Time Series Modeling and Forecasting Inflation: Evidence from Nigeria

The International Journal of Business and Finance Research, Vol. 8 (2) pp. 41-51, 2014

12 Pages Posted: 2 Feb 2014

See all articles by Ikechukwu Kelikume

Ikechukwu Kelikume

Pan-Atlantic University - Lagos Business School

Adedoyin Salami

Lagos Business School

Date Written: 2014

Abstract

A major concern of entrepreneurs and monetary authorities in Nigeria in the past decades was successful prediction general price level movements. The results allow successful planning on the part of monetary authorities and continued profit drive on the part of entrepreneurs and investors. This study uses a univariate model in the form of Autoregressive Integrated Moving Average model developed by Box and Jenkins and multivariate time series model in the form of Vector Autoregressive model to forecast inflation for Nigeria. This paper use changes in monthly consumer price index obtained from the National Bureau of Statistics and the Central bank of Nigeria over the period 2003 to 2012 to predict movements in the general price level. Based on different diagnostic and evaluation criteria, the best forecasting model for predicting inflation in Nigeria is identified. The results will enable policy makers and businesses to track the performance and stability of key macroeconomic indicators using the forecasted inflation.

Keywords: Modeling Inflation, Forecasting, ARIMA, VAR

JEL Classification: E3 E17, E31

Suggested Citation

Kelikume, Ikechukwu and Salami, Adedoyin, Time Series Modeling and Forecasting Inflation: Evidence from Nigeria (2014). The International Journal of Business and Finance Research, Vol. 8 (2) pp. 41-51, 2014, Available at SSRN: https://ssrn.com/abstract=2322918

Ikechukwu Kelikume (Contact Author)

Pan-Atlantic University - Lagos Business School ( email )

Km 22 Lekki Epe Expressway
Ajah
Lagos
Nigeria

Adedoyin Salami

Lagos Business School ( email )

Km 22 Lekki Epe Expressway
Ajah
Lagos
Nigeria
+234-1-4616170 (Phone)
+234-1-4616173 (Fax)

HOME PAGE: http://www.lbs.edu.ng

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