FACULTY OF SCIENCE

Permanent URI for this communityhttps://repository.ui.edu.ng/handle/123456789/266

Browse

Filters

2013 - 20142

Settings

Author: search.filters.author.Ojo, O. O.Has files: Yes

Search Results

Now showing 1 - 2 of 2
  • Thumbnail Image
    Item
    Evaluation of simultaneous equation techniques in the presence of misspecification error: a Monte Carlo approach
    (2014) Ojo, O. O.; Adepoju, A. A.
    One of the assumptions of Classical Linear Regression Model (CLRMA), is that the regression model be ‘correctly’ specified. If the model is not ‘correctly’ specified, the problem of model misspecification error arises. The objective of the study is to know the performances of the estimator and also the estimator that is greatly affected by misspecification error due to omission of relevant explanatory variable. Four simultaneous equation techniques (OLS, 2SLS, 3SLS, LIML) were applied to a two-equation model and investigated on their performances when plagued with the problem of misspecification error. A Monte Carlo method simulation method was employed to investigate the effect of these estimators due to misspecification of the model. The findings revealed that the estimates obtained by 2SLS and 3SLS are similar and variances by all the estimates reduced consistently as the sample size increases. The study had revealed that 2 3 SLS performed best using average of parameter criterion while OLS generated the least variances. LIML is mostly affected by misspecification
  • Thumbnail Image
    Item
    Estimation of garch models for Nigerian exchange rates under non-gaussian innovations
    (2013) Adepoju, A. A.; Yaya, O. S.; Ojo, O. O.
    Financial series often displays evidence of leptokurticity and in that case, the empirical distribution often fails normality. GARCH models were initially based on normality assumption but estimated model based on this assumption cannot capture all the degree of leptokurticity in the return series. In this paper, we applied variants of GARCH models under non-normal innovations-t-distribution and Generalized Error Distribution (GED) on selected Nigeria exchange rates. The Berndt, Hall, Hall, Hausman (BHHH) numerical derivatives applied in the estimation of models converged faster and the time varied significantly across models. Asymmetric GARCH model with t-distribution (GARCH-t) was selected in most of the cases whereas for Nigeria-US Dollar exchange rate, GARCH-GED was specified. Both distributions showed evidence of leptokurticity in Naira exchange rate return series. The result is of practical importance to practitioners