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Full-Text Articles in Economics
Gdp Per Capita In Africa Before The Global Financial Crisis: Persistence, Mean Reversion And Long Memory Features, Luis A. Gil-Alana, Olaoluwa S. Yaya, Olanrewaju I. Shittu
Gdp Per Capita In Africa Before The Global Financial Crisis: Persistence, Mean Reversion And Long Memory Features, Luis A. Gil-Alana, Olaoluwa S. Yaya, Olanrewaju I. Shittu
CBN Journal of Applied Statistics (JAS)
This paper examined the long memory features of GDP per capita data before the global financial crisis, using a sample of 26 African countries. The study employed fractional integration and tested the stability of the differencing parameter across the sample period for each country. The results indicated that most of the countries’ GDP series were I(1) or higher. Evidence of mean reversion was observed in 10 countries where the disturbances were autocorrelated. There was strong evidence against mean reversion in the remaining 16 countries. The results also indicated that the fractional differencing parameter was stable in 17 countries, while the …
Forecasting Nigerian Stock Market Returns Using Arima And Artificial Neural Network Models, Godknows M. Isenah, Olusanya E. Olubusoye
Forecasting Nigerian Stock Market Returns Using Arima And Artificial Neural Network Models, Godknows M. Isenah, Olusanya E. Olubusoye
CBN Journal of Applied Statistics (JAS)
The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock market returns. The Nigerian stock market logarithmic returns time series was tested for the presence of memory using the Hurst coefficient before the models were trained. The test showed that the logarithmic returns process is not a random walk and that the Nigerian stock market is not efficient. Two artificial neural network based models were developed in the study. These networks are TECH (4-3-1) and TECH (3-3-1)whose out-of-sample forecast performance was compared with a baseline ARIMA (3,0,1) model. The results obtained in the …
On Fractionally Integrated Logistic Smooth Transitions In Time Series, Olanrewaju I. Shittu, Yaya S. Olaolua
On Fractionally Integrated Logistic Smooth Transitions In Time Series, Olanrewaju I. Shittu, Yaya S. Olaolua
CBN Journal of Applied Statistics (JAS)
Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these features in inflation series for three economies. The results which compares favourably with that of van Dijk et al. (2002) elicit some interesting attributes of inflation in the developed and developing economies.
Are Australia's Savings And Investment Fractionally Cointegrated?, Arusha V. Cooray, B. Felmingham
Are Australia's Savings And Investment Fractionally Cointegrated?, Arusha V. Cooray, B. Felmingham
Faculty of Commerce - Papers (Archive)
This paper uses an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to determine if Australia’s savings and investment are fractionally cointegrated. The study finds the two series to be fractionally cointegrated implying that deviations from equilibrium are persistent.