A SARIMA Fit to Monthly Nigerian Import Commodity Price Indices
Journal Title: Journal of Empirical Economics - Year 2014, Vol 3, Issue 5
Abstract
This work involves the modelling of monthly Nigerian import commodity price indices. The actual realization analyzed is from 2000 to 2012 with January 2007 as the base period. The time plot shows a generally upward trend with no clear seasonal pattern. However an inspection of the series reveals a seasonal pattern, ten of the thirteen yearly minimums lying in the first half of the year and eight of the yearly maximums lying in the last third of the year. Twelve-monthly differencing of the series yields another series with a flatter trend and still an unclear seasonality. Augmented Dickey-Fuller (ADF) tests adjudge both of the above-mentioned series as non-stationary. Non-seasonal differencing of the seasonal differences yields a series which is considered stationary by the ADF tests. From its correlogram the suggestive models are SARIMA(0, 1, 1)x(0, 1, 1)12 model and SARIMA(0, 1, 1)x(1, 1, 1)12 model. The estimate of the first model is non-invertible. The estimate of the second model is found to have uncorrelated residuals. Hence it is adequate. Forecasting of the series may be done on its basis.
Authors and Affiliations
Ette Harrison Etuk, Belief Nsirimobi Elenga, Maxwell Awoingo Adonijah, Wokoma Dagogo Samuel Allen , Felicia Ette Etuk
Keywords
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