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Articles 61 - 76 of 76
Full-Text Articles in Econometrics
Contributions Of Financial Sector Reforms And Credit Supply To Nigerian Agricultural Sector (1978-2009), Anthony O. Onoja, M. E. Onu, S. Ajodo-Ohiemi
Contributions Of Financial Sector Reforms And Credit Supply To Nigerian Agricultural Sector (1978-2009), Anthony O. Onoja, M. E. Onu, S. Ajodo-Ohiemi
CBN Journal of Applied Statistics (JAS)
This study analyzed the trends and pattern of institutional credit supply to agriculture during pre- and post-financial reforms along with their determinants. It then compared the effects of reform policies on access to institutional credits in Nigerian agricultural sector before and after the reforms (1978 - 1985; and 1986 -2009). Relying mainly on time series data from CBN and NBS, it used ordinary least squares method (linear, semi-log and double log) to model the determinants of banking sector lending to the agricultural sector during the review period. The models were subjected to several econometric tests before accepting one. Chow test …
Determinants Of Foreign Reserves In Nigeria: An Autoregressive Distributed Lag Approach, David Irefin, Baba N. Yaaba
Determinants Of Foreign Reserves In Nigeria: An Autoregressive Distributed Lag Approach, David Irefin, Baba N. Yaaba
CBN Journal of Applied Statistics (JAS)
On global scale, central banks’ holdings of foreign reserves have escalated sharply in recent years. World international reserves holdings have risen significantly from US$1.2 trillion in 1995 to nearly US$10.0 trillion in June 2011. Dominant among these reserves are concentrated in the hands of few countries. Ten major holders of foreign reserves are mostly from Asia. Oil exporting countries in Africa and the Middle East are not left out in this trend. Nigeria’s foreign reserves rose from US$5.5 billion in 1999 to US$62.40 billion in July 2008, making Nigeria the twenty-fourth largest reserves holder in the world. This pace of …
Effects Of Exchange Rate Movements On Economic Growth In Nigeria, Eme O. Akpan, Johnson A. Atan
Effects Of Exchange Rate Movements On Economic Growth In Nigeria, Eme O. Akpan, Johnson A. Atan
CBN Journal of Applied Statistics (JAS)
This study investigates the effect of exchange rate movements on real output growth in Nigeria. Based on quarterly series for the period 1986 to 2010, the paper examines the possible direct and indirect relationship between exchange rates and GDP growth. The relationship is derived in two ways using a simultaneous equations model within a fully specified (but small) macroeconomic model. A Generalised Method of Moments (GMM) technique was explored. The estimation results suggest that there is no evidence of a strong direct relationship between changes in exchange rate and output growth. Rather, Nigeria’s economic growth has been directly affected by …
Exchange Rate Volatility In Nigeria: Consistency, Persistency & Severity Analyses, Babatunde Adeoye, Akinwande A. Atanda
Exchange Rate Volatility In Nigeria: Consistency, Persistency & Severity Analyses, Babatunde Adeoye, Akinwande A. Atanda
CBN Journal of Applied Statistics (JAS)
The adoption of the International Monetary Fund (IMF) Structural Adjustment Programme (SAP) in 1986 resulted in the transition from fixed exchange rate regime to floating exchange rate regime in Nigeria. Ever since, the exchange rate of naira vis-à-vis the U.S dollar has attained varying rates all through different time horizons. On this basis, this study examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis-a-vis the United State dollar using monthly time series data from 1986 to 2008. The standard Purchasing Power Parity (PPP) model was used to analyze the long-run consistency of …
Foreign Private Investment And Economic Growth In Nigeria: A Cointegrated Var And Granger Causality Analysis, F. Z. Abdullahi, S. Ladan, Haruna R. Bakari
Foreign Private Investment And Economic Growth In Nigeria: A Cointegrated Var And Granger Causality Analysis, F. Z. Abdullahi, S. Ladan, Haruna R. Bakari
CBN Journal of Applied Statistics (JAS)
This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of the impact of Foreign Private Investment (FPI), Interest Rate (INR) and Inflation rate (IFR) on Growth Domestic Products (GDP) in Nigeria for the period January 1970 to December 2009. The Unit Root Test suggests that all the variables are integrated of order 1. The VAR model was appropriately identified using AIC information criteria and the VECM model has exactly one cointegration relation. The study further investigates the causal relationship using the Granger causality analysis of VECM which indicates a uni-directional causality relationship between GDP and FDI …
Banking Sector Credit And Economic Growth In Nigeria: An Empirical Investigation, Aniekan O. Akpansung, Sikiru J. Babalola
Banking Sector Credit And Economic Growth In Nigeria: An Empirical Investigation, Aniekan O. Akpansung, Sikiru J. Babalola
CBN Journal of Applied Statistics (JAS)
The paper examines the relationship between banking sector credit and economic growth in Nigeria over the period 1970-2008. The causal links between the pairs of variables of interest were established using Granger causality test while a Two-Stage Least Squares (TSLS) estimation technique was used for the regression models. The results of Granger causality test show evidence of unidirectional causal relationship from GDP to private sector credit (PSC) and from industrial production index (IND) to GDP. Estimated regression models indicate that private sector credit impacts positively on economic growth over the period of coverage in this study. However, lending (interest) rate …
Neither The Washington Nor Beijing Consensus: Developmental Models To Fit African Realities And Cultures, Sanusi L. Sanusi
Neither The Washington Nor Beijing Consensus: Developmental Models To Fit African Realities And Cultures, Sanusi L. Sanusi
CBN Journal of Applied Statistics (JAS)
No abstract provided.
Empirical Methods For Predicting Student Retention- A Summary From The Literature, Matt Bogard
Empirical Methods For Predicting Student Retention- A Summary From The Literature, Matt Bogard
Economics Faculty Publications
The vast majority of the literature related to the empirical estimation of retention models includes a discussion of the theoretical retention framework established by Bean, Braxton, Tinto, Pascarella, Terenzini and others (see Bean, 1980; Bean, 2000; Braxton, 2000; Braxton et al, 2004; Chapman and Pascarella, 1983; Pascarell and Ternzini, 1978; St. John and Cabrera, 2000; Tinto, 1975) This body of research provides a starting point for the consideration of which explanatory variables to include in any model specification, as well as identifying possible data sources. The literature separates itself into two major camps including research related to the hypothesis testing …
Empirical Methods-A Review: With An Introduction To Data Mining And Machine Learning, Matt Bogard
Empirical Methods-A Review: With An Introduction To Data Mining And Machine Learning, Matt Bogard
Economics Faculty Publications
This presentation was part of a staff workshop focused on empirical methods and applied research. This includes a basic overview of regression with matrix algebra, maximum likelihood, inference, and model assumptions. Distinctions are made between paradigms related to classical statistical methods and algorithmic approaches. The presentation concludes with a brief discussion of generalization error, data partitioning, decision trees, and neural networks.
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Research Collection School Of Economics
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact ¯nite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on deviance information criterion …
A Dynamic-Trend Exponential Smoothing Model, Don Miller, Dan Williams
A Dynamic-Trend Exponential Smoothing Model, Don Miller, Dan Williams
Publications and Research
Forecasters often encounter situations in which the local pattern of a time series is not expected to persist over the forecasting horizon. Since exponential smoothing models emphasize recent behavior, their forecasts may not be appropriate over longer horizons. In this paper, we develop a new model in which the local trend line projected by exponential smoothing converges asymptotically to an assumed future long-run trend line, which might be an extension of a historical long-run trend line. The rapidity of convergence is governed by a parameter. A familiar example is an economic series exhibiting persistent long-run trend with cyclic variation. This …
A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang
A Class Of Nonlinear Stochastic Volatility Models, Jun Yu, Zhenlin Yang
Research Collection School Of Economics
This paper proposes a class of nonlinear stochastic volatility models based on the Box-Cox transformation which offers an alternative to the one introduced in Andersen (1994). The proposed class encompasses many parametric stochastic volatility models that have appeared in the literature, including the well known lognormal stochastic volatility model, and has an advantage in the ease with which different specifications on stochastic volatility can be tested. In addition, the functional form of transformation which induces marginal normality of volatility is obtained as a byproduct of this general way of modeling stochastic volatility. The efficient method of moments approach is used …
Multivariate Stochastic Volatility Models: Bayesian Estimation And Model Comparison, Jun Yu, Renate Meyer
Multivariate Stochastic Volatility Models: Bayesian Estimation And Model Comparison, Jun Yu, Renate Meyer
Research Collection School Of Economics
In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV) models can be easily performed via a freely available Bayesian software called WinBUGS. Moreover, we introduce to the literature several new specifications which are natural extensions to certain existing models, one of which allows for time varying correlation coefficients. Ideas are illustrated by fitting, to a bivariate time series data of weekly exchange rates, nine multivariate SV models, including the specifications with Granger causality in volatility, time varying correlations, heavy-tailed error distributions, additive factor structure, and multiplicative factor structure. Empirical results suggest that the …
On Leverage In A Stochastic Volatility Model, Jun Yu
On Leverage In A Stochastic Volatility Model, Jun Yu
Research Collection School Of Economics
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the other is the discrete time SV model of Jacquier, Polson and Rossi (2004, Journal of Econometrics, forthcoming). Using a Gaussian nonlinear state space form with uncorrelated measurement and transition errors, I show that it is easy to interpret the leverage effect in the conventional model whereas it is not clear how to obtain the leverage effect …
Deviance Information Criterion For Comparing Stochastic Volatility Models, Andreas Berg, Renate Meyer, Jun Yu
Deviance Information Criterion For Comparing Stochastic Volatility Models, Andreas Berg, Renate Meyer, Jun Yu
Research Collection School Of Economics
Bayesian methods have been efficient in estimating parameters of stochastic volatility models for analyzing financial time series. Recent advances made it possible to fit stochastic volatility models of increasing complexity, including covariates, leverage effects, jump components, and heavy-tailed distributions. However, a formal model comparison via Bayes factors remains difficult. The main objective of this article is to demonstrate that model selection is more easily performed using the deviance information criterion (DIC). It combines a Bayesian measure of fit with a measure of model complexity. We illustrate the performance of DIC in discriminating between various different stochastic volatility models using simulated …
Level Adjusted Exponential Smoothing: A Method For Judgmentally Adjusting Exponential Smoothing Models For Planned Discontinuities, Dan Williams, Don Miller
Level Adjusted Exponential Smoothing: A Method For Judgmentally Adjusting Exponential Smoothing Models For Planned Discontinuities, Dan Williams, Don Miller
Publications and Research
Forecasters often make judgmental adjustments to exponential smoothing forecasts to account for the effects of a future planned change. While this approach may produce sound initial forecasts, it can result in diminished accuracy for forecast updates. A proposed technique lets the forecaster include policy change adjustments within an exponential smoothing model. For 20 real data series representing Virginia Medicaid expenses, initial forecasts and forecast updates are developed using the proposed technique and several alternatives, and they are updated through various simulated level shifts. The proposed technique was more accurate than the alternatives in updating forecasts when a shift in level …