Open Access. Powered by Scholars. Published by Universities.®

Physical Sciences and Mathematics Commons

Open Access. Powered by Scholars. Published by Universities.®

Articles 1 - 30 of 31

Full-Text Articles in Physical Sciences and Mathematics

Enhancing Data Generation For National Development In Nigeria: Institutional And Structural Issues1, Olu Ajakaiye Feb 2021

Enhancing Data Generation For National Development In Nigeria: Institutional And Structural Issues1, Olu Ajakaiye

CBN Journal of Applied Statistics (JAS)

In this presentation, attention is focused on data generation for the purposes of reasoning, discussing and calculating the status, process and prospects of economic development. Economic development has also been defined in various ways. Again for the present purposes, economic development will be conceived as the process of economic growth and structural transformation (Ajakaiye, 2002). Clearly, data, as a gathered body of facts about the economy, is a basic requirement in the process of economic growth and transformation. Foremost, facts about the economy are necessary in order to appreciate the current state of the economy in terms of growth and …


Testing The Weak-Form Efficiency Market Hypothesis: Evidence From Nigerian Stock Market, Gimba K. Victor Feb 2021

Testing The Weak-Form Efficiency Market Hypothesis: Evidence From Nigerian Stock Market, Gimba K. Victor

CBN Journal of Applied Statistics (JAS)

In recent years, the Nigerian Stock Exchange (NSE) has witnessed an unprecedented growth in market capitalization, membership, value and volume traded. By December 2007, the All Share Index has grown massively over 57,990.2 from 1113.4 in January 1993. This rising interest in investment opportunities in the NSE raises questions about its efficiency. This paper tests the Weak-form Efficient Market Hypothesis of the NSE by hypothesizing Normal distribution and Random walk of the return series. Daily and weekly All Share Index and five most traded and oldest bank stocks of the NSE are examined from January 2007 to December 2009 for …


A Business Cycle Model For Nigeria, Alege O. Philip Feb 2021

A Business Cycle Model For Nigeria, Alege O. Philip

CBN Journal of Applied Statistics (JAS)

The current global financial meltdown draws, once again, attention to the existence of business cycle fluctuations. Experts are of the view that the ongoing crisis is far deeper than the great depression of the 1930s. It should be recalled that the Keynes and Keynesianism was a response to that depression. Therefore, the objective of this paper is to develop a small business cycle model in the spirit of Dynamic Stochastic General Equilibrium (DSGE) model for Nigeria designed to examine the sources of business cycles, and use the model for policy analysis. This paper considers the implications of three policy shocks …


Fiscal Federalism In Nigeria: A Cluster Analysis Of Revenue Allocation To States And Local Government Areas, 1999 – 2008, Sam O. Olofin, Olusanya E. Olubusoye, Bello K. Ajide, Salisu A. Afees, Olalekan S. Akinola Feb 2021

Fiscal Federalism In Nigeria: A Cluster Analysis Of Revenue Allocation To States And Local Government Areas, 1999 – 2008, Sam O. Olofin, Olusanya E. Olubusoye, Bello K. Ajide, Salisu A. Afees, Olalekan S. Akinola

CBN Journal of Applied Statistics (JAS)

Existing literature on revenue allocation in Nigeria shows more concern for merits and demerits of sharing principles and /or formulae. Several alternatives have been proposed and will continue to be developed to address the unending agitations from beneficiaries. Contrary however, this paper analyzes two items of revenue (statutory and VAT) shared among the states including FCT and all the Local Government Areas (LGAs) between May 1999 and December 2008. The net statutory allocation after deductions was also analyzed. Using Cluster analysis to evaluate revenue allocation in Nigeria, States and LGAs exhibiting similarity in revenue received were grouped and their common …


Threshold Effect Of Inflation On Economic Growth In Nigeria, Sani Bawa, Abdullahi S. Ismaila Feb 2021

Threshold Effect Of Inflation On Economic Growth In Nigeria, Sani Bawa, Abdullahi S. Ismaila

CBN Journal of Applied Statistics (JAS)

It is widely believed that price stability promote long-term economic growth, whereas high inflation is inimical to growth. This paper utilized a quarterly time series data for the period 1981 – 2009 to estimate a threshold level of inflation for Nigeria. Using a threshold regression model developed by Khan and Senhadji (2001), the study estimated a threshold inflation level of 13 per cent for Nigeria. Below the threshold level, inflation has a mild effect on economic activities, while above it, the magnitude of the negative effect of inflation on growth was high. The negative and significant relationship between inflation and …


Reactions Of Stock Market To Monetary Policy Shocks During The Global Financial Crisis: The Nigerian Case, Aliyu Shehu U.R. Feb 2021

Reactions Of Stock Market To Monetary Policy Shocks During The Global Financial Crisis: The Nigerian Case, Aliyu Shehu U.R.

CBN Journal of Applied Statistics (JAS)

This paper seeks to assess the reactions of Nigeria’s stock market to monetary policy innovations during the period of global financial crisis on the basis of monthly data over the period January, 2007 to August, 2011. In particular, stock market return was regressed against major monetary policy instruments; money stock (M1, and M2) and monetary policy rate (MPR). The theoretical basis for the paper stems from the works of new classical macroeconomics and rational expectation hypothesis (REH). Lucas (1972) postulated that only the unanticipated monetary shock influences real economic activity. Using the GARCH by developed Engle and Bollerslev (1986) and …


Simple Sequential Procedure For Modeling Of Item Non-Response In Econometric Analysis: Application To Cv Survey Data, William M. Fonta, Elias T. Ayuk, Eme H. Ichoku Feb 2021

Simple Sequential Procedure For Modeling Of Item Non-Response In Econometric Analysis: Application To Cv Survey Data, William M. Fonta, Elias T. Ayuk, Eme H. Ichoku

CBN Journal of Applied Statistics (JAS)

Item non-response occurs when respondents fail to provide answers to some or all of the questions posed during survey interviews. The standard procedure is to exclude such responses from the econometric analysis. This may be appropriate if the sample included does not differ significantly from those excluded in the analysis. If this is not the case, the econometric analyst faces a sample selection bias problem. The aim of this paper is to provide further evidence using a simple sequential procedure to deal with the problem when using non-randomly selected samples in social science research. The procedure entails different levels of …


The Role Of Central Bank Of Nigeria’S Analytical Balance Sheet And Monetary Survey In Monetary Policy Implementation, Sani I. Doguwa, Sunday N. Essien Jun 2013

The Role Of Central Bank Of Nigeria’S Analytical Balance Sheet And Monetary Survey In Monetary Policy Implementation, Sani I. Doguwa, Sunday N. Essien

CBN Journal of Applied Statistics (JAS)

This paper discusses the significance of Central Bank of Nigeria’s (CBN) monetary aggregates in the implementation of monetary policy. The Analytical Balance Sheet and monetary survey are shown to be useful tools in the analysis of monetary and credit developments in the economy. It also discusses the role of the aggregates in monetary policy implementation through the adjusted money multiplier, which explains how policy actions of the CBN influence the broad money supply. Finally, the paper attempts to estimate the Taylor-type monetary policy reaction function for Nigeria using the monetary policy rate and reserve money since December 2006 when the …


The Relationship Between Domestic Savings And Investment: The Feldstein-Horioka Test Using Nigerian Data, Inuwa Nasiru, Usman M. Haruna Jun 2013

The Relationship Between Domestic Savings And Investment: The Feldstein-Horioka Test Using Nigerian Data, Inuwa Nasiru, Usman M. Haruna

CBN Journal of Applied Statistics (JAS)

This study explores the relationship between savings and investment in Nigeria during the period 1980-2011. Unlike previous studies, this study employed Autoregressive Distributed Lag (ARDL) Bounds testing approach to test for long run relationship. The short-run dynamics are also captured from error correction model (ECM).The results of the Bounds test suggest that there is a long run relationship between savings and investment. This result is consistent with a number of earlier studies reviewed in the literature that found saving and investment to be cointegrated in the long run. The results also support the Feldstein-Horioka (1980) hypothesis that postulates low capital …


On The Derivation Of Estimators Of Foster-Greer-Thorbecke (Fgt) Poverty Indices, Oyedeji I. Osowole, Adebayo T. Bamiduro Jun 2013

On The Derivation Of Estimators Of Foster-Greer-Thorbecke (Fgt) Poverty Indices, Oyedeji I. Osowole, Adebayo T. Bamiduro

CBN Journal of Applied Statistics (JAS)

Poverty analysis has relied heavily on data in summarized form and this has created dearth of knowledge on the statistical properties of Foster-Greer-Thorbecke (FGT) poverty indices. This study derived estimators of FGT poverty indices from first principles in an attempt to provide an insight into some intrinsic characteristics of FGT indices. The estimators are found to be reasonably unbiased and consistent. The estimates of the indices obtained from the estimators are approximately 53%, 22% and 12% for the head count, poverty gap and square poverty gap indices. From the conventional method, the estimates are approximately 52%, 21% and 11% respectively. …


Monetary Policy Rule: A Broad Monetary Conditions Index For Nigeria, Yaaba N. Baba Jun 2013

Monetary Policy Rule: A Broad Monetary Conditions Index For Nigeria, Yaaba N. Baba

CBN Journal of Applied Statistics (JAS)

To determine the relative importance of both the domestic and external influences on monetary policy formulation, this paper constructs a broad monetary conditions index for Nigeria. It brings together the three key channels of monetary transmission, namely interest rate, exchange rate and credit channels. The result gives dominance to exchange rate channel, followed by credit channel and interest rate channel. The resultant monetary conditions index traces fairly well the policy direction of the Central Bank of Nigeria for the studied period, hence can serve as an adequate gauge of monetary policy stance of the Bank.


Measuring Technical Efficiency Of Wireless And Wired Technologies In Nigeria Cyber Cafés, Sule Magaji, Eke I. Chukwuemeka Jun 2013

Measuring Technical Efficiency Of Wireless And Wired Technologies In Nigeria Cyber Cafés, Sule Magaji, Eke I. Chukwuemeka

CBN Journal of Applied Statistics (JAS)

This study examined the technical efficiency (TE) of two different remote internet access methods, wireless and wired in Nigeria using the stochastic frontier production function analysis. Primary data were obtained through the use of a set of questionnaire from four hundred and fifty representative samples of cyber café operators. The results show that in Nigeria, in spite of the acclaimed superiority of wireless technologies internationally, wired technology (within the context of Nigeria’s socio-economic constraints) is (still) more efficient technically with mean technical efficient indices of 0.914 and 0.797 respectively. The analysis also suggests that age and years of education of …


Exchange–Rates Volatility In Nigeria: Application Of Garch Models With Exogenous Break, Bala A. Dahiru, Joseph O. Asemota Jun 2013

Exchange–Rates Volatility In Nigeria: Application Of Garch Models With Exogenous Break, Bala A. Dahiru, Joseph O. Asemota

CBN Journal of Applied Statistics (JAS)

This paper examines exchange–rate volatility with GARCH models using monthly exchange–rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through standard information criteria, volatility persistence and the log likelihood …


Effect Of Monetary-Fiscal Policies Interaction On Price And Output Growth In Nigeria, Musa Yakubu, Asar K. Barfour, Shehu U. Gulumbe Jun 2013

Effect Of Monetary-Fiscal Policies Interaction On Price And Output Growth In Nigeria, Musa Yakubu, Asar K. Barfour, Shehu U. Gulumbe

CBN Journal of Applied Statistics (JAS)

This paper investigates the effectiveness of monetary-fiscal policies interaction on price and output growth in Nigeria. The dynamic correlations of variables have been captured by the analyses of impulse response and variance decomposition. From innovation analyses, the results suggest that the policy variables money supply and government revenue have more positive impact on price and economic growth in Nigeria specifically in the long run, thus some time with lag. Although monetary and fiscal policy variables have a dominant effect on economic activity, it is clear from this study that economic activity is dominated by its own dynamics in most of …


On Numerical Solution For Optimal Allocation Of Investment Funds In Portfolio Selection Problem, Yahaya Abubakar Dec 2012

On Numerical Solution For Optimal Allocation Of Investment Funds In Portfolio Selection Problem, Yahaya Abubakar

CBN Journal of Applied Statistics (JAS)

In this article, we present a procedure for obtaining an optimal solution to the Markowitz’s mean-variance portfolio selection problem based on the analytical solution developed in a previous research that lead to the emergence of an important model known as the Black Model. The procedure is well presented, illustrated and validated by a numerical example from real stocks dataset obtainable from a popular European stock market.


On The Development Of Residential Property Price Indices For Nigeria, Olowofeso E. Olorunsola, Abiodun S. Bada, Mohammed A. Bamanga Dec 2012

On The Development Of Residential Property Price Indices For Nigeria, Olowofeso E. Olorunsola, Abiodun S. Bada, Mohammed A. Bamanga

CBN Journal of Applied Statistics (JAS)

This work focuses on the development of house price indices for Nigeria, and the estimates of the Nigerian Residential Property Price Indices on housing characteristics are presented. Four main methods of index construction were considered, these are hedonic regression, repeat-sales, stratification and central price tendency methods. It was discovered that econometric methods like hedonic and repeat sales were constraints in constructing residential property price indices for Nigeria by the nature of the data available. Hence, the central price tendency and the sale-based stratification methods which are internationally used measures were applied to the available zonal-level dataset from a survey of …


Analysis Of Crime Data Using Principal Component Analysis: A Case Study Of Katsina State, Shehu U. Gulumbe, Dikko H. .G., Bello Yusuf Dec 2012

Analysis Of Crime Data Using Principal Component Analysis: A Case Study Of Katsina State, Shehu U. Gulumbe, Dikko H. .G., Bello Yusuf

CBN Journal of Applied Statistics (JAS)

This paper analyses Katsina State crime data which consists of the averages of eight major crimes reported to the police for the period 2006 – 2008. The crimes consist of robbery, auto theft, house and store breakings, theft/stealing, grievous hurt and wounding, murder, rape, and assault. Correlation analysis and principal component analysis (PCA) were employed to explain the correlation between the crimes and to determine the distribution of the crimes over the local government areas of the state. The result has shown a significant correlation between robbery, theft and vehicle theft. While MSW local government area has the lowest crime …


Inflation And Economic Growth In Nigeria: Detecting The Threshold Level, Sani I. Doguwa Dec 2012

Inflation And Economic Growth In Nigeria: Detecting The Threshold Level, Sani I. Doguwa

CBN Journal of Applied Statistics (JAS)

This paper re-examines the issue of the existence and the level of inflation threshold in the relationship between inflation and growth in Nigeria, using three different approaches that provide appropriate procedures for estimating the threshold level and inference. While Sarel’s (1996) approach provides a threshold point estimate of 9.9 per cent that was not well identified by the data, the technique of Khan and Senhadji (2001) identifies a 10.5 per cent inflation threshold as statistically significant to explain the inflation-growth nexus in Nigeria. Also, the approach of Drukker et al (2005) suggests a two threshold point model with 11.2 and …


Understanding The Dynamics Of Inflation Volatility In Nigeria: A Garch Perspective, Babatunde S. Omotosho, Sani I. Doguwa Dec 2012

Understanding The Dynamics Of Inflation Volatility In Nigeria: A Garch Perspective, Babatunde S. Omotosho, Sani I. Doguwa

CBN Journal of Applied Statistics (JAS)

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for achieving and maintaining price stability. This paper employs three models from the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria’s inflation volatility between 1996 and 2011. Of the competing models, the asymmetric TGARCH (1,1) provides an appropriate paradigm for explaining the dynamics of headline and core CPI volatilities in Nigeria, while the symmetric GARCH (1,1) was found to be adequate for food CPI. The results are quite revealing. Firstly, model outcomes indicate …


Best Linear Unbiased Estimate Using Buys-Ballot Procedure When Trend-Cycle Component Is Linear, Ifeanyi S. Wueze, Nwogu C. Eleazar, Jude C. Ajaraogu Jun 2011

Best Linear Unbiased Estimate Using Buys-Ballot Procedure When Trend-Cycle Component Is Linear, Ifeanyi S. Wueze, Nwogu C. Eleazar, Jude C. Ajaraogu

CBN Journal of Applied Statistics (JAS)

The Best linear unbiased estimate (BLUE) of Buys-Ballot estimates when trend-cycle component is linear are discussed in this paper. The estimates are those proposed by Iwueze and Nwogu (2004). Discussed are the Chain Based Estimation (CBE) method and the Fixed Based Estimation (FBE) method. The variates for the CBE method were found to have constant mean and variance but are correlated with only one significant autocorrelation coefficient at lag one. The variates for the FBE method were found to have constant mean, non-constant variance but with constant autocorrelation coefficient at all lags . Because the CBE variates exhibit stationarity, Best …


Stock Market Reaction To Selected Macroeconomic Variables In The Nigerian Economy, Abraham Williams Terfa Jun 2011

Stock Market Reaction To Selected Macroeconomic Variables In The Nigerian Economy, Abraham Williams Terfa

CBN Journal of Applied Statistics (JAS)

This study examines the relationship between the stock market and selected macroeconomic variables in Nigeria. The all share index was used as a proxy for the stock market while inflation, interest and exchange rates were the macroeconomic variables selected. Employing error correction model, it was found that a significant negative short run relationship exists between the stock market and the minimum rediscounting rate (MRR) implying that, a decrease in the MRR, would improve the performance of the Nigerian stock market. It was also found that exchange rate stability in the long run, improves the performance of the stock market. Though …


On Fractionally Integrated Logistic Smooth Transitions In Time Series, Olanrewaju I. Shittu, Yaya S. Olaolua Jun 2011

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.


Global Financial Meltdown And The Reforms In The Nigerian Banking Sector, Sanusi L. Sanusi Jun 2011

Global Financial Meltdown And The Reforms In The Nigerian Banking Sector, Sanusi L. Sanusi

CBN Journal of Applied Statistics (JAS)

The paper examined the global financial meltdown and the reforms in the Nigerian banking sector. It was a public speech by the formal Governor of the Central Bank of Nigeria that observed the extent and severity of the crisis that began with the bursting of the housing bubble in the United States in August 2007 reflects the confluence of myriad of factors some of which are familiar from previous crises, while others are new. As in previous times of financial turmoil, the pre-crisis period was characterized by (i) surging asset prices that proved unsustainable; (ii) a prolonged credit expansion leading …


Effects Of Global Climate Change On Nigerian Agriculture: An Empirical Analysis, Apata T. .G Jun 2011

Effects Of Global Climate Change On Nigerian Agriculture: An Empirical Analysis, Apata T. .G

CBN Journal of Applied Statistics (JAS)

This paper presents an empirical analysis of the effects of global warming on Nigerian agriculture and estimation of the determinants of adaptation to climate change. Data used for this study are from both secondary and primary sources. The set of secondary sources of data helped to examine the coverage of the three scenarios (1971-1980; 1981-1990 and 1991-2000). The primary data set consists of 900 respondents’ but only 850 cases were useful. This study analyzed determinants of farm-level climate adaptation measures using a Multinomial choice and stochastic-simulation model to investigate the effects of rapid climatic change on grain production and the …


Optimal Designs Approach To Portfolio Selection, Etukudo A. I. Dec 2010

Optimal Designs Approach To Portfolio Selection, Etukudo A. I.

CBN Journal of Applied Statistics (JAS)

In order to obtain the best tradeoff between risk and return, optimization algorithms are particularly useful in asset allocation in a portfolio mix. Such algorithms and proper solution techniques are very essential to investors in order to circumvent distress in business outfits. In this paper, we show that by minimizing the total variance of the portfolio involving stocks in two Nigerian banks which is a measure of risk, optimal allocation of investible funds to the portfolio mix is obtained. A completely new solution technique – modified super convergent line series algorithm which makes use of the principles of optimal designs …


Relationship Between Inflation And Stock Market Returns: Evidence From Nigeria, Omotor G. Douglason Dec 2010

Relationship Between Inflation And Stock Market Returns: Evidence From Nigeria, Omotor G. Douglason

CBN Journal of Applied Statistics (JAS)

The linkage between stock prices and inflation has been subjected to extensive research in the past decades and has arouse the interests of academics, researchers, practitioners and policy makers globally, particularly since the 1990s. The issue has been the apparent anomaly of the negative relationship between inflation and stock market returns as most studies in the industrialized economies have shown. This paper investigates this relationship using monthly and quarterly data of Nigeria for the period 1985 to 2008. The findings of this paper seem to suggest that stock market returns may provide an effective hedge against inflation in Nigeria.


Statistics For National Development, Sani I. Doguwa Dec 2010

Statistics For National Development, Sani I. Doguwa

CBN Journal of Applied Statistics (JAS)

Good statistics that has been collected according to agreed good practices are crucial as a tool for development. Gross domestic product (GDP) and other measures of economic activity such as Gross National Income (GNI) together with their individual components, show how the economy is responding to government policy and other influences. The balance of payments can demonstrate the requirement for policy adjustments and is also one of the indicators scrutinised by potential foreign investors in the country. Agricultural statistics clearly have implications for longer-term planning, particularly if they show a move away from the land into urban areas or a …


Monetary And Fiscal Policy Interactions In Nigeria: An Application Of A State-Space Model With Markov-Switching, Chuku V. Chuku Dec 2010

Monetary And Fiscal Policy Interactions In Nigeria: An Application Of A State-Space Model With Markov-Switching, Chuku V. Chuku

CBN Journal of Applied Statistics (JAS)

This paper uses quarterly data to explore the monetary and fiscal policy interactions in Nigeria between 1970 and 2008. As a preliminary exercise, the paper examines the nature of fiscal policies in Nigeria using a vector autoregression (VAR) model. The simulated generalized impulse response graphs generated from the VAR estimation provides evidence of a non-Ricardian fiscal policy in Nigeria. Further, the paper analyzes the interactions between monetary and fiscal policies by applying a State-space model with Markov-switching to estimate the time-varying parameters of the relationship. The evidence indicates that monetary and fiscal policies in Nigeria have interacted in a counteractive …


Is The Stock Market A Leading Indicator Of Economic Activity In Nigeria?, Alvan E. Ikoku Dec 2010

Is The Stock Market A Leading Indicator Of Economic Activity In Nigeria?, Alvan E. Ikoku

CBN Journal of Applied Statistics (JAS)

In an effort to address the lacuna in leading indicator studies of African economies and Nigeria in particular, this paper examines the causal relationships among stock market prices, real GDP and the index of industrial production in Nigeria, using quarterly data from 1984Q1 to 2008Q4. Granger causality tests indicate bidirectional causality between stock prices and GDP but no causality between stock prices and industrial production or between GDP and industrial production. Stock prices and GDP are found to be cointegrated, leading to the estimation of vector error correction models. Out-of-sample forecasts constructed with AR(1), ARIMA, structural ARIMA, and VEC models …


Factors, Preventions And Correction Methods For Non-Response In Sample Surveys, Godwin Nwanzu Amahi Dec 2010

Factors, Preventions And Correction Methods For Non-Response In Sample Surveys, Godwin Nwanzu Amahi

CBN Journal of Applied Statistics (JAS)

Missing survey data occur because of unit and item non-response. This is practically independent of the method of data collection. As a result of the bias that non-response sometimes introduces in survey estimates, identifying factors that promote it, and taking measures of prevention and correction methods are clearly necessary. The standard method to compensate for unit non-response is by weighting adjustment, while item non-responses are handled by some form of imputation. This paper reviews factors that give rise to nonresponse and the corresponding methods used for its prevention and control. It also discusses their properties.