Multivariate Analysis Commons^™

Barriers To Immunity: Understanding Covid-19 Vaccine Uptake In Africa, Emilia Blechschmidt

Honors Theses

This thesis examines the factors influencing COVID-19 vaccine uptake across African countries, with a focus on structural, informational, and behavioral barriers to immunization. Drawing on cross-country data, the study analyzes how access to transportation, reliable information, and healthcare resources shape vaccination rates, alongside the effect of demographics and institutional factors in shaping individual perceptions of risk and vaccine safety.

The findings emphasize that the broader strength and preparedness of national health systems strongly influence vaccine uptake. Countries that demonstrated higher coverage of routine childhood immunizations, such as polio and hepatitis B, also tended to perform better in COVID-19 uptake efficiency …

Multivariate Quantile Autoregression-Mixed Data Sampling (Mvqar-Midas) Modeling Of Cost Of Living And Supply Chain Dynamics In Canada., Patrick Gbolonyo

Theses and Dissertations (Comprehensive)

In recent years, the rising cost of living as a result of persistent inflationary pressures, disruptions in the global supply chains, and changes in the macroeconomic landscape has become a critical topic of discussion. To address this, we move beyond a mean-based framework and employ a quantile regression approach. This allows the persistence of each series and the transmis- sion of shocks between the Consumer Price Index (CPI) (the total CPI which is a percentage change over the past 12 months), the Interest Rate (IR)(the target for the overnight rate), the New Housing Price Index (NHPI), and high-frequency supply chain …

Welfare Implication Of Alternative Tax Rates Adjustment Policy In Nigeria: A Dsge Analysis, Umar B. Ibrahim, Isah F. Abubakar

CBN Journal of Applied Statistics (JAS)

This study sets out to determine the desirable policy adjustment in the tax rate for Nigeria that ensures the least welfare cost. A calibrated small open-economy New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model of the Nigerian economy is applied to achieve this objective. Within this framework, we examined the impact of an increase in value-added tax (VAT) rate from 7.5 to 15 percent on key macroeconomic variables relative to the impact of an increase in company income tax (CIT) rate from 30 to 35 percent on macroeconomic variables. Furthermore, we examined the welfare costs of the increases in the …

Mortgage Default Classification Modeling For Variable Analysis, Brendan R. Goggins

Honors College Theses

The financial crisis of the early 2000’s is a prime example of the severe consequences that mortgage default and borrower insolvency can have on economies at large. Mortgage default specifically is a prime case with the popularization of mortgage backed securities and the commonality of this loan structure. Multiple hypotheses and models have been formed to understand the reasons, causes, and consequences of mortgage default. This paper uses both machine learning and statistical classification models to inform an understanding of the variables most significant and impactful to the default outcome of mortgages. Consideration is given to both loan-level microeconomic variables …

Analysis Of Systematic Trade-Offs Between Military And Healthcare Expenditure Alongside Gdp Growth Of Select Asian And Western Exporting Economies In The 21st Century, Rahul Balamurugan, Carlos Gershenson, Preethi Nanjundan, Hiroki Sayama

Northeast Journal of Complex Systems (NEJCS)

This study explores the complexity in the trade-offs between military expenditure, healthcare expenditure, and GDP growth across select Asian nations and major weapon-exporting countries, examining how nations allocate finite resources between national security and human well-being over the past two decades. Using a systems science approach, the research integrates Granger causality testing to analyze temporal and directional relationships among GDP growth, military expenditure, and healthcare expenditure, uncovering their dynamic interdependencies. The methodology includes trend and slope analysis, Granger causality testing, outlier detection, and clustering to identify heterogeneity in resource allocation strategies. Developed, weapon-exporting nations exhibit complementary trends, with strong causality …

Gradient Wild Bootstrap For Instrumental Variable Quantile Regressions With Weak And Few Clusters, Wenjie Wang, Yichong Zhang

Research Collection School Of Economics

We study the gradient wild bootstrap-based inference for instrumental variable quantile regressions in the framework of a small number of large clusters in which the number of clusters is viewed as fixed, and the number of observations for each cluster diverges to infinity. For the Wald inference, we show that our wild bootstrap Wald test, with or without studentization using the cluster-robust covariance estimator (CRVE), controls size asymptotically up to a small error as long as the parameter of endogenous variable is strongly identified in at least one of the clusters. We further show that the wild bootstrap Wald test …

Value Added Tax Rate Variation, Import Demand And Sectoral Output In Nigeria, Joshua K. Nomkuha, Aondoawase Asooso, Philip T. Abachi

CBN Journal of Applied Statistics (JAS)

This study employs computable general equilibrium (CGE) model to estimate the effect of increase in value added tax (VAT), from 5 per cent to 7.5 per cent, on import demand and sectoral output in Nigeria. The study uses 2020 as the base year for the data analysis. The results show that increase in VAT affects import demand negatively, based on import penetration ratios, with mixed effect across six sectors. The implication of the result is that the VAT policy discourage consumption of foreign products, and constitute excess burden to consumers of such products in Nigeria. The results further reveal that …

Trade Liberalization, Non-Oil Export And Economic Growth In Nigeria, Jerome T. Andohol, Terhemen Tarzoor, Dennis T. Nomor

CBN Journal of Applied Statistics (JAS)

The study examines the impact of trade liberalization and non-oil exports on economic growth in Nigeria from 1986 to 2021. The study utilizes an autoregressive distributed lag model and found the combined effect of trade liberalization and non-oil exports to be positive and statistical significant. While trade liberalization alone may have negative consequences, its synergy with a robust non-oil export can drive sustainable economic growth. The study recommends that strategies to enhance non-oil exports should be encouraged to support the effectiveness of trade liberalization in promoting growth.

The Effectiveness Of Monetary Policy Transmission In Nigeria: Evidence From The Monetary Policy Rate And The Cash Reserve Ratio, Abdulrahman A. Nadani, Auwal Isah

CBN Journal of Applied Statistics (JAS)

This paper investigates the effectiveness of the Monetary Policy Rate (MPR) and Cash Reserve Ratio (CRR) as policy instruments in Nigeria. A structural VAR model is employed to simulate two distinct models measuring shocks from the MPR and the CRR using monthly data from January 2006 to December 2023. Findings show that contractionary monetary policy impulses using MPR and the CRR contract output and credit to the private sector, inflation remains largely positive in the two models, known as the “price puzzle”, but the puzzle is more persistent in the MPR equation. Moreover, shock to MPR strongly influences short-term interest …

Stock Market Volatility In The United Kingdom: Simulating Post-Covid-19 Recovery, Bala A. Dahiru, Mohammed Shuaibu, Najibullah Hassanov

CBN Journal of Applied Statistics (JAS)

This paper investigates the time it would take for the FTSE-100 index to reach its post-COVID-19 peak. The paper utilises an exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model that accounts for leverage effect and asymmetries. The preferred models amongst competing variants was the Autoregressive Moving Average (ARMA)-EGARCH(2,1) specification and was used to predict daily FTSE-100 data from 5th January 2000 to 21st June 2024. The empirical exercise showed that the COVID-19-induced financial crisis negatively affected the United Kingdom’s stock market performance. The results show that the FTSE100 index could reach its post-pandemic peak around 27th August, 2024 (two months after …

Mpt And Capm Mismeasure Risk, Gary N. Smith

Pomona Economics

Mean-variance analysis and the capital asset pricing model provide many useful insights for investors who want to measure and manage risk. However, their focus on short-term returns is of limited use and potentially misleading for investors with long horizons. A value investing approach suggests that risk might be better measured by long-run uncertainty about asset income than by short-run uncertainty about asset prices.

Measuring The Performance Of Sdgs In Provincial Level Using Regional Sustainable Development Index, Nurafiza Thamrin, Ika Yuni Wulansari, Puguh Bodro Irawan

Journal of Environmental Science and Sustainable Development

Measuring the national and sub-national progress in achieving such globally adopted development agendas as Sustainable Development Goals (SDGs) is particularly challenging due to data availability and compatibility of indicators to measure SDGs, especially in Indonesia. This paper attempts to measure the performance of sustainable development at the regional level in Indonesia by newly constructing a multidimensional composite index called the Regional Sustainable Development Index (RSDI). RSDI comprises four dimensions, covering comprehensive economic, social, environmental, and governance indicators. By applying factor analysis, the paper assesses the uncertainty of RSDI and the sensitivity of its composing indicators, then further investigates the relationship …

Reducing Food Scarcity: The Benefits Of Urban Farming, S.A. Claudell, Emilio Mejia

Journal of Nonprofit Innovation

Urban farming can enhance the lives of communities and help reduce food scarcity. This paper presents a conceptual prototype of an efficient urban farming community that can be scaled for a single apartment building or an entire community across all global geoeconomics regions, including densely populated cities and rural, developing towns and communities. When deployed in coordination with smart crop choices, local farm support, and efficient transportation then the result isn’t just sustainability, but also increasing fresh produce accessibility, optimizing nutritional value, eliminating the use of ‘forever chemicals’, reducing transportation costs, and fostering global environmental benefits.

Imagine Doris, who is …

Modelling The Naira Exchange Rate Dependence Using Static And Time-Varying Copula, Kabir Katata

CBN Journal of Applied Statistics (JAS)

This paper examines the dependence structure of different currencies versus the Nigerian Naira using constant and time-varying copula. Daily Naira/USD, Naira/Yuan, Naira/Pound, and Naira/Euro exchange rates from 23 December 2011 to 12 May 2020 were utilised. We fitted eight constant and time-varying copula families using the exchange rate standardised residuals. The study finds that the Naira exchange rate may be estimated with student t-copula, Symmetrized Joe-Clayton (SJC), or Rotated Gumbel copula models and Autoregressive (AR)– Glosten Jagannathan RunkleGeneralized Autoregressive Conditional Heteroscedastic (GJR-GARCH) (1,1) models with skewed t residuals for margins. The Naira exchange rate returns is timevarying, tail-dependent, and asymmetric. …

External Debt Pass-Through To Inflation In Nigeria, Emmanuel A. Asue, James V. Ikyaator

CBN Journal of Applied Statistics (JAS)

This study examines external debt pass-through to inflation in Nigeria using annual data from 1981 to 2020 based on structural vector autoregressive (SVAR) model. The results reveal that an increase in external debt service leads to a significant depreciation of the exchange rate, which leads to a contemporaneous increase in inflation, while the direct response of inflation to external debt is statistically not significant. The impulse response confirms these results. The forecast error variance decomposition depicts that future values of official exchange rate depend on external debt, inflation and external debt service. The study recommends that the Nigerian government should …

Modelling The Impact Of Government Expenditure On Economic Growth In Nigeria: The Moderating Effects Of Oil And Non-Oil Revenue, Victor U. Ijirshar, Gaius M. Asombo, Florence D. Bundepuun, Ashifa Tersugh, Ayila Ngutsav

CBN Journal of Applied Statistics (JAS)

This study examines the relationship between government expenditure and economic growth and assesses the moderating effects of oil revenue and non-oil revenue in Nigeria from 1981 to 2021. The study uncovered short-term asymmetry in the government expenditure-economic growth nexus while the long-term relationship was symmetric. The study found that government expenditure is a significant determinant of economic growth in Nigeria and that oil and non-oil revenue influences the nexus between government expenditure and economic growth in Nigeria positively. The study recommends efficient management of oil revenue, directing investments during high revenue periods and ensuring fiscal sustainability. Government should also establish …

Improving The Efficiency Of Exponential Ratio-Type Estimator For Population Median: A Calibration Weight Adjustment Approach, Mathew J. Iseh, Kufre J. Bassey

CBN Journal of Applied Statistics (JAS)

This paper modifies the Bahl and Tuteja exponential ratio-type estimator for population median under simple random and stratified sampling schemes using calibration weight adjustment technique with supplementary information to vary the stratum weights. The bias and mean square error of the modified estimator were obtained up to the second-order approximation, which satisfies the necessary conditions for efficiency. The findings show that the new estimator surpasses existing estimators in efficiency gain. This suggests the appropriateness of calibration weight modification in boosting the efficiency of a population parameter estimator under stratified random sampling especially where the population parameter of the auxiliary variable …

The Impact Of Subjective Risk Analysis On Real Estate Prices In The Nisqually Region Following The 2001 Nisqually Earthquake, Ryan Espedal

All Master's Theses

Earthquakes are an environmental hazard that pose great risks to communities almost every day. With earthquakes, the main cause of concern is physical destruction of property, however, there are also psychological effects that are researched and discussed much less. In 2001, the Nisqually area of western Washington experienced a substantial earthquake that produced minimal physical damage but caused a significant decrease in real estate prices. Studying single-family homes from 1986-2012, this research utilizes hedonic property models to measure the change in consumer’s subjective risk calculations with reference to real estate purchases after the Nisqually earthquake, measure the relationship between earthquake …

Market Risk Factors And Stock Returns In The Nigerian Bourse, Omorose A. Ogiemudia, Osagie Osifo, Igbinovia L. Eghosa

CBN Journal of Applied Statistics (JAS)

This study examines the link between market risk and equity return in Nigeria between 1980 to 2019. It employs the vector error correction model (VECM) to determine the short run dynamics and long run effect of market risk factors on stock return. The findings revealed that a dynamic relationship exists between market risk factors and stock returns in Nigeria. Also, exchange rate risk and oil price risks have significant influence on stock return, while inflation and interest rate risk, and political instability risks have a non-significant impact on stock return. Finally, a unidirectional relationship was detected between interest rate, oil …

Savings-Investment Gap In Sub-Saharan Africa: Does The Interaction Of Financial Sector Development And Migrant Remittances Matter?, Wasiu Adekunle, Oluwatosin Adeniyi, Joshua Afolabi, Musibau Babatunde, Edward Omiwale

CBN Journal of Applied Statistics (JAS)

This study analyses the interactive effects of migrant remittances and financial development on savings-investment gap for a panel of 18 Sub-Saharan Africa (SSA) countries from 1990-2017. Results from a panel ARDL model show that migrant remittances reduce savings-investment gap in the long run. The gap is further reduced when the individual effect of financial development, and the interactive effects of migrant remittances and financial development are taken into consideration. Further analysis reveals evidence of widening effects of rising real GDP growth and bank deposits over a long-term horizon, while higher private sector credit widened the savings-investment gap only in the …

Effect Of Monetary Policy Rate On Market Interest Rates In Nigeria: A Threshold And Nardl Approach, Oluwafemi E. Awopegba, Joseph O. Afolabi, Lydia T. Adeoye, Godwin O. Akpokodje

CBN Journal of Applied Statistics (JAS)

This study examines the effect of monetary policy rate (MPR) on market interest rates in Nigeria. For parsimony, we develop two indexes called the short-term interest rate (SINT) and Lending interest rate (LINT) to represent deposit and lending rates respectively. The nonlinear autoregressive distributed lag (NARDL) and threshold regression models are adopted. The study uses monthly data from 2002:M1 to 2019:M12. The results of the threshold regression model indicate that the degree of the effect of MPR on SINT and LINT above the estimated threshold of 11 and 13 percent respectively is greater and significant than if MPR were to …

Social Dimension Of Inclusive Growth In Ecowas: Implication For Poverty Reduction, Toriola K. Anu, Goerge O. Emmanuel, Ajayi O. Felix

CBN Journal of Applied Statistics (JAS)

This study investigates the implication of the social dimension of inclusive growth on poverty reduction in Economic Community of West African States (ECOWAS) countries. It specifically examines how social indices of inclusive growth comprising of income inequality, education, and health outcomes affect poverty reduction. The study uses a panel dataset of the six (6) lower-middle income countries in ECOWAS which was analysed via panel Difference Generalised Method of Moment (D-GMM). The results show that GDP per capita exerts significant negative effect on poverty while inequality, education and health outcomes do not show significant effect on poverty. Although, the estimates of …

Effect Of Fdi Inflows On Employment Generation In Selected Ecowas Countries: Heterogeneous Panel Analysis, Timothy A. Aderemi, Olawunmi Omitogun, Bukonla G. Osisanwo

CBN Journal of Applied Statistics (JAS)

The aim of this study is to examine the effect of FDI on employment in ECOWAS sub region between 1990 and 2019. The study utilizes a panel autoregressive distributed lag model to analyse the short run and long run relationship between FDI and employment across ECOWAS sub region. In the short run, the impact of FDI on employment is negative and statistically not significant. Meanwhile, in the long run FDI has a positive and statistically significant impact on employment rate. This implies that FDI has the capacity to generate employment in countries in ECOWAS sub region. Therefore, this study recommends …

Impact Of Covid-19 Pandemic On The Nigeria Stock Market: A Sectoral Stock Prices Analysis, Peter A. Adekunle, Yakubu A. Bello, Udochukwu G. Nwachukwu

CBN Journal of Applied Statistics (JAS)

This study examines the impact of the COVID-19 pandemic on sectoral stock prices in Nigeria stock market using daily data covering from February 28, 2020 to June 26, 2020. Applying the autoregressive distributed lag (ARDL) bounds test, the study finds that COVID-19 pandemic had adverse impact on the stock market indices in the short run. Furthermore, the study documents negative response of sectoral stock prices to the pandemic while the stock prices of the banking sub-sector are the worst hit. Compared to the consumer goods, and industrial subsector indices, the speed of adjustment to long run equilibrium is faster for …

Neither “Post-War” Nor Post-Pregnancy Paranoia: How America’S War On Drugs Continues To Perpetuate Disparate Incarceration Outcomes For Pregnant, Substance-Involved Offenders, Becca S. Zimmerman

Pitzer Senior Theses

This thesis investigates the unique interactions between pregnancy, substance involvement, and race as they relate to the War on Drugs and the hyper-incarceration of women. Using ordinary least square regression analyses and data from the Bureau of Justice Statistics’ 2016 Survey of Prison Inmates, I examine if (and how) pregnancy status, drug use, race, and their interactions influence two length of incarceration outcomes: sentence length and amount of time spent in jail between arrest and imprisonment. The results collectively indicate that pregnancy decreases length of incarceration outcomes for those offenders who are not substance-involved but not evenhandedly -- benefitting white …

Interdependence Across Foreign Exchange Rate Markets- A Mixed Copula Approach, Richard Adjei-Boateng

Masters Theses & Specialist Projects

The purpose of this thesis is to study the dependence structure of exchange rate pairs using a mixture of copula as opposed to a single copula approach. Mixed copula models have the ability to generate dependence structures that do not belong to existing copula families. The flexibility in choosing component copulas in this mixture model aids the construction of a system that is simultaneously parsimonious and flexible enough to generate most dependence patterns in exchange rate data. Furthermore, the method of mixture copulas facilitates the separation of both the structure and degree of dependence, concepts that are respectively embodied in …

Three Essays On Health Economics And Policy Evaluation, Shishir Shakya

Graduate Theses, Dissertations, and Problem Reports (ETD)

This dissertation consists of three essays on the U.S. Health care policy. Each paragraph below refers to the three abstracts for the three chapters in this dissertation, respectively. I provide quantitative evidence on how much Prescription Drug Monitoring Programs (PDMPs) affects the retail opioid prescribing behaviors. Using the American Community Survey (ACS), I retrieve county-level high dimensional panel data set from 2010 to 2017. I employ three separate identification strategies: difference-in-difference, double selection post-LASSO, and spatial difference-in-difference. I compare how the retail opioid prescribing behaviors of counties, that are mandatory for prescribers to check the PDMP before prescribing controlled substances …

A Systematic Assessment Of Socio-Economic Impacts Of Prolonged Episodic Volcano Crises, Justin Peers

Electronic Theses and Dissertations

Uncertainty surrounding volcanic activity can lead to socio-economic crises with or without an eruption as demonstrated by the post-1978 response to unrest of Long Valley Caldera (LVC), CA. Extensive research in physical sciences provides a foundation on which to assess direct impacts of hazards, but fewer resources have been dedicated towards understanding human responses to volcanic risk. To evaluate natural hazard risk issues at LVC, a multi-hazard, mail-based, household survey was conducted to compare perceptions of volcanic, seismic, and wildfire hazards. Impacts of volcanic activity on housing prices and businesses were examined at the county-level for three volcanoes with a …

Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez

Business Faculty Publications

We propose a consistent and computationally efficient two-step methodology for the estimation of multidimensional non-Gaussian asset models built using Levy processes. The proposed framework allows for dependence between assets and different tail behaviors and jump structures for each asset. Our procedure can be applied to portfolios with a large number of assets as it is immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at Risk and intra-horizon Value at Risk, as we show in detail …

Step Away From Stepwise, Gary N. Smith

Pomona Economics

Stepwise regression is a popular data-mining tool that uses statistical significance to select the explanatory variables to be used in a multiple-regression model. A fundamental problem with stepwise regression is that some real explanatory variables that have causal effects on the dependent variable may happen to not be statistically significant, while nuisance variables may be coincidentally significant. As a result, the model may fit the data well in-sample, but do poorly out-of-sample. Many Big-Data researchers believe that, the larger the number of possible explanatory variables, the more useful is stepwise regression for selecting explanatory variables. The reality is that stepwise …