfluentialobservations:AcaseofNigeriaExchangeRate. Journal of Econometrics and Statistics, 2 (2). pp. 203-218.
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Estimating regression parameters in the presence of extreme influential observations.pdf Download (612kB) |
Abstract
Influentialobservationsindata(bothmultivariateandunivariate)canal-tertheestimatesoftheregressioncoefficientssubjectivelysuchthattheun-derlyingstatisticalrelationshipsparticularlyinaleastsquareestimationarerenderedmeaningless.Ourobjectiveistoexaminetheeffectsofextremein-fluentialobservationsonmodelcoefficientsbycomparingtheclassicalOLSestimatorswiththemorerobustleastsquareofmaximumlikelihood-likeplusscaleestimatorssuchasMM-estimators.Inordertoachievethissetobjective,theauthorspostulatedanexchangerateregressionmodelinthepresenceofextremeinfluentialobservations.Fourmajormacroeconomicvariableswereincludedinthestudyasregressors.Theseregressorscompriseforeignex-ternalreserve,foreigndirectinvestmentinflow,crudeoilpriceandcredittoprivatesector.Theanalysisshowedthatthestandarderrorsandp-valuesofthemodelcoefficientsfortherobustleastsquarearesmallerthantheclassicalOLSmethodlargelyduetodetectionandhandlingoftheinfluentialobser-vations.Furthermore,theforecastvaluesfromtherobustMM-estimationindicatethatthemodelslightlyprovidemorepreciseestimatesthantheOLS.
| Item Type: | Article |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Mathematics |
| Depositing User: | Mr. Bolanle Yisau I. |
| Date Deposited: | 09 Apr 2024 15:20 |
| Last Modified: | 09 Apr 2024 15:20 |
| URI: | http://eprints.federalpolyilaro.edu.ng/id/eprint/2339 |
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