Papers by Dr. Oluokun Kasali Agunloye
Promoting Statistical Practice and Collaboration in Developing Countries, May 2, 2022
American Journal of Theoretical and Applied Statistics, 2013
This paper examines lag selection problem in unit root tests which has become a major specificati... more This paper examines lag selection problem in unit root tests which has become a major specification problem in empirical analysis of non-stationary time series data. It is known that the implementation of unit root tests requires the choice of optimal truncation lag for good power proper ties and it is equally unrealistic to assume that the true optimal truncation lag is known a prior to the practitioners and other applied researchers. Consequently, these users rely largely on the use of standard information criteria for selection of truncation lag in unit root tests. A number of previous studies have shown that these criteria have problem of over-specification of truncation lag-length leading to the well-known low power problem that is commonly associated with most unit root tests in the literature. This paper focuses on the problem of over-specification of truncation lag-length within the context of augmented Dickey-Fuller (ADF) and generalized least squares Dickey-Fuller (DF-GLS)unit root tests. In an attempt to address this lag selection problem, we propose a new criterion for the selection of truncation lag in unit root tests based on Koyck distributed lag model and we show that this new criterion avoids the problem of over-specification of truncationlag-length that is commonly associated with standard information criteria.
The Engle-Granger cointegration test is highly sensitive to the choice of lag length and the poor... more The Engle-Granger cointegration test is highly sensitive to the choice of lag length and the poor performance of conventional lag selection criteria such as standard information criteria in selecting appropriate optimal lag length for the implementation of the Engle-Granger cointegration test is well-established in the statistical literature. Testing for cointegration within the framework of the residual-based Engle-Granger cointegration methodology is the same as testing for the stationarity of the residual series via the augmented Dickey-Fuller test which is well known to be sensitive to the choice of lag length. Given an array of candidate optimal lag lengths that may be suggested by different standard information criteria, the applied researchers are faced with the problem of deciding the best optimal lag among the candidate optimal lag lengths suggested by different standard information criteria, which are often either underestimated or overestimated. In an attempt to address t...
This paper examines lag selection problem in unit root tests which has become a major specificati... more This paper examines lag selection problem in unit root tests which has become a major specification problem in empirical analysis of non-stationary time series data. It is known that the implementation of unit root tests requires the choice of optimal truncation lag for good power proper ties and it is equally unrealistic to assume that the true optimal truncation lag is known a prior to the practitioners and other applied researchers. Consequently, these users rely largely on the use of standard information criteria for selection of truncation lag in unit root tests. A number of previous studies have shown that these criteria have problem of over-specification of truncation lag-length leading to the well-known low power problem that is commonly associated with most unit root tests in the literature. This paper focuses on the problem of over-specification of truncation lag-length within the context of augmented Dickey-Fuller (ADF) and generalized least squares Dickey-Fuller (DF-GLS)unit root tests. In an attempt to address this lag selection problem, we propose a new criterion for the selection of truncation lag in unit root tests based on Koyck distributed lag model and we show that this new criterion avoids the problem of over-specification of truncationlag-length that is commonly associated with standard information criteria.
Statistics in Transition New Series, 2014
The Engle-Granger cointegration test is highly sensitive to the choice of lag length and the poor... more The Engle-Granger cointegration test is highly sensitive to the choice of lag length and the poor performance of conventional lag selection criteria such as standard information criteria in selecting appropriate optimal lag length for the implementation of the Engle-Granger cointegration test is well-established in the statistical literature. Testing for cointegration within the framework of the residual-based Engle-Granger cointegration methodology is the same as testing for the stationarity of the residual series via the augmented Dickey-Fuller test which is well known to be sensitive to the choice of lag length. Given an array of candidate optimal lag lengths that may be suggested by different standard information criteria, the applied researchers are faced with the problem of deciding the best optimal lag among the candidate optimal lag lengths suggested by different standard information criteria, which are often either underestimated or overestimated. In an attempt to address t...
Solid State Technology, 2020
This paper deals with the modelling of stock market prices using a novel flexible I(d) technique ... more This paper deals with the modelling of stock market prices using a novel flexible I(d) technique for time series analysis. We employ both fractional integration and structural break techniques in studying the monthly share price structure of the Nigerian stock market. Our data span between 1987 and 2017. The results obtained using both parametric and semiparametric methods indicate little evidence of mean reversion since most of the orders of integration are equal to or higher than 1. The possibility of structural breaks is also taken into account and the results indicate the existence of two break dates: one at 1996m1 and the other one at 2005m1. Imposing a white noise process for the d-differenced processes, we notice that the time trend is only required for the first subsample, where the estimated value of d is equal to 0.85, and the unit root null hypothesis cannot be rejected. For the remaining two periods, an intercept seems to be sufficient and the I(1) hypothesis is rejected...
American Journal of Theoretical and Applied Statistics, 2013
This paper examines lag selection problem in unit root tests which has become a major specificati... more This paper examines lag selection problem in unit root tests which has become a major specification problem in empirical analysis of non-stationary time series data. It is known that the implementation of unit root tests requires the choice of optimal truncation lag for good power proper ties and it is equally unrealistic to assume that the true optimal truncation lag is known a prior to the practitioners and other applied researchers. Consequently, these users rely largely on the use of standard information criteria for selection of truncation lag in unit root tests. A number of previous studies have shown that these criteria have problem of over-specification of truncation lag-length leading to the well-known low power problem that is commonly associated with most unit root tests in the literature. This paper focuses on the problem of over-specification of truncation lag-length within the context of augmented Dickey-Fuller (ADF) and generalized least squares Dickey-Fuller (DF-GLS)unit root tests. In an attempt to address this lag selection problem, we propose a new criterion for the selection of truncation lag in unit root tests based on Koyck distributed lag model and we show that this new criterion avoids the problem of over-specification of truncationlag-length that is commonly associated with standard information criteria.
This paper examines lag selection problem in unit root tests which has become a major specificati... more This paper examines lag selection problem in unit root tests which has become a major specification problem in empirical analysis of non-stationary time series data. It is known that the implementation of unit root tests requires the choice of optimal truncation lag for good power proper ties and it is equally unrealistic to assume that the true optimal truncation lag is known a prior to the practitioners and other applied researchers. Consequently, these users rely largely on the use of standard information criteria for selection of truncation lag in unit root tests. A number of previous studies have shown that these criteria have problem of over-specification of truncation lag-length leading to the well-known low power problem that is commonly associated with most unit root tests in the literature. This paper focuses on the problem of over-specification of truncation lag-length within the context of augmented Dickey-Fuller (ADF) and generalized least squares Dickey-Fuller (DF-GLS)unit root tests. In an attempt to address this lag selection problem, we propose a new criterion for the selection of truncation lag in unit root tests based on Koyck distributed lag model and we show that this new criterion avoids the problem of over-specification of truncationlag-length that is commonly associated with standard information criteria.
This paper examines lag selection problem in unit root tests which has become a major specificati... more This paper examines lag selection problem in unit root tests which has become a major specification problem in empirical analysis of non-stationary time series data. It is known that the implementation of unit root tests requires the choice of optimal truncation lag for good power proper ties and it is equally unrealistic to assume that the true optimal truncation lag is known a prior to the practitioners and other applied researchers. Consequently, these users rely largely on the use of standard information criteria for selection of truncation lag in unit root tests. A number of previous studies have shown that these criteria have problem of over-specification of truncation lag-length leading to the well-known low power problem that is commonly associated with most unit root tests in the literature. This paper focuses on the problem of over-specification of truncation lag-length within the context of augmented Dickey-Fuller (ADF) and generalized least squares Dickey-Fuller (DF-GLS)unit root tests. In an attempt to address this lag selection problem, we propose a new criterion for the selection of truncation lag in unit root tests based on Koyck distributed lag model and we show that this new criterion avoids the problem of over-specification of truncationlag-length that is commonly associated with standard information criteria.
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Papers by Dr. Oluokun Kasali Agunloye