Rationalizing an Econometric Test Model: An Empirical Investigation of ARCH Family Models

Selecting an appropriate econometric testing model is of high value to scholars of this field. The central focus of this paper is to empirically investigate the rationality and appropriateness of an econometric testing model for time series macroeconomic variables that exhibit clustering volatility. We test the India’s Producer Price Index (PPI) covering the period January 01, 1947 to October 30, 2015 arranged on monthly basis by using the ARCH family models. The empirical investigation and statistical analysis show that among ARCH, GARCH, TARCH, PARCH and EGARCH models, the most rationale and appropriate testing model for PPI and as such variables that share common nature is the GARCH model as its statisitical result displays lower values for AIC, SIC and HIC that positively correspond with theoretical foundation of the econometric literature and satisfy the philosophical requirements. 

Exchange rate re-examined: The varying impact of import and export on exchange rate volatility

This paper examines the varying impact of the Import and Export on the impulsiveness nature of the Exchange Rate in four EU (European Union) economies such as Austria, Germany, France and Italy for a period of 56 years from 1960 – 2015. In achieving an accurate result for testing this competing null hypothesis, variables are pooled by regression and the computation of random effects model is found to be rational upon which, the ultimate conclusion is drawn. The statistical results obtained from random effects model show that export is not a significant variable to impact the exchange rate while the import is found to be significant to impact the impulsiveness of the exchange rate across the economies over the concerned period of time. The validity and non-existence of cross sectional independence is further documented by statistical results obtained from the Hausman test

An economic growth model: Evaluating the interaction of market consumption with GDP growth rate in Afghanistan

In this paper, we argue that the market consumption is one of the major and significant elements of Gross Domestic Product driver in Afghanistan for which the competeting null hypothesis that consumption drives the GDP growth is tested. The statistical analysis based on Semi-long regression economic growth model shows a significant corresponding probability value of 0.000 which shows that consumption drives GDP growth while the coefficient exhibits 0.1534 or 15.34% growth of GDP driven by consumption throughout the period 2001 to 2014. Further statistical analysis obtained from the Breusch-Godfrey and Breusch – Pegan-Godfrey LM tests for investigating the existence of any serial correlation within the series support us to reject the null hypothesis that there is no serial correlation within the series. On the other hand, the Jarque-Bera test of normality shows a p-value of 0.3099 which is significant and further documents that the residuals are random and normally distributed within the series

Is CPI generated from stationary process? An investigation on unit root hypothesis of India’s CPI

In this paper, the Consumer Price Index (CPI) of India is tested on whether it is generated from a stationary process for the purpose of which, a set of time series data on CPI with 4,420 observation arranged on daily basis from November 10, 2003 to December 16, 2015 is retrieved from the official website of National Bureau of Economic Research. The testing procedure includes fitted OLS regression on which the Augmented Dickey Fuller (ADF) and Phillips-Perron (PP) unit root test are computed. The statistical analysis of both ADF and PP exhibit a smaller test statistic value for CPI than the critical value at 0.05 which means that CPI is not generated from a stationary process and it follows unit root at level, though, it does not follow unit root and it is stationary at its first difference. Therefore, we reject the null hypothesis in favor of the alternative

Impact of Organization Internal Factors on Ethical Intensity of Accountants in Afghanistan

This study aims to investigate the correlation and consistency of the internal factors to organization that affect the ethical intensity of accountants at workplace in Afghanistan. To investigate this, an ethical scenario based questionnaire was developed and distributed to 250 professional and non-professional accountants who work in auditing and accounting firms in Afghanistan. For statistical analysis, ∂ Cronbach’s model is initially applied and it is further tested by KMO, Bartlett’s test and factor analysis to assure an accurate result. The statistical analysis reflects a highly reliable ∂ ≥ 0.9 of the data and indicates a strong correlation of the internal factors by + ≥ 0.68 (F1 through F10) that affect the ethical intensity of the accountants. The constructed null hypothesis is tested and on the basis of the statistical analysis and the result of study, it is therefore refuted

Impact of Organization Internal Factors on Ethical Intensity of Accountants in Afghanistan

This study aims to investigate the correlation and consistency of the internal factors to organization that affect the ethical intensity of accountants at workplace in Afghanistan. To investigate this, an ethical scenario based questionnaire was developed and distributed to 250 professional and non-professional accountants who work in auditing and accounting firms in Afghanistan. For statistical analysis, ∂ Cronbach’s model is initially applied and it is further tested by KMO, Bartlett’s test and factor analysis to assure an accurate result. The statistical analysis reflects a highly reliable ∂ ≥ 0.9 of the data and indicates a strong correlation of the internal factors by + ≥ 0.68 (F1 through F10) that affect the ethical intensity of the accountants. The constructed null hypothesis is tested and on the basis of the statistical analysis and the result of study, it is therefore refuted

Annotating Sales to Price Panel: An Economic Theory of Volume to Value Relation with Technology Assisted Education in Afghanistan

Computer Assisted Education skills have opened a new era in the system of education around the globe and one of the building blocks in its adaptation in Afghanistan is the economic aspect of its acquisition and utilization which has weakened the process. In this paper, we test the significance of value to volume of the laptops being sold to and utilized by the students and lecturers at school and university levels throughout the period 2002 to 2014 paneling in five laptop retailing companies in Afghanistan. Using Pooled OLS Regression and Fixed Effect Models to test the impact of the panel data, the result shows a significant impact of the sales value on the sale volume of the laptops during the stated period of time. It is also found that the drop in price had increased the sale volume in the stated entities, while cash discount did not reflect a significant value to affect the sales volume overtime

Annotating Sales to Price Panel: An Economic Theory of Volume to Value Relation with Technology Assisted Education in Afghanistan

Computer Assisted Education skills have opened a new era in the system of education around the globe and one of the building blocks in its adaptation in Afghanistan is the economic aspect of its acquisition and utilization which has weakened the process. In this paper, we test the significance of value to volume of the laptops being sold to and utilized by the students and lecturers at school and university levels throughout the period 2002 to 2014 paneling in five laptop retailing companies in Afghanistan. Using Pooled OLS Regression and Fixed Effect Models to test the impact of the panel data, the result shows a significant impact of the sales value on the sale volume of the laptops during the stated period of time. It is also found that the drop in price had increased the sale volume in the stated entities, while cash discount did not reflect a significant value to affect the sales volume overtime

Modelling the Clustering Volatility of India's Wholesales Price Index and the Factors Affecting it

This paper proposes to examine the clustering volatility of India’s Wholesale Price Index throughout the period 1960 to 2014 by applying the ARCH(1) and GARCH(1) model. The pre-conditional requirement for the computation of ARCH (1,1) required us to perform several other tests i.e. Dickey Fuller, Ordinary Least Squared Regression and post OLS tests for investigating the ARCH effect in the first difference of WPI. The statistical analysis reveals a p-value of the GARCH mean model by 0.569 which is not significant at α 0.05 to explain that the previous period’s volatility can influence the WPI and the coefficient of WPI at first difference exhibits a value of less than 1 which is nice in magnitude with a p-value of ARCH by 0.005 at ∂ 0.05 which is significant to explain the volatility of WPI. The diagnostic test of autocorrelation in the residuals reveals that the residuals are white noise by exhibiting a corresponding probability value of 0.3757. Since, the overarching objective of this paper is to examine the clustering volatility of the aforementioned variable with regards to internal shocks, there might have been other factors of external shocks on WPI that are deliberately overlooked in this paper

Re-examining money demand function for South Asian economies

This study explores the stability of the money demand function in South Asia using the cash-in-advance theory of cointegrated monetary predictors. Due to the stationarity of the variables, the study employs CS-ARDL (cross-sectional augmented autoregressive distributed lags), and the ARDL models for panel and country-specific analysis, respectively. The short- and long-term elasticities disclose robust and significant statistical evidence of a nexus between the real monetary aggregate and the predictors, in the panel and across South Asia. The findings also reveal that real income, the real exchange rate, and foreign interest rates positively influence the real monetary aggregate, whereas the domestic interest rate and the inflation rate have contractionary effects. Besides, the results indicate that the money demand function is stable in Bangladesh, Bhutan, India, Pakistan, and the Maldives, while the findings support only partial stability in Afghanistan, Nepal, and Sri Lanka. The findings suggest that South Asian countries make significant allowance for the vital substitutional effects of currency on domestic holdings when articulating monetary policies. It also suggests that South Asian countries may need to build stronger coordination with respect to their monetary attempts as a “regional bloc” rather than autonomous monetary policies