Omorogbe Joseph Asemota’s research while affiliated with National Institute for Legislative studies and other places

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Publications (7)


Kalman Filter and Structural Change Revisited: An Application to Foreign Trade-Economic Growth Nexus
  • Chapter

January 2019

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168 Reads

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1 Citation

Studies in Computational Intelligence

Omorogbe Joseph Asemota

In the last two decades, Nigeria’s economy has been affected by several shocks such as the 1985-86 oil price crash; 1997 Asian financial crisis; 2008-2009 global financial crisis, oil price crash that started in 2014 as well as political uncertainties in the country. Parameters of econometric models are dependent on prevailing policy and will react to policy changes. Yet, previous researches on trade-growth modelling in Nigeria had assumed parameter constancy over time. Thus, this paper constructed a time varying parameter model for trade-growth nexus and demonstrated how the model can be useful in the detection of structural breaks and outliers. The paper first demonstrated via the rolling regression method that the parameters have been time dependent and proceeded with the Kalman filter to estimate the transition of the changing parameters of the trade-growth nexus. Thereafter, it presented applications to show how the auxiliary residuals of the model can be used to detect the time of structural breaks and outliers.



An Application of Asymmetric GARCH Models on Volatility of Banks Equity in Nigeria's Stock Market
  • Thesis
  • Full-text available

June 2017

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12 Reads

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1 Citation

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated models using standard criteria, EGARCH (1, 1) and CGARCH (1, 1) model in Student's t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered for robustness of results. We also recommend for adequate regulatory effort by the CBN over commercial banks operations that will enhance efficiency of their stocks performance and reduce volatility aimed at boosting investors' confidence in the banking sector.

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State space versus SARIMA modeling of the Nigeria’s crude oil export

November 2016

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82 Reads

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7 Citations

Sri Lankan Journal of Applied Statistics

This paper analyzes the Nigeria’s crude oil export series using monthly data from January 1999 to December 2014. We employed the state space local level model with stochastic and deterministic seasonal to model the dynamic features in the Nigeria crude oil export. Our results clearly indicate that the local level model with deterministic seasonal is the most parsimonious model between the two state space models considered in this study. Also, a parsimonious SARIMA model is also fitted to the data. We compare the forecasting performance of the two parsimonious models and evaluate their forecasts using ex-post indicators such as mean absolute percentage error (MAPE), root mean square percentage error (RMSPE) and the Theil’s U statistic. The forecast analysis and evaluation results indicate that the state space local level model with deterministic seasonal outperforms the Box-Jenkins model in shorter and medium – range forecasting horizons. Howbeit, the forecast of the SARIMA model improves in the longer horizon. The Theil’s U statistic also indicates that the state space local level model with deterministic seasonal and SARIMA model outperform the naive model at most of the forecasting horizons. In conclusion, we recommend that the state space model with deterministic seasonal component should be used in shorter and medium range forecasting horizons of the Nigeria’s monthly crude oil export. Howbeit, for longer forecasting horizon, ten months and above, the seasonal ARIMA model should be considered.


Figure 1. Time Series Plots of Inflation and Interest Rates for the ECOWAS countries  
Table 1 . Unit root tests without structural breaks
Figure 2. Kalman Filter Estimate of the Fisher Coefficient for the ECOWAS Countries
Fisher Effect, Structural Breaks and Outliers Detection in ECOWAS Countries

May 2015

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211 Reads

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9 Citations

This paper empirically investigates the Fisher effect in selected ECOWAS countries by employing annual data from 1961 to 2011. The inflation and interest rates for Burkina Faso, Cȏte d'Ivoire, Gambia, Ghana, Niger, Nigeria, Senegal and Togo are used in the study. Firstly, we investigate the order of integration of the 16 time series using the augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) unit root tests as a confirmatory test. Our empirical results indicate that inference based on the ADF and the Phillips-Perron test displays a considerable degree of robustness to the method of lag selection and the correction for heteroskedasticity and autocorrelation adopted, however, the robustness of the KPSS test to the method of computation of the long-run variance seems to be weak. On allowing for structural breaks, we found more evidence against the unit root hypothesis. Secondly, the Fisher equation is cast in the state space framework and the Kalman filter is applied to estimate the slope parameter. Our state space model results indicate that the strength of the Fisher effect does vary over time. For the ECOWAS countries; in some periods there appears to be a full Fisher effect, while in other periods, the relationship seems to be partial and non-existing at some other periods. The Harvey-Koopman procedure is also employed to detect the time of structural breaks and outliers in the state space model. We recommend that monetary authorities in the ECOWAS countries should aimed at making effective monetary policies and demonstrate strong commitments to monetary targets in order to strengthen the Fisher relation.


Table 4 .3: OLS estimates of the long-run models (dependent variable ln jt TA )
Table 4 .4: Engle and Granger Cointegration Test
Modeling Tourism Demand in Japan Using Cointegration and Error correction Model

March 2012

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942 Reads

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13 Citations

This paper uses annual macroeconomic data from 1962-2009 to investigate the long-run and short-run relationship in tourists’ arrival to Japan from five major Western countries. The augmented Dickey-Fuller (ADF) test is used to determine the order of integration of the series, and we employ the Engle-Granger cointegration procedure to test for the presence of long-run relationship. The results of the cointegration indicate that there is a long-run relationship between tourists’ arrival series and the causal variables. Both the short-run and long-run models indicate that GDP per capita in tourists’ origin country is the most significant factor influencing the inflow of visitors into Japan. The price elasticity and price of tourism in alternative destinations are found to be significant in some cases. The long-run and error correction models clearly indicate that the U.S.A and Canada have the highest fidelity to tourism in Japan among the five Western countries considered.


A Kalman Filter Approach to Fisher Effect: Evidence from Nigeria

62 Reads

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16 Citations

This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full Fisher effect from 1961:1-2009:4. This result indicates that nominal interest rates do not respond one-for-one to changes in inflation rates in the long run despite the presence of positive relationship among the variables. Our study recommends the adoption of potent policies aimed at checking inflation so as to help reduce high interest rates in order to stimulate growth in the economy.

Citations (7)


... Asemota and Ekejiuba [6] examined the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. ...

Reference:

Financial Time Series Analysis via Backtesting Approach
An Application of Asymmetric GARCH Models on Volatility of Banks Equity in Nigeria's Stock Market

... For example, ref. [21] proposed a class of time-varying parameter autoregressive models and proved the equivalence of the Kalman-smoothed estimate and generalized least squares estimate. Following this lead, [22] developed a trade growth relationship model with time-varying parameters and estimated the transition of changing parameters with a Kalman filter. Both of them all involved cases of Gaussian and linear parameters. ...

Kalman Filter and Structural Change Revisited: An Application to Foreign Trade-Economic Growth Nexus
  • Citing Chapter
  • January 2019

Studies in Computational Intelligence

... Because our data are annual, and components of the budget are flow variables that take the value zero at the beginning of the time and the most significant value at the end, only a trend component exists in the time series analysis. For the above reasons, it is evident that we must take into consideration the concept of structural break as stated by Asemota and Agbailu (2017). In a time series analysis, a structural break refers to a significant change in time series data's underlying structure or behaviour. ...

Structural breaks and unit root in macroeconomic time series: evidence from Nigeria
  • Citing Article
  • August 2017

Sri Lankan Journal of Applied Statistics

... The use of tourism demand theory as an instrument in tourist behaviour analysis usually puts the output measurement or quick result as a dependent variable. Several variables used to measure the results of tourism service are: 1 International Tourist Arrivals (Brakke, 2005;Botti et al., 2006, Larson, 2008Kareem, 2008;Altin & Uysal, 2009;Padhan, 2011;Rochester, 2011;Asemota & Bala, 2012;Webb & Chotithamwattana, 2013;Athanasopoulos et al., 2013;Mamula, 2015;Mei, 2015;Sinaj, 2015;Amalia, 2015;Ulfa, 2016;Mariyono, 2017) 2 Average Length of Stay (Teresa & Amaral, 2000). 3 Visitor/Tourists Consumption Expenditure (Proença & Soukiazis, 2005;Song et al., 2008) The number of foreign tourists visits becomes the mostly used dependent variable compared to the length of stay and travel expenses. ...

Modeling Tourism Demand in Japan Using Cointegration and Error correction Model

... The relationship between nominal interest rate and inflation has attracted the attention of both academics and policy makers ever since the emergence of Fisher Effect (FE) or Fisher Hypothesis (FH) [18]. This hypothesis implies that a fully anticipated once-and-for-all change in expected inflation does not affect the real interest rate [19], [20], [21], [22], [23]. The study aims to cover the period after adoption of Structural Adjustment Program (SAP) by the Nigerian government in 1985. ...

Fisher Effect, Structural Breaks and Outliers Detection in ECOWAS Countries

... In the 1970s, revenue accruing to the country from oil became the major source of government revenue (Akpanta and Okorie, 2014). Between 1965 and 2000, Nigeria's per capita oil revenue increased from 33 USD to 325 USD (Asemota, 2016). Moreover, crude oil constituted about 40 percent of government revenues and oil resources generated over $391.6 billion to government revenues between 1970 and 2005, accounting for about 77.1% of the entire government revenue over the period (Akpan, 2006;Karl, 2007;Ogunleye, 2008;Adetunji et al, 2013). ...

State space versus SARIMA modeling of the Nigeria’s crude oil export
  • Citing Article
  • November 2016

Sri Lankan Journal of Applied Statistics

... With respect to African countries, the studies by Obi et al. (2009), Muse and Alimi (2012) and Awomuse and Alimi (2012) provided evidence supporting the long-run partial Fisher effect for Nigeria, while Asemota and Bala (2011) and Ogbonna (2013) found no evidence of Fisher effect for Nigeria. Mitchell-Innes et al. (2008) also found evidence supporting the partial Fisher hypothesis over the period of inflation targeting (2000)(2001)(2002)(2003)(2004)(2005) in South Africa. ...

A Kalman Filter Approach to Fisher Effect: Evidence from Nigeria