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ARIMA forecast of Nigerian inflation rates with Covid-19 pandemic event in focus

Author

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  • Emmanuel Akingbola ODUNTAN

    (American University of Nigeria, Yola, Adamawa State, Nigeria)

  • Olusola Osho AJAYI

    (American University of Nigeria, Yola, Adamawa State, Nigeria)

Abstract

We modelled Nigeria Inflation rate using univariate time series methodology. A data set covering January 2003 to June 2022 was divided into two time periods, vis-à-vis, Pre COVID-19 pandemic event period and the Combined period (combination of both pre-COVID-19 and COVID-19 periods). This was done with a view to examining the effect of COVID-19 pandemic on the data generation mechanism of Nigeria Inflation rate. The Inflation rate data was found to be non-stationary and was appropriately differenced to attain stationarity. ARIMA models were fitted for the two scenarios using Box Jenkins methodology. Appropriate diagnostic analysis was conducted and the estimated models were used for forecasting. While the estimated model for Pre COVID-19 event series yielded forecast rates that suggest an onward rise in Nigeria Inflation rate, the Combined period model yielded forecast rates that suggest a downward movement of the Inflation rate.

Suggested Citation

  • Emmanuel Akingbola ODUNTAN & Olusola Osho AJAYI, 2023. "ARIMA forecast of Nigerian inflation rates with Covid-19 pandemic event in focus," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(637), W), pages 83-98, Winter.
    • Handle: RePEc:agr:journl:v:4(637):y:2023:i:4(637):p:83-98
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    References listed on IDEAS

    as
    1. Ismail Genc & Minsoo Lee & Candelaria Rodríguez & Zachary Lutz, 2007. "Time Series Analysis of Inflation Targeting in Selected Countries," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 10(1), pages 15-27.
    2. Ette Harrison Etuk, 2012. "Predicting Inflation Rates Of Nigeria Using A Seasonal Box-Jenkins Model," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 1(3), pages 1-3.
    3. Ismail Genc & Minsoo Lee & Candelaria Rodríguez & Zachary Lutz, 2007. "Time Series Analysis of Inflation Targeting in Selected Countries," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 10(1), pages 15-27.
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