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A SARIMA Fit to Monthly Nigerian Import Commodity Price Indices

Author

Listed:
  • Ette Harrison Etuk
  • Belief Nsirimobi Elenga
  • Maxwell Awoingo Adonijah
  • Wokoma Dagogo Samuel Allen
  • Felicia Ette Etuk

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.

Suggested Citation

  • Ette Harrison Etuk & Belief Nsirimobi Elenga & Maxwell Awoingo Adonijah & Wokoma Dagogo Samuel Allen & Felicia Ette Etuk, 2014. "A SARIMA Fit to Monthly Nigerian Import Commodity Price Indices," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 3(5), pages 306-313.
    • Handle: RePEc:rss:jnljee:v3i5p4
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    References listed on IDEAS

    as
    1. Paul, Ranjit Kumar & Panwar, Sanjeev & Sarkar, Susheel Kumar & Kumar, Anil & Singh, K.N. & Farooqi, Samir & Choudhary, Vipin Kumar, 2013. "Modelling and Forecasting of Meat Exports from India," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 26(2).
    2. Ette Harrison Etuk & Nathaniel Ojekudo, 2014. "Another Look at the Sarima Modelling of the Number of Dengue Cases in Campinas, State of Sao Paulo, Brazil," International Journal of Natural Sciences Research, Conscientia Beam, vol. 2(9), pages 156-164.
    3. Ette Harrison Etuk & Nathaniel Ojekudo, 2014. "Another Look at the Sarima Modelling of the Number of Dengue Cases in Campinas, State of Sao Paulo, Brazil," International Journal of Natural Sciences Research, Conscientia Beam, vol. 2(9), pages 156-164.
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