Saheed Busayo Akanni

6 Questions 13 Answers 0 Followers

Questions related from Saheed Busayo Akanni

Why do we use log-retuns in financial time series modelling?

Dear Scholars, In financial time series modelling, the usual practice is to model the financial variable using the log-return. Why can't we model the financial time series using the price? I am...

31 October 2023 3,603 6 View

Calculation of simple returns and log returns for S&P500 in R studio?

Good morning scholars! Please kindly guide on how to calculate daily simple returns and simple log returns in R. I have calculated these values in other statistical packages successfully but the...

14 March 2023 4,097 0 View

Can ARDL (p,q) model be fitted to purely level stationary (i.e. I(0)s series?

In practice, regression of level stationary series on another level stationary series is non-spurious. But can we apply ARDL (p,q) model to level stationary series knowing fully well that it's...

15 October 2021 8,894 1 View

In using ARDL model, which of the criterion is the best among AIC, SC and Hannan-Quinn criterion?

I'm using ARDL model to analyze some variables, which of the criterion should I use? AIC or Hànnan Quinn in Eviews 9?

06 October 2021 5,398 12 View

How to properly determine the true order of integration of time series variables?

Good day scholars, In order to properly determine the true order of integration of X, Y and Z series, I subjected each series to Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and...

07 July 2021 3,476 5 View

Does Cochrane-Orcult estimator captures endogeneity problem in a Time series regression?

Good day Scholars I am currently working on a time-series regression with endogeneity problem. I just want to know if Cochrane orcult estimator performs better than the two-stage estimator in a...

22 June 2021 2,217 3 View