Tag Archives: Unit Root

Autoregressive Integrated Moving Average (Arima) Model for the Major Airline Disasters in the World from 1960 Through 2013 (Published)

This research fit a univariate time series model to the major Airline Disasters in the world from 1960 through 2013. The Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) model was estimated and the best fitting ARIMA model was used to obtain the post-sample forecasts for five years. The fitted model was ARIMA (0,1,1) with Akaike Information Criteria (AIC) of 323.14, Normalized Bayesian Information Criteria (BIC) of 327.04, Stationary R2 of 0.348.This model was further validated by Ljung-Box test with no significant Autocorrelation between the residuals at different lag times and subsequently by white noise of residuals from the diagnostic checks performed which clearly portray randomness of the standard error of the residuals, no significant spike in the residual plots of ACF and PACF. The forecasts value indicates that Airline Disasters will increase slightly with almost equal number of cases for the next five years (2014-2018).

Keywords: ARIMA, Airline Disasters, Box- Jenkins, Forecast, Ljung-Box, Stationarity, Time Series, Unit Root

Estimating Money Demand for Ghana (Published)

The study suggested that money demand function for Ghana using M1 and M2 remained relatively unstable between 1991 and 2011 as evidenced by trends in recursive residual and the cumulative sums of squared residuals derived from the estimated models. However, real money demand function for broad money (M2+) was found to be stable relative to real money   demand functions estimated using for M1 and M2 as dependent variables. The study therefore concluded that real money demand function for M1 and M2 are remained relatively unstable in Ghana compared with real money demand function for broad money which exhibits some degree of stability.

Keywords: Demand, Money, Recursive, Unit Root