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Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/402
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Article Multiple linear regression model under nonnormality(Taylor & Francis Inc, 2004) Islam, M. Qamarul; Tiku, Moti L.We consider multiple linear regression models under nonnormality. We derive modified maximum likelihood estimators (MMLEs) of the parameters and show that they are efficient and robust. We show that the least squares esimators are considerably less efficient. We compare the efficiencies of the MMLEs and the M estimators for symmetric distributions and show that, for plausible alternatives to an assumed distribution, the former are more efficient. We provide real-life examples.Article Citation - WoS: 10Citation - Scopus: 15Sources and Channels of International Knowledge Spillovers in Asean-5: the Role of Institutional Quality(Wiley, 2020) Dogan, Ergun; Wong, Koi NyenAssociation of Southeast Asian Nations (ASEAN) is a dynamic and outward-looking regional economy, which has made notable progress in expanding trade and investment. This paper examines whether knowledge spillovers are prevalent among ASEAN-5, focusing on the issues of which channels and which sources are the potential drivers of total factor productivity. The findings reveal that the key spillover channels are exports and non-capital imports coming from source countries such as the Organisation for Economic Co-operation and Development (OECD) countries, the G7 countries. The institutional quality plays an instrumental role in increasing total factor productivity through foreign direct investment, especially when the spillovers originate from the OECD and the G7. (c) 2020 John Wiley & Sons, Ltd.Article Citation - WoS: 10Citation - Scopus: 15Trade Openness and Industrial Growth: Evidence From Nigeria(Savez Ekonomista Vojvodine, 2017) Adamu, Fahad Muhammad; Dogan, ErgunThis study examines the long-run and short-run relationship between industrial production and trade openness in Nigeria during the period from 1986 to 2008 by using quarterly data. It employs the ARDL bounds testing methodology developed by M. Hashem Pesaran, Yongcheol Shin, and Richard J. Smith (2001). The results of both the long-run analysis and the short-run error correction model (ECM) indicate that trade openness has a significant and positive impact on industrial production. The Toda-Yamamoto causality analysis shows that there is one-way Granger causality, running from trade openness to industrial production.Article Citation - WoS: 4Citation - Scopus: 4Inference in Multivariate Linear Regression Models With Elliptically Distributed Errors(Taylor & Francis Ltd, 2014) Yazici, Mehmet; Islam, M. Qamarul; Yildirim, FetihIn this study we investigate the problem of estimation and testing of hypotheses in multivariate linear regression models when the errors involved are assumed to be non-normally distributed. We consider the class of heavy-tailed distributions for this purpose. Although our method is applicable for any distribution in this class, we take the multivariate t-distribution for illustration. This distribution has applications in many fields of applied research such as Economics, Business, and Finance. For estimation purpose, we use the modified maximum likelihood method in order to get the so-called modified maximum likelihood estimates that are obtained in a closed form. We show that these estimates are substantially more efficient than least-square estimates. They are also found to be robust to reasonable deviations from the assumed distribution and also many data anomalies such as the presence of outliers in the sample, etc. We further provide test statistics for testing the relevant hypothesis regarding the regression coefficients.Article Citation - WoS: 13Citation - Scopus: 13Multiple Linear Regression Model With Stochastic Design Variables(Taylor & Francis Ltd, 2010) Islam, M. Qamarul; Tiku, Moti L.In a simple multiple linear regression model, the design variables have traditionally been assumed to be non-stochastic. In numerous real-life situations, however, they are stochastic and non-normal. Estimators of parameters applicable to such situations are developed. It is shown that these estimators are efficient and robust. A real-life example is given.