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Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria

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  • Luis Alberiko Gil-Alaña

    (Navarra Center for International Development)

  • Olanrewaju L. Shittu
  • OlaOluwa S. Yaya

Abstract

This paper deals with the analysis of the inflation rate in Nigeria. We use long range dependence techniques based on fractional integration or I(d) models, incorporating structural breaks in the model. The results indicate that inflation in Nigeria displays long memory behaviour, with an order of integration of about 0.3 in spite of the existence of breaks at different periods. Including the growth rate of money (M1) as an exogenous term, the results indicate that this variable significantly affects inflation two and three periods (quarters) after the initial shock.

Suggested Citation

  • Luis Alberiko Gil-Alaña & Olanrewaju L. Shittu & OlaOluwa S. Yaya, 2011. "Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria," NCID Working Papers 04/2011, Navarra Center for International Development, University of Navarra.
    • Handle: RePEc:nva:unnvaa:wp04-2011
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    Cited by:

    1. Yaya, OlaOluwa S & Ogbonna, Ahamuefula & Atoi, Ngozi V, 2019. "Are inflation rates in OECD countries actually stationary during 2011-2018? Evidence based on Fourier Nonlinear Unit root tests with Break," MPRA Paper 93937, University Library of Munich, Germany.
    2. Yaya OlaOluwa S., 2018. "Another Look At The Stationarity Of Inflation Rates In Oecd Countries: Application Of Structural Break-Garch-Based Unit Root Tests," Statistics in Transition New Series, Polish Statistical Association, vol. 19(3), pages 477-493, September.
    3. Yaya O. S. & Akintande O. J. & Ogbonna A. E. & Adegoke H. M., 2019. "Cpi Inflation In Africa: Fractional Persistence, Mean Reversion And Nonlinearity," Statistics in Transition New Series, Polish Statistical Association, vol. 20(3), pages 119-132, September.

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    More about this item

    Keywords

    Inflation rate; long memory; mean shifts; money supply;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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