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An Empirical Assessment of the Impact of Nigerian all Share Index, Market Capitalization, and Number of Equities on Gross Domestic Product

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Open Journal of Statistics 2018年第3期8卷 584-602页

作者： Obubu Maxwell Obiora-Ilouno Happiness Uzuke Chinwendu Alice Ikediuwa Udoka Chinedu Department of Statistics Nnamdi Azikiwe University Awka Nigeria

A stock exchange is an exchange where stock brokers and traders can buy and sell shares of stock, bonds, and other securities. All listings are included in the Nigerian Stock Exchange All Shares index. In terms of market capitalization, the Nigerian Stock Exchange is the third largest stock exchange in Africa. Objectives: The paper assesses the impact of Nigerian Stock Market (all share index, market capitalization, and number of equities) on Gross domestic product (Economic Growth). Materials and Methods: Regression analysis and ordinary least square technique were employed. Result and Discussion: The series was stationary at 1%, 5%, and 10% α level;the residuals were normally distributed but not serially correlated at 5% α level. All Share Index, Market Capitalization and Total Number of listed Equities have a joint and individual significant effect on Economic Growth (Gross Domestic Product) with Total Number of listed Equities having a negative (opposite) linear relationship with the Gross Domestic Product. The Durbin-Watson statistics (R2 = 0.9910 = 1.3686) suggest that the model is not spurious and it is devoid of positive and negative autocorrelation (DW = 1.3686 > dl = 1.07 and DW = 1.5033 ?-?du = 2.17). Therefore, it can produce meaningful result when used for forecasting a positive relationship between gross domestic product, all share index and market capitalization with a 99.1% R-square value. Significant Positive connection between all share index, market capitalization, the number of equities and gross domestic product suggests that government policies and bills aimed towards rapid development of the capital market should be initiated.

关键词： Nigerian Stock Market Gross Domestic Product Market Capitalization All Share Index Augmented Dickey-Fuller Test breusch-godfrey Test Serial Correlation Lm Test

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How to Detect and Remove Temporal Autocorrelation in Vehicular Crash Data

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Journal of Transportation Technologies 2017年第2期7卷 133-147页

作者： Azad Abdulhafedh University of Missouri-Columbia MO USA

Temporal autocorrelation (also called serial correlation) refers to the relationship between successive values (i.e. lags) of the same variable. Although it has long been a major concern in time series models, however, in-depth treatments of temporal autocorrelation in modeling vehicle crash data are lacking. This paper presents several test statistics to detect the amount of temporal autocorrelation and its level of significance in crash data. The tests employed are: 1) the Durbin-Watson (DW);2) the breusch-godfrey (LM);and 3) the Ljung-Box Q (LBQ). When temporal autocorrelation is statistically significant in crash data, it could adversely bias the parameter estimates. As such, if present, temporal autocorrelation should be removed prior to use the data in crash modeling. Two procedures are presented in this paper to remove the temporal autocorrelation: 1) Differencing;and 2) the Cochrane-Orcutt method.

关键词： Serial Correlation Durbin-Watson breusch-godfrey Ljung-Box Differencing Cochrane-Orcutt

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台商直接投资对福建经济增长影响的实证分析

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亚太经济 2008年第6期 97-100页

作者：吴德进福建社科院经济所副所长福州350001

根据1989-2007年福建省统计数据,运用协整检验、breusch-godfrey检验和Granger因果检验,对台商直接投资(TDI)与福建经济增长关系进行实证分析,并就扩大利用台资,提高利用质量提出了政策建议。

关键词：台商直接投资 (TDI) 经济增长协整检验 breusch-godfrey 检验

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