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Time-Varying Model for Non-Oil Export Volatility in Nigeria

Authors:

Olushina Olawale Awe ,

Anchor University, Lagos, NG
About Olushina Olawale
Department of Mathematical Sciences
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Opeyemi Aromolaran,

North-West University, ZA
About Opeyemi
Department of Economic Sciences
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Abosede Adedayo Adepoju

University of Ibadan, NG
About Abosede Adedayo
Department of Statistics
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Abstract

The study of export volatility is important because it plays important roles in the growth of an economy. Most previous studies on export had concentrated on investigating its dynamics with classical econometric models which have static parameters that are incapable of capturing its associated time-varying dynamics and volatility. This paper proposes a Bayesian time-varying parameter dynamic linear model to investigate major non-oil export predictors in the Nigerian economy. The Kalman filter and Markov chain Monte Carlo (MCMC) algorithm are used to perform posterior Bayesian inference on time-varying parameters which implicitly describes the fluctuating relationships between the key drivers of export in an economy. In particular, we investigate the predictive performance of relevant macroeconomic variables on non-oil export using a Bayesian time-varying parameter model. Empirical results show that Gross Domestic Product (GDP) and Lending Rate predict the level of fluctuation in non-oil export in Nigeria for the period under consideration. Some policy implications and change point analyses of these results are also discussed.
How to Cite: Awe, O.O., Aromolaran, O. and Adepoju, A.A., 2019. Time-Varying Model for Non-Oil Export Volatility in Nigeria. Sri Lankan Journal of Applied Statistics, 20(2), pp.42–54. DOI: http://doi.org/10.4038/sljastats.v20i2.7973
Published on 20 Dec 2019.
Peer Reviewed

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