STRUCTURAL MODEL FOR THE ANALYSIS OF NIGERIA CONSUMER PRICE INDEX (CPI)

Title of Publication: STRUCTURAL MODEL FOR THE ANALYSIS OF NIGERIA CONSUMER PRICE INDEX (CPI)
Author(s): Agwuegbo S.O.N, Asiribo O.E, Maduegbuna A.N
Year of Publication: 2009
Abstract
The analysis of Consumer Price Indexes (CPI) is dominated by fluctuations of the trend and cycle, and for certain months, it is the seasonal variations that affect these changes. Monthly CPI is an aggregate, with lots of irregularities making it difficult to define the path of the process. In this paper, we developed a structural model for the analyses of the Nigerian CPI data. The procedure is based on the relationship between the state space and the autoregressive and moving average (ARMA) model. The time series procedure from S-PLUS software is used in the analyses and the optimal AR fitting of the CPI data is at p=1, where the AIC is at minimum and which corresponds to the same model we identified for the series by using the sample ACF and PACF.

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