Henry De Graft Acquah - Academia.edu (original) (raw)
Papers by Henry De Graft Acquah
Within the econometric models of asymmetric price transmission, different specifications which de... more Within the econometric models of asymmetric price transmission, different specifications which detect asymmetry at different rates or culminate in different inferences and conclusions have been developed. However, the goal of asymmetric price transmission modelling is to select a single model from a set of competing models that best captures the underlying asymmetric data generating process for derivation of policy conclusions. This leads to issues of model comparison and model selection, measuring the relative merits of alternative specifications and using the appropriate criteria to choose the most reliable method or model specification which best fits or explains a given set of data. The Bayesian theory which provides a flexible and conceptually simple framework for comparing competing models is theoretically introduced and demonstrated in the price transmission models. On the basis of Marginal Likelihood and Information-theoretic Selection Criteria, alternative methods of testing for asymmetry are evaluated when the true asymmetric data generating process is known. Using a Monte Carlo simulation of model selection, the performance of a range of model selection algorithms to clearly identify the true asymmetric data generating process is examined and the effects of the amount of noise in the model, the sample size and the difference in the asymmetric adjustment parameters on model selection are also simulated. The results of 1000 Monte Carlo simulation indicates that information criteria and the marginal likelihood provides a holistic and consistent approach to ranking and selecting among the competing models of asymmetric price transmission. Estimation results with all simulated data are accurate for the true model and the marginal likelihood and information criterion clearly identifies the correct model out of alternative competing models or on the average points to the true asymmetric data generating process. The Monte Carlo simulation results further indicates that the sample size, the difference in the asymmetric adjustment parameters, the number of asymmetric adjustment parameters (i.e. model complexity) and the amount of noise in the model are important in identifying the true asymmetric data generating process. Subsequently, the ability of the model selection procedures to recover the true asymmetry data generating process(i.e. Model Recovery Rates) increases with increases in the difference between the asymmetric adjustments parameters, increases in sample size , i For their contribution to the dissertation process, I express my appreciation to the following:
Journal of development and agricultural economics, 2010
Information criteria provide an attractive basis for model selection. However, little is understo... more Information criteria provide an attractive basis for model selection. However, little is understood about their relative performance in asymmetric price transmission modelling framework. To explore this issue, this research evaluated the performance of the two commonly used model selection criteria, Akaike information criteria (AIC) and Bayesian information criteria (BIC) in discriminating between asymmetric price transmission models under various conditions. Monte Carlo experimentation indicated that the performance of the different model selection criteria are affected by the size of the data, the level of asymmetry and the amount of noise in the model used in the application. The Bayesian information criterion is consistent and outperforms AIC in selecting the suitable asymmetric price relationship in large samples. Key words: Model selection, Akaike’s information criteria (AIC), Bayesian information criteria (BIC), asymmetry, Monte Carlo.
2019 International Conference on Computing, Computational Modelling and Applications (ICCMA), 2019
The Minimum Description Length (MDL), a less known criterion, is making great strides in model se... more The Minimum Description Length (MDL), a less known criterion, is making great strides in model selection as compared to the widely known and used information criteria (AIC, BIC, etc). This study developed the MDL criterion using R-functions to evaluate Asymmetric Price Transmission (APT) models (Complex, Standard and Houck’s) for the first time ever. All six criteria’s ability to recover the true DGP was assessed under the condition of varying sample size. A 1000 Monte Carlo simulation procedure revealed that the MDL criteria on the average points to the true DGP and are comparable (if not better) to both AIC and BIC under study condition. Generally, the performances of all model selection criteria (rMDL, nMDL, gMDL, eMDL, AIC and BIC) improved with increasing sample size in their ability to recover the true DGP for both standard and complex models. This study recommends the use of MDL criterion in model selection and in the light of constraint (financial, time and inadequate resources), a sample size of 150 is sufficient in making sound decisions on asymmetric price models.
2019 International Conference on Computing, Computational Modelling and Applications (ICCMA), 2019
The Minimum Description Length (MDL), a less known criterion, is making great strides in model se... more The Minimum Description Length (MDL), a less known criterion, is making great strides in model selection as compared to the widely known and used information criteria (AIC, BIC, etc). This study developed the MDL criterion using R-functions to evaluate Asymmetric Price Transmission (APT) models (Complex, Standard and Houck’s) for the first time ever. All six criteria’s ability to recover the true DGP was assessed under the condition of varying sample size. A 1000 Monte Carlo simulation procedure revealed that the MDL criteria on the average points to the true DGP and are comparable (if not better) to both AIC and BIC under study condition. Generally, the performances of all model selection criteria (rMDL, nMDL, gMDL, eMDL, AIC and BIC) improved with increasing sample size in their ability to recover the true DGP for both standard and complex models. This study recommends the use of MDL criterion in model selection and in the light of constraint (financial, time and inadequate resources), a sample size of 150 is sufficient in making sound decisions on asymmetric price models.
Applied Studies in Agribusiness and Commerce
This paper introduces the semiparametric error correction model for estimation of export-import r... more This paper introduces the semiparametric error correction model for estimation of export-import relationship as an alternative to the least squares approach. The intent is to demonstrate how semiparametric error correction model can be used to estimate the relationship between Ghana’s export and import within the context of a generalized additive modelling (GAM) framework. The semiparametric results are compared to common parametric specification using the ordinary least squares regression. The results from the semiparametric and parametric error correction models (ECM) indicate that the error correction term and import variable are significant determinants of Ghana’s exports. On the basis of Akaike Information Criteria and Generalized Cross-Validation (GCV) scores, it is found that the semiparametric error correction model provides a better fit than the widely used parametric error correction model for modeling Ghana’s export-import relationship. The results of the analysis of vari...
Applied Studies in Agribusiness and Commerce
This paper introduces interior point algorithm as an alternative approach to simplex algorithm fo... more This paper introduces interior point algorithm as an alternative approach to simplex algorithm for solving farm resource allocation problem. The empirical result of interior point algorithm is compared with that of the simplex algorithm. It goes further to address a profit maximization problem. The result revealed several relevant patterns. Results of the interior point algorithm is similar to that of the simplex algorithm. Findings indicated that in both algorithms, the farm is to produce peppers, wheat which is irrigated and weeded manually, hire additional month of labour, and also purchase urea and muriate fertilizer to realize a similar amount of profit. Additionally, both algorithms suggested that practicing crop rotation where beans, if grown, should be altered with wheat cannot be possible since no beans will be grown. The Simplex algorithm saves 39 iterations over Interior Point algorithm in solving the farm resource allocation problem. The findings demonstrate that the int...
Journal of Social and Development Sciences
The power of the conventional Houck’s model of asymmetry is examined via parametric bootstrap s... more The power of the conventional Houck’s model of asymmetry is examined via parametric bootstrap simulation. The results of the bootstrap simulations indicate that the Houck’s model has low power in rejecting the null of symmetric adjustment. The power of the test depends on the bootstrap sample size, level of asymmetry and the amount of noise in the data generating process used in an application. With a small bootstrap sample and large noise level, the Houck’s model display low power in rejecting the null hypothesis of symmetry.
Journal of Social and Development Sciences
This paper introduces Bayesian analysis and demonstrates its application to parameter estimation ... more This paper introduces Bayesian analysis and demonstrates its application to parameter estimation of the logistic regression via Markov Chain Monte Carlo (MCMC) algorithm. The Bayesian logistic regression estimation is compared with the classical logistic regression. Both the classical logistic regression and the Bayesian logistic regression suggest that higher per capita income is associated with free trade of countries. The results also show a reduction of standard errors associated with the coefficients obtained from the Bayesian analysis, thus bringing greater stability to the coefficients. It is concluded that Bayesian Markov Chain Monte Carlo algorithm offers an alternative framework for estimating the logistic regression model.
Information Management and Business Review
In this paper, I investigate the power of the Granger and Lee model of asymmetry via bootstrap an... more In this paper, I investigate the power of the Granger and Lee model of asymmetry via bootstrap and Monte Carlo techniques. The simulation results indicate that sample size, level of asymmetry and the amount of noise in the data generating process are important determinants of the power of the test for asymmetry based on bootstrap and Monte Carlo techniques. Additionally, the simulation results suggest that both bootstrap and Monte Carlo methods are successful in rejecting the false null hypothesis of symmetric adjustment in large samples with small error size and strong levels of asymmetry. In large samples, with small error size and strong levels of asymmetry, the results suggest that asymmetry test based on Monte Carlo methods achieve greater power gains when compared with the test for asymmetry based on bootstrap. However, in small samples, with large error size and subtle levels of asymmetry, the results suggest that asymmetry test based on bootstrap is more powerful than those ...
Journal of Social and Development Sciences
This study examines the effect of previous price and climatic variables on maize supply in Ghana.... more This study examines the effect of previous price and climatic variables on maize supply in Ghana. For this purpose, two separate approaches are used: (i) a lag model using the OLS technique and (ii) a quantile regression approach. Results from the lag model indicates that an increase in previous year maize price and previous growing season temperature positively affect current year maize supply. However, an increase in previous growing season rainfall negatively affects current year maize supply. The quantile regression results show that maize supply responds differently to previous maize price and climatic variables across the different quantiles of crop area distribution.
Journal of Social and Development Sciences
Climate change tends to have negative effects on crop yield through its influence on crop product... more Climate change tends to have negative effects on crop yield through its influence on crop production. Understanding the relationship between climatic variables, crop area and crop yield will facilitate development of appropriate policies to cope with climate change. This study therefore examines the effects of climatic variables and crop area on maize yield in Ghana based on regression model using historical data (1970-2010). Linear and Non-linear regression model specifications of the production function were employed in the study. The study found that growing season temperature trend is significantly increasing by 0.03oC yearly whereas growing season rainfall trend is insignificantly increasing by 0.25mm on yearly basis. It was also observed that rainfall is becoming increasingly unpredictable with poor distributions throughout the season. Results from the linear and non-linear regression models suggest that rainfall increase and crop area expansion have a positive and significant...
Journal of Economics and Behavioral Studies
This paper introduces and applies the bootstrap method to compare the power of the test for asymm... more This paper introduces and applies the bootstrap method to compare the power of the test for asymmetry in the Granger and Lee (1989) and Von Cramon-Taubadel and Loy (1996) models. The results of the bootstrap simulations indicate that the power of the test for asymmetry depends on various conditions such as the bootstrap sample size, model complexity, difference in adjustment speeds and the amount of noise in the data generating process used in the application. The true model achieves greater power when compared with the complex model. With small bootstrap sample size or large noise, both models display low power in rejecting the (false) null hypothesis of symmetry.
Journal of Economics and Behavioral Studies
Along the basic rationale of the Enke-Samuelson-Takajama-Judge spatial equilibrium theory and the... more Along the basic rationale of the Enke-Samuelson-Takajama-Judge spatial equilibrium theory and the dynamic conceptualizations made from arbitrage processes, the study explores regime-switching techniques in hidden Markov framework. This is motivated by complex non-linear structure inherent in market integration processes, which is derived from multiple equilibria conditions, and transaction costs constrained threshold autoregressive (TAR) effects. These place theoretical limitations on current time series empirical models that are applied in market integration studies. In equilibrium representation, the non-linearities imposed by both alternating rent levels and switching adjustment parameters are directly accommodated. Two synthesized time series market data sets of varying levels of non-linear structures are used to highlight the strengths and limitations of the Markov variants vis-Ã -vis the band-TAR models that have currently dominated market integration analysis. The former mode...
Journal of Economics and Behavioral Studies
The role of model complexity in asymmetric price transmission model selection is not well underst... more The role of model complexity in asymmetric price transmission model selection is not well understood. In order to appreciate the role of model complexity in model selection performance, this study fits alternative asymmetric price transmission models that differ in complexity to simulated data and evaluates the ability of the model selection method to recover the true model. The results of Monte Carlo experimentation suggest that in general BIC, CAIC and DIC were superior to AIC when the true data generating process was the Manning Error Correction model (MECM). However, AIC was more successful when the true model was the Complex Error Correction Model (CECM). The tendency of the complex model (CECM) to over fit the relatively simpler true asymmetric data generating process (MECM) is minimized in larger samples. The research findings demonstrate the role of model complexity in asymmetric price transmission model comparison and selection.
Applied Studies In Agribusiness And Commerce
The study applies the single-stage modelling stochastic frontier approach to investigate the perf... more The study applies the single-stage modelling stochastic frontier approach to investigate the performance of maize farmers in the Ejura-Sekyedumase District of Ghana. It estimates the level of technical efficiency and its determinants for 306 maize farmers. Findings indicated that land, labour and fertilizer influenced output positively whilst agrochemicals and seeds affected output negatively. A wide variation in output was also found among producers of maize. The study further revealed that age, sex and off-farm work activities were significant determinants of technical inefficiencies in production. Results from the maximum likelihood estimate of the frontier model showed that averagely, farmers were 67% technically efficient, implying that 33% of maize yield was not realized. The return to scale which measures the productivity level of farmers was 1.22, suggesting that the farmers are operating at an increasing returns to scale.
Russian Journal of Agricultural and Socio-Economic Sciences, 2013
The power of the Houck's model of asymmetry is examined via bootstrap and Monte Carlo techniques.... more The power of the Houck's model of asymmetry is examined via bootstrap and Monte Carlo techniques. The results of bootstrap and Monte Carlo simulations indicate that the power of the Houck's test for asymmetry depends on sample size, level of asymmetry and the amount of noise in the data generating process. Furthermore, the simulation results suggest that both bootstrap and Monte Carlo methods are effective in rejecting the false null hypothesis of symmetric adjustment in large samples with small error size and strong levels of asymmetry. However, in small samples, with large error size and subtle levels of asymmetry, the results suggest that asymmetry test based on bootstrap are powerful than those based on the Monte Carlo methods. I conclude that both bootstrap and Monte Carlo algorithms provide useful tools for investigating the power of the test of asymmetry.
Russian Journal of Agricultural and Socio-Economic Sciences, 2013
Alternative formulations of the Bayesian Information Criteria provide a basis for choosing betwee... more Alternative formulations of the Bayesian Information Criteria provide a basis for choosing between competing methods for detecting price asymmetry. However, very little is understood about their performance in the asymmetric price transmission modelling framework. In addressing this issue, this paper introduces and applies parametric bootstrap techniques to evaluate the ability of Bayesian Information Criteria (BIC) and Draper's Information Criteria (DIC) in discriminating between alternative asymmetric price transmission models under various error and sample size conditions. The results of the bootstrap simulations indicate that model selection performance depends on bootstrap sample size and the amount of noise in the data generating process. The Bayesian criterion clearly identifies the true asymmetric model out of different competing models in the presence of bootstrap samples. Draper's Information Criteria (DIC; Draper, 1995) outperforms BIC at either larger bootstrap sample size or lower noise level.
Apstract Applied Studies in Agribusiness and Commerce, 2014
This paper highlights the sensitivity of technical efficiency estimates to estimation approaches ... more This paper highlights the sensitivity of technical efficiency estimates to estimation approaches using empirical data. Firm specific technical efficiency and mean technical efficiency are estimated using the non parametric Data Envelope Analysis (DEA) and the parametric Corrected Ordinary Least Squares (COLS) and Stochastic Frontier Analysis (SFA) approaches. Mean technical efficiency is found to be sensitive to the choice of estimation technique. Analysis of variance and Tukey's test suggests significant differences in means between efficiency scores from different methods. In general the DEA and SFA frontiers resulted in higher mean technical efficiency estimates than the COLS production frontier. The efficiency estimates of the DEA have the smallest variability when compared with the SFA and COLS. There exists a strong positive correlation between the efficiency estimates based on the three methods.
Applied Studies In Agribusiness And Commerce, 2016
This paper introduces the rank-based estimation method to modelling the Cobb-Douglas production f... more This paper introduces the rank-based estimation method to modelling the Cobb-Douglas production function as an alternative to the least squares approach. The intent is to demonstrate how a nonparametric regression based on a rank-based estimator can be used to estimate a Cobb-Douglas production function using data on maize production from Ghana. The nonparametric results are compared to common parametric specification using the ordinary least squares regression. Results of the study indicate that the estimated coefficients of the Cobb-Douglas Model using the Least squares method and the rank-based regression analysis are similar. Findings indicated that in both estimation techniques, land and Equipment had a significant and positive influence on output whilst agrochemicals had a significantly negative effect on output. Additionally, seeds which also had a negative influence on output was found to be significant in the robust rank-based estimation, but insignificant in the ordinary least square estimation. Both the least squares and rank-based regression suggest that the farmers were operating at an increasing returns to scale. In effect this paper demonstrate the usefulness of the rank-based estimation in production analysis.
Within the econometric models of asymmetric price transmission, different specifications which de... more Within the econometric models of asymmetric price transmission, different specifications which detect asymmetry at different rates or culminate in different inferences and conclusions have been developed. However, the goal of asymmetric price transmission modelling is to select a single model from a set of competing models that best captures the underlying asymmetric data generating process for derivation of policy conclusions. This leads to issues of model comparison and model selection, measuring the relative merits of alternative specifications and using the appropriate criteria to choose the most reliable method or model specification which best fits or explains a given set of data. The Bayesian theory which provides a flexible and conceptually simple framework for comparing competing models is theoretically introduced and demonstrated in the price transmission models. On the basis of Marginal Likelihood and Information-theoretic Selection Criteria, alternative methods of testing for asymmetry are evaluated when the true asymmetric data generating process is known. Using a Monte Carlo simulation of model selection, the performance of a range of model selection algorithms to clearly identify the true asymmetric data generating process is examined and the effects of the amount of noise in the model, the sample size and the difference in the asymmetric adjustment parameters on model selection are also simulated. The results of 1000 Monte Carlo simulation indicates that information criteria and the marginal likelihood provides a holistic and consistent approach to ranking and selecting among the competing models of asymmetric price transmission. Estimation results with all simulated data are accurate for the true model and the marginal likelihood and information criterion clearly identifies the correct model out of alternative competing models or on the average points to the true asymmetric data generating process. The Monte Carlo simulation results further indicates that the sample size, the difference in the asymmetric adjustment parameters, the number of asymmetric adjustment parameters (i.e. model complexity) and the amount of noise in the model are important in identifying the true asymmetric data generating process. Subsequently, the ability of the model selection procedures to recover the true asymmetry data generating process(i.e. Model Recovery Rates) increases with increases in the difference between the asymmetric adjustments parameters, increases in sample size , i For their contribution to the dissertation process, I express my appreciation to the following:
Journal of development and agricultural economics, 2010
Information criteria provide an attractive basis for model selection. However, little is understo... more Information criteria provide an attractive basis for model selection. However, little is understood about their relative performance in asymmetric price transmission modelling framework. To explore this issue, this research evaluated the performance of the two commonly used model selection criteria, Akaike information criteria (AIC) and Bayesian information criteria (BIC) in discriminating between asymmetric price transmission models under various conditions. Monte Carlo experimentation indicated that the performance of the different model selection criteria are affected by the size of the data, the level of asymmetry and the amount of noise in the model used in the application. The Bayesian information criterion is consistent and outperforms AIC in selecting the suitable asymmetric price relationship in large samples. Key words: Model selection, Akaike’s information criteria (AIC), Bayesian information criteria (BIC), asymmetry, Monte Carlo.
2019 International Conference on Computing, Computational Modelling and Applications (ICCMA), 2019
The Minimum Description Length (MDL), a less known criterion, is making great strides in model se... more The Minimum Description Length (MDL), a less known criterion, is making great strides in model selection as compared to the widely known and used information criteria (AIC, BIC, etc). This study developed the MDL criterion using R-functions to evaluate Asymmetric Price Transmission (APT) models (Complex, Standard and Houck’s) for the first time ever. All six criteria’s ability to recover the true DGP was assessed under the condition of varying sample size. A 1000 Monte Carlo simulation procedure revealed that the MDL criteria on the average points to the true DGP and are comparable (if not better) to both AIC and BIC under study condition. Generally, the performances of all model selection criteria (rMDL, nMDL, gMDL, eMDL, AIC and BIC) improved with increasing sample size in their ability to recover the true DGP for both standard and complex models. This study recommends the use of MDL criterion in model selection and in the light of constraint (financial, time and inadequate resources), a sample size of 150 is sufficient in making sound decisions on asymmetric price models.
2019 International Conference on Computing, Computational Modelling and Applications (ICCMA), 2019
The Minimum Description Length (MDL), a less known criterion, is making great strides in model se... more The Minimum Description Length (MDL), a less known criterion, is making great strides in model selection as compared to the widely known and used information criteria (AIC, BIC, etc). This study developed the MDL criterion using R-functions to evaluate Asymmetric Price Transmission (APT) models (Complex, Standard and Houck’s) for the first time ever. All six criteria’s ability to recover the true DGP was assessed under the condition of varying sample size. A 1000 Monte Carlo simulation procedure revealed that the MDL criteria on the average points to the true DGP and are comparable (if not better) to both AIC and BIC under study condition. Generally, the performances of all model selection criteria (rMDL, nMDL, gMDL, eMDL, AIC and BIC) improved with increasing sample size in their ability to recover the true DGP for both standard and complex models. This study recommends the use of MDL criterion in model selection and in the light of constraint (financial, time and inadequate resources), a sample size of 150 is sufficient in making sound decisions on asymmetric price models.
Applied Studies in Agribusiness and Commerce
This paper introduces the semiparametric error correction model for estimation of export-import r... more This paper introduces the semiparametric error correction model for estimation of export-import relationship as an alternative to the least squares approach. The intent is to demonstrate how semiparametric error correction model can be used to estimate the relationship between Ghana’s export and import within the context of a generalized additive modelling (GAM) framework. The semiparametric results are compared to common parametric specification using the ordinary least squares regression. The results from the semiparametric and parametric error correction models (ECM) indicate that the error correction term and import variable are significant determinants of Ghana’s exports. On the basis of Akaike Information Criteria and Generalized Cross-Validation (GCV) scores, it is found that the semiparametric error correction model provides a better fit than the widely used parametric error correction model for modeling Ghana’s export-import relationship. The results of the analysis of vari...
Applied Studies in Agribusiness and Commerce
This paper introduces interior point algorithm as an alternative approach to simplex algorithm fo... more This paper introduces interior point algorithm as an alternative approach to simplex algorithm for solving farm resource allocation problem. The empirical result of interior point algorithm is compared with that of the simplex algorithm. It goes further to address a profit maximization problem. The result revealed several relevant patterns. Results of the interior point algorithm is similar to that of the simplex algorithm. Findings indicated that in both algorithms, the farm is to produce peppers, wheat which is irrigated and weeded manually, hire additional month of labour, and also purchase urea and muriate fertilizer to realize a similar amount of profit. Additionally, both algorithms suggested that practicing crop rotation where beans, if grown, should be altered with wheat cannot be possible since no beans will be grown. The Simplex algorithm saves 39 iterations over Interior Point algorithm in solving the farm resource allocation problem. The findings demonstrate that the int...
Journal of Social and Development Sciences
The power of the conventional Houck’s model of asymmetry is examined via parametric bootstrap s... more The power of the conventional Houck’s model of asymmetry is examined via parametric bootstrap simulation. The results of the bootstrap simulations indicate that the Houck’s model has low power in rejecting the null of symmetric adjustment. The power of the test depends on the bootstrap sample size, level of asymmetry and the amount of noise in the data generating process used in an application. With a small bootstrap sample and large noise level, the Houck’s model display low power in rejecting the null hypothesis of symmetry.
Journal of Social and Development Sciences
This paper introduces Bayesian analysis and demonstrates its application to parameter estimation ... more This paper introduces Bayesian analysis and demonstrates its application to parameter estimation of the logistic regression via Markov Chain Monte Carlo (MCMC) algorithm. The Bayesian logistic regression estimation is compared with the classical logistic regression. Both the classical logistic regression and the Bayesian logistic regression suggest that higher per capita income is associated with free trade of countries. The results also show a reduction of standard errors associated with the coefficients obtained from the Bayesian analysis, thus bringing greater stability to the coefficients. It is concluded that Bayesian Markov Chain Monte Carlo algorithm offers an alternative framework for estimating the logistic regression model.
Information Management and Business Review
In this paper, I investigate the power of the Granger and Lee model of asymmetry via bootstrap an... more In this paper, I investigate the power of the Granger and Lee model of asymmetry via bootstrap and Monte Carlo techniques. The simulation results indicate that sample size, level of asymmetry and the amount of noise in the data generating process are important determinants of the power of the test for asymmetry based on bootstrap and Monte Carlo techniques. Additionally, the simulation results suggest that both bootstrap and Monte Carlo methods are successful in rejecting the false null hypothesis of symmetric adjustment in large samples with small error size and strong levels of asymmetry. In large samples, with small error size and strong levels of asymmetry, the results suggest that asymmetry test based on Monte Carlo methods achieve greater power gains when compared with the test for asymmetry based on bootstrap. However, in small samples, with large error size and subtle levels of asymmetry, the results suggest that asymmetry test based on bootstrap is more powerful than those ...
Journal of Social and Development Sciences
This study examines the effect of previous price and climatic variables on maize supply in Ghana.... more This study examines the effect of previous price and climatic variables on maize supply in Ghana. For this purpose, two separate approaches are used: (i) a lag model using the OLS technique and (ii) a quantile regression approach. Results from the lag model indicates that an increase in previous year maize price and previous growing season temperature positively affect current year maize supply. However, an increase in previous growing season rainfall negatively affects current year maize supply. The quantile regression results show that maize supply responds differently to previous maize price and climatic variables across the different quantiles of crop area distribution.
Journal of Social and Development Sciences
Climate change tends to have negative effects on crop yield through its influence on crop product... more Climate change tends to have negative effects on crop yield through its influence on crop production. Understanding the relationship between climatic variables, crop area and crop yield will facilitate development of appropriate policies to cope with climate change. This study therefore examines the effects of climatic variables and crop area on maize yield in Ghana based on regression model using historical data (1970-2010). Linear and Non-linear regression model specifications of the production function were employed in the study. The study found that growing season temperature trend is significantly increasing by 0.03oC yearly whereas growing season rainfall trend is insignificantly increasing by 0.25mm on yearly basis. It was also observed that rainfall is becoming increasingly unpredictable with poor distributions throughout the season. Results from the linear and non-linear regression models suggest that rainfall increase and crop area expansion have a positive and significant...
Journal of Economics and Behavioral Studies
This paper introduces and applies the bootstrap method to compare the power of the test for asymm... more This paper introduces and applies the bootstrap method to compare the power of the test for asymmetry in the Granger and Lee (1989) and Von Cramon-Taubadel and Loy (1996) models. The results of the bootstrap simulations indicate that the power of the test for asymmetry depends on various conditions such as the bootstrap sample size, model complexity, difference in adjustment speeds and the amount of noise in the data generating process used in the application. The true model achieves greater power when compared with the complex model. With small bootstrap sample size or large noise, both models display low power in rejecting the (false) null hypothesis of symmetry.
Journal of Economics and Behavioral Studies
Along the basic rationale of the Enke-Samuelson-Takajama-Judge spatial equilibrium theory and the... more Along the basic rationale of the Enke-Samuelson-Takajama-Judge spatial equilibrium theory and the dynamic conceptualizations made from arbitrage processes, the study explores regime-switching techniques in hidden Markov framework. This is motivated by complex non-linear structure inherent in market integration processes, which is derived from multiple equilibria conditions, and transaction costs constrained threshold autoregressive (TAR) effects. These place theoretical limitations on current time series empirical models that are applied in market integration studies. In equilibrium representation, the non-linearities imposed by both alternating rent levels and switching adjustment parameters are directly accommodated. Two synthesized time series market data sets of varying levels of non-linear structures are used to highlight the strengths and limitations of the Markov variants vis-Ã -vis the band-TAR models that have currently dominated market integration analysis. The former mode...
Journal of Economics and Behavioral Studies
The role of model complexity in asymmetric price transmission model selection is not well underst... more The role of model complexity in asymmetric price transmission model selection is not well understood. In order to appreciate the role of model complexity in model selection performance, this study fits alternative asymmetric price transmission models that differ in complexity to simulated data and evaluates the ability of the model selection method to recover the true model. The results of Monte Carlo experimentation suggest that in general BIC, CAIC and DIC were superior to AIC when the true data generating process was the Manning Error Correction model (MECM). However, AIC was more successful when the true model was the Complex Error Correction Model (CECM). The tendency of the complex model (CECM) to over fit the relatively simpler true asymmetric data generating process (MECM) is minimized in larger samples. The research findings demonstrate the role of model complexity in asymmetric price transmission model comparison and selection.
Applied Studies In Agribusiness And Commerce
The study applies the single-stage modelling stochastic frontier approach to investigate the perf... more The study applies the single-stage modelling stochastic frontier approach to investigate the performance of maize farmers in the Ejura-Sekyedumase District of Ghana. It estimates the level of technical efficiency and its determinants for 306 maize farmers. Findings indicated that land, labour and fertilizer influenced output positively whilst agrochemicals and seeds affected output negatively. A wide variation in output was also found among producers of maize. The study further revealed that age, sex and off-farm work activities were significant determinants of technical inefficiencies in production. Results from the maximum likelihood estimate of the frontier model showed that averagely, farmers were 67% technically efficient, implying that 33% of maize yield was not realized. The return to scale which measures the productivity level of farmers was 1.22, suggesting that the farmers are operating at an increasing returns to scale.
Russian Journal of Agricultural and Socio-Economic Sciences, 2013
The power of the Houck's model of asymmetry is examined via bootstrap and Monte Carlo techniques.... more The power of the Houck's model of asymmetry is examined via bootstrap and Monte Carlo techniques. The results of bootstrap and Monte Carlo simulations indicate that the power of the Houck's test for asymmetry depends on sample size, level of asymmetry and the amount of noise in the data generating process. Furthermore, the simulation results suggest that both bootstrap and Monte Carlo methods are effective in rejecting the false null hypothesis of symmetric adjustment in large samples with small error size and strong levels of asymmetry. However, in small samples, with large error size and subtle levels of asymmetry, the results suggest that asymmetry test based on bootstrap are powerful than those based on the Monte Carlo methods. I conclude that both bootstrap and Monte Carlo algorithms provide useful tools for investigating the power of the test of asymmetry.
Russian Journal of Agricultural and Socio-Economic Sciences, 2013
Alternative formulations of the Bayesian Information Criteria provide a basis for choosing betwee... more Alternative formulations of the Bayesian Information Criteria provide a basis for choosing between competing methods for detecting price asymmetry. However, very little is understood about their performance in the asymmetric price transmission modelling framework. In addressing this issue, this paper introduces and applies parametric bootstrap techniques to evaluate the ability of Bayesian Information Criteria (BIC) and Draper's Information Criteria (DIC) in discriminating between alternative asymmetric price transmission models under various error and sample size conditions. The results of the bootstrap simulations indicate that model selection performance depends on bootstrap sample size and the amount of noise in the data generating process. The Bayesian criterion clearly identifies the true asymmetric model out of different competing models in the presence of bootstrap samples. Draper's Information Criteria (DIC; Draper, 1995) outperforms BIC at either larger bootstrap sample size or lower noise level.
Apstract Applied Studies in Agribusiness and Commerce, 2014
This paper highlights the sensitivity of technical efficiency estimates to estimation approaches ... more This paper highlights the sensitivity of technical efficiency estimates to estimation approaches using empirical data. Firm specific technical efficiency and mean technical efficiency are estimated using the non parametric Data Envelope Analysis (DEA) and the parametric Corrected Ordinary Least Squares (COLS) and Stochastic Frontier Analysis (SFA) approaches. Mean technical efficiency is found to be sensitive to the choice of estimation technique. Analysis of variance and Tukey's test suggests significant differences in means between efficiency scores from different methods. In general the DEA and SFA frontiers resulted in higher mean technical efficiency estimates than the COLS production frontier. The efficiency estimates of the DEA have the smallest variability when compared with the SFA and COLS. There exists a strong positive correlation between the efficiency estimates based on the three methods.
Applied Studies In Agribusiness And Commerce, 2016
This paper introduces the rank-based estimation method to modelling the Cobb-Douglas production f... more This paper introduces the rank-based estimation method to modelling the Cobb-Douglas production function as an alternative to the least squares approach. The intent is to demonstrate how a nonparametric regression based on a rank-based estimator can be used to estimate a Cobb-Douglas production function using data on maize production from Ghana. The nonparametric results are compared to common parametric specification using the ordinary least squares regression. Results of the study indicate that the estimated coefficients of the Cobb-Douglas Model using the Least squares method and the rank-based regression analysis are similar. Findings indicated that in both estimation techniques, land and Equipment had a significant and positive influence on output whilst agrochemicals had a significantly negative effect on output. Additionally, seeds which also had a negative influence on output was found to be significant in the robust rank-based estimation, but insignificant in the ordinary least square estimation. Both the least squares and rank-based regression suggest that the farmers were operating at an increasing returns to scale. In effect this paper demonstrate the usefulness of the rank-based estimation in production analysis.