Short-Term Inflation Forecasting Models For Nigeria,
2013
Central Bank of Nigeria
Short-Term Inflation Forecasting Models For Nigeria, Sani I. Doguwa, Sarah O. Alade
CBN Journal of Applied Statistics (JAS)
Short-term inflation forecasting is an essential component of the monetary policy projections at the Central Bank of Nigeria. This paper proposes four short-term headline inflation forecasting models using the SARIMA and SARIMAX processes and compares their performance using the pseudo-out-of-sample forecasting procedure over July 2011 to September 2013. According to the results the best forecasting performance is demonstrated by the model based on the all items CPI estimated using the SARIMAX model. This model is, therefore, recommended for use in short-term forecasting of headline inflation in Nigeria. The forecasting performance up to eight months ahead, of the models based on …
Influence Of Corruption, Foreign Direct Investment And Net Domestic Credit On Economic Growth,
2013
Buffalo State
Influence Of Corruption, Foreign Direct Investment And Net Domestic Credit On Economic Growth, Meng Mi
Applied Economics Theses
In Asia, it is not clear whether governments can attract increased FDI by reducing corruption, or whether corruption is irrelevant to levels of GDP growth, especially if the mechanism of net domestic credit can be used to stimulate economic growth even in the absence of high levels of FDI. The purpose of this study is to examine the potentially distinct effects of both FDI and net domestic credit on economic growth, as well as the relationship between corruption and economic growth. This relationship is studied using ex post facto data from a sample of Asian countries from the years 1980-2012. …
An Efficient Two Sample Capture-Recapture Model With High Recaptures,
2013
Department of Statistics and Operations Research, Modibbo Adama University of Technology Yola
An Efficient Two Sample Capture-Recapture Model With High Recaptures, Danjuma Jibasen, Yusuf J. Adams
CBN Journal of Applied Statistics (JAS)
This paper proposed an efficient two sample capture-recapture model (Ma) with high recaptures and compared it with the existing models like the model of no factor effect (Mo), behavioral response model (Mb) and the Petersen model (Ms), using simulated data. We found that the Petersen model provides a better estimate of the population size when the observations follow a hypergeometric distribution and the population is overestimated when recapture is high. It was also found that the proposed model provides a better estimator of the population size than the existing ones when the recapture is high. This model is particularly useful …
Causal Relationship Between Stock Market Index And Exchange Rate: Evidence From Nigeria,
2013
Central Bank of Nigeria
Causal Relationship Between Stock Market Index And Exchange Rate: Evidence From Nigeria, Abdulrasheed Zubair
CBN Journal of Applied Statistics (JAS)
This paper uses Johansen’s cointegration to test for the possibility of cointegration and Granger-causality to estimate the causal relationship between stock market index and monetary indicators (exchange rate and M2) before and during the global financial crisis for Nigeria, using monthly data for the period 2001–2011. Results suggest absence of long-run relationship before and during the crisis. The Granger-causality tests show a uni-directional causality running from M2 to ASI before the crisis while during the period of the crisis there is absence of causality between the variables. This suggests that ASI show responsiveness to M2. Thus, absence of the direct …
Investigating Chaos In The Nigerian Asset And Resource Management (Arm) Discovery Fund,
2013
Condensed Matter and Statistical Physics Research Group Department of Physics
Investigating Chaos In The Nigerian Asset And Resource Management (Arm) Discovery Fund, Ibiyinka A. Fuwape, Samuel T. Ogunjo
CBN Journal of Applied Statistics (JAS)
This paper investigates chaos in a Nigerian mutual fund, Asset and Resource Management Company Limited (ARM) for a period of eleven years. The existence of chaotic signals in the data was identified by the reconstruction of the phase space of the daily closing price of the fund and the delay time was quantified using mutual information function and the embedding dimension by the false nearest neighbours, where the values were identified to be 15 and 20 respectively. The presence of chaotic signals in the ARM data was further confirmed by the correlation dimension method which yielded a dimension of 2.2 …
Modeling The Nigerian Inflation Rates Using Periodogram And Fourier Series Analysis,
2013
Department of Statistics, Michael Okpara University of Agriculture, Umudike, Abia State, Nigeria
Modeling The Nigerian Inflation Rates Using Periodogram And Fourier Series Analysis, Chukwuemeka O. Omekara,, Emmanuel J. Ekpenyong, Micheal P. Ekerete
CBN Journal of Applied Statistics (JAS)
This work considers the application of Periodogram and Fourier Series Analysis to model all-items monthly inflation rates in Nigeria from 2003 to 2011. The main objectives are to identify inflation cycles, fit a suitable model to the data and make forecasts of future values. To achieve these objectives, monthly all-items inflation rates for the period were obtained from the Central Bank of Nigeria (CBN) website. Periodogram and Fourier series methods of analysis are used to analyze the data. Based on the analysis, it was found that inflation cycle within the period was fifty one (51) months, which coincides with the …
Nigerian Stock Index: A Search For Optimal Garch Model Using High Frequency Data,
2013
University of Ibadan
Nigerian Stock Index: A Search For Optimal Garch Model Using High Frequency Data, Olaoluwa Simon Yaya
CBN Journal of Applied Statistics (JAS)
This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the assumptions of stationarity and asymmetry. Fractionally integrated types are also considered to capture the possibility of return series having property of long range dependency. The parameter estimations are carried out on the assumptions of normality and non-normality of GARCH innovations, with models and forecasts evaluated using information criteria and loss functions respectively. Under normality assumption, Hyperbolic GARCH (HYGARCH(1,d,1)) model is selected and Integrated GARCH (IGARCH(1,1)) …
Time Series Modeling Of Nigeria External Reserves,
2013
Department of Statistics, Federal University of Technology Owerri
Time Series Modeling Of Nigeria External Reserves, Iheanyichukwu S. Iwueze, Eleazar C. Nwogu, Valentine U. Nlebedim
CBN Journal of Applied Statistics (JAS)
This paper discusses the levels and trend of external reserves in Nigeria. The relevance of this lies in the fact that it could help to monitor the reserves and throw early warning signal about any economic crisis. Monthly data on Nigeria external reserves for the period January 1999 to December, 2008 derived from the 2008 CBN Statistical Bulletin was analyzed using ARIMA model. Results of the analyses show that (i) the data requires logarithmic transformation to stabilize the variance and make the distribution normal (ii) the appropriate model that best describes the pattern in the transformed data is the Autoregressive- …
A Markov Decision Process Approach To Optimal Control Of A Multi-Level Hierarchical Manpower System,
2013
Department of Statistics, University of Nigeria, Nsukka, Enugu State, Nigeria.
A Markov Decision Process Approach To Optimal Control Of A Multi-Level Hierarchical Manpower System, Akaninyene U. Udom
CBN Journal of Applied Statistics (JAS)
A recurrent problem in manpower control is how to attain the desired structural configuration in an optimal way, since it is possible to reach a desired structural configuration using different control inputs. The major aim of this paper is to develop a Markov Decision Process for optimal control of a Multi-level Hierarchical Manpower System (MHMS) by promotion and interdepartmental transfers. This is examined under control by intervention and contraction cost Markov Decision Process.
Predictive Regression Under Various Degrees Of Persistence And Robust Long-Horizon Regression,
2013
Singapore Management University
Predictive Regression Under Various Degrees Of Persistence And Robust Long-Horizon Regression, Peter C. B. Phillips, Ji Hyung Lee
Research Collection School Of Economics
The paper proposes a novel inference procedure for long-horizon predictive regression with persistent regressors, allowing the autoregressive roots to lie in a wide vicinity of unity. The invalidity of conventional tests when regressors are persistent has led to a large literature dealing with inference in predictive regressions with local to unity regressors. Magdalinos and Phillips (2009b) recently developed a new framework of extended IV procedures (IVX) that enables robtist chi-square testing for a wider class of persistent regressors. We extend this robust procedure to an even wider parameter space in the vicinity of unity and apply the methods to long-horizon …
Testing Homogeneity In Panel Data Models With Interactive Fixed Effects,
2013
Singapore Management University
Testing Homogeneity In Panel Data Models With Interactive Fixed Effects, Liangjun Su, Qihui Chen
Research Collection School Of Economics
This paper proposes a residual-based LM test for slope homogeneity in large dimensional panel data models with interactive fixed effects. We first run the panel regression under the null to obtain the restricted residuals, and then use them to construct our LM test statistic. We show that after being appropriately centered and scaled, our test statistic is asymptotically normally distributed under the null and a sequence of Pitman local alternatives. The asymptotic distributional theories are established under fairly general conditions which allow for both lagged dependent variables and conditional heteroskedasticity of unknown form by relying on the concept of conditional …
Hierarchical Decomposition Of U.S. Personal Consumption Expenditure: 1984-1991 And 2000-2006,
2013
San Jose State University
Hierarchical Decomposition Of U.S. Personal Consumption Expenditure: 1984-1991 And 2000-2006, Steven D. Silver
Faculty Publications
We conceptualize structure in personal consumption by explicitly defining categorizations of goods and services that consumers typically make in defining and organizing these objectives in their heuristics. Results from estimation of an Almost Ideal (AI) Demand System in each of two study periods generally support the structural differentiation of consumption goods.
Rhode Island Current Conditions Index -- November 2013,
2013
University of Rhode Island
Rhode Island Current Conditions Index -- November 2013, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Limit Theory For An Explosive Autoregressive Process,
2013
Chinese University of Hong Kong
Limit Theory For An Explosive Autoregressive Process, Xiaohu Wang, Jun Yu
Research Collection School Of Economics
Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error distribution, and hence an invariance principle applies. The coefficient based test and the t test have better power for testing the hypothesis of zero intercept in the explosive process than in the stationary process.
Estimation Of Time-Varying Adjusted Probability Of Informed Trading And Probability Of Symmetric Order-Flow Shock,
2013
City University of Hong Kong
Estimation Of Time-Varying Adjusted Probability Of Informed Trading And Probability Of Symmetric Order-Flow Shock, Daniel Preve, Yiu Kuen Tse
Research Collection School Of Economics
Recently Duarte and Young (2009) study the probability of informed trading (PIN) proposed by Easley et al. (2002) and decompose it into two parts: the adjusted PIN (APIN) as a measure of asymmetric information and the probability of symmetric order-flow shock (PSOS) as a measure of illiquidity. They provide some cross-section estimates of these measures using daily data over annual periods. In this paper we propose a method to estimate daily APIN and PSOS by extending the method in Tay et al. (2009) using high-frequency transaction data. Our empirical results show that while PIN is positively contemporaneously correlated with variance, …
Application Of Sgt Family Distributions In Quasi Maximum Likelihood Estimation,
2013
Brigham Young University - Utah
Application Of Sgt Family Distributions In Quasi Maximum Likelihood Estimation, Samuel Dodini
Undergraduate Economic Review
In the classical normal linear regression model, ordinary least squares estimators (OLS) will be consistent and achieve the Cramer-Rao lower bound for any unbiased estimators. This paper examines the impact of several other error distributions on the properties of the OLS estimators. Several different types of example data commonly available to students and researchers in economics are used to illustrate the impact of nonnormality, because, in application, the assumption of normality may not hold in empirical testing. Using maximum likelihood, I demonstrate that flexible probability density functions better model the residual distribution of different types of data, which suggests improvements …
Rhode Island Current Conditions Index -- October 2013,
2013
University of Rhode Island
Rhode Island Current Conditions Index -- October 2013, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Detecting Bubbles In Hong Kong Residential Property Market,
2013
ASEAN+3 Macroeconomic Research Office, Singapore
Detecting Bubbles In Hong Kong Residential Property Market, Matthew S. Yiu, Jun Yu, Lu Jin
Research Collection School Of Economics
This study uses a newly developed bubble detection method (Phillips, Shi, and Yu, 2011) to identify real estate bubbles in the Hong Kong residential property market. Our empirical results reveal several positive bubbles in the Hong Kong residential property market, including one in 1995, a stronger one in 1997, yet another one in 2004, and a more recent one in 2008. In addition, the method identifies two negative bubbles in the data, one in 2000 and the other one in 2001. These empirical results continue to be valid for the mass segment and the luxury segment. However, this method has …
Nonparametric Dynamic Panel Data Models: Kernel Estimation And Specification Testing,
2013
Singapore Management University
Nonparametric Dynamic Panel Data Models: Kernel Estimation And Specification Testing, Liangjun Su, Xun Lu
Research Collection School Of Economics
Motivated by the first-differencing method for linear panel data models, we propose a class of iterative local polynomial estimators for nonparametric dynamic panel data models with or without exogenous regressors. The estimators utilize the additive structure of the first-differenced model—the fact that the two additive components have the same functional form, and the unknown function of interest is implicitly defined as a solution of a Fredholm integral equation of the second kind. We establish the uniform consistency and asymptotic normality of the estimators. We also propose a consistent test for the correct specification of linearity in typical dynamic panel data …
Nonparametric Regression Estimation With General Parametric Error Covariance: A More Efficient Two-Step Estimator,
2013
Singapore Management University
Nonparametric Regression Estimation With General Parametric Error Covariance: A More Efficient Two-Step Estimator, Liangjun Su, Aman Ullah, Yun Wang
Research Collection School Of Economics
Recently Martins-Filho and Yao (J Multivar Anal 100:309–333, 2009) have proposed a two-step estimator of nonparametric regression function with parametric error covariance and demonstrate that it is more efficient than the usual LLE. In the present paper we demonstrate that MY’s estimator can be further improved. First, we extend MY’s estimator to the multivariate case, and also establish the asymptotic theorem for the slope estimators; second, we propose a more efficient two-step estimator for nonparametric regression function with general parametric error covariance, and develop the corresponding asymptotic theorems. Monte Carlo study shows the relative efficiency loss of MY’s estimator in …
