Browsing by Author "Mohd Tahir Ismail"

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    A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models
    (Austria Statistical Society, 2022) Saidat Fehintola Olaniran; Mohd Tahir Ismail
    Several authors have studied fractional cointegration in time series data, but little or no consideration has been extended to panel data settings. Therefore, in this paper, we compare the finite sample behaviour of existing fractional cointegration time-series test procedures in panel data settings. This comparison is performed to determine the best tests that can be adapted to fractional cointegration in panel data settings. Specifically, simulation studies and real-life data analysis were performed to study the changes in the empirical type I error rate and power of six semiparametric fractional cointegration tests in panel settings. The various results revealed the limitations of the tests in the nonstationary and low or high correlation of the residual errors conditions. Also, two of the test procedures were recommended for testing the null hypothesis of no fractional cointegration in both time series and panel data settings.
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    Purchasing power parity: The West African experience
    (AIP Publisher, 2021-11-18) Saidat Fehintola Olaniran; Mohd Tahir Ismail
    The fifteen heads of States of the Economic Community of the West African States (ECOWAS) are currently considering a unified currency called “Eco”. This decision suggests the need to study the purchasing power parity (PPP) of the existing currency for the various countries. Thus, in this paper, we investigate the existence of the relative PPP theory over a 50 years period that spanned through 1970 to 2019 for the sixteen West African Countries against the U.S. Dollars using a panel data analysis approach. The two approaches for testing the PPP hypothesis namely; the panel unit root test and the panel cointegration test were employed to check the existence of unit root and or cointegration between the nominal exchange rate of West African countries and price ratio. The results of Im-Pesaran-Shin panel unit root test show that the nominal exchange rate and price ratio panels have a unit root, which implies that the two variables are non-stationary in their level difference and thus they are I(1). On the other hand, the results from the Kao and Westerlund panel cointegration tests supported the existence of a long-run relationship between nominal exchange rate and price ratio. The convergence of the two results shows that there exists a long-run relationship between the two variables as well as a long-run PPP for all the sixteen West African countries. The results of this paper further imply that there is a long-run relationship between relative change in the exchange rate and price ratio for the West African countries over the period reviewed. Therefore, the recent decision to have a unified currency among the ECOWAS countries will yield a meaningful return in the long-run.
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    Testing Absolute Purchasing Power Parity in West Africa Using Fractional Cointegration Panel Approach
    (Elsevier, 2023-03-02) Saidat Fehintola Olaniran; Mohd Tahir Ismail
    One of the most effective ideas for comparing the values of two or more currencies is the purchasing power parity hypothesis (PPP). Most earlier works on PPP focused on using the standard cointegration approach by assuming a unit root for the observed series. This assumption is not always valid, especially in series with short-term dynamics. Thus, in this paper, we developed the fractional cointegrated panel approach for testing the absolute Purchasing Power Parity (PPP) model. The empirical illustration was achieved using the exchange rates and price ratios for the 16 West African countries for 52 years (1970 - 2021). The results from the fractional cointegration test confirm the presence of relative PPP for the panel of countries in the long run, while the estimation of long-run intercepts and cointegration vector confirms the absence of the absolute PPP for the panel of countries.