Application of ARIMAX Model on Forecasting Nigeria’s GDP

Christogonus Ifeanyichukwu Ugoh; Chinwendu Alice Uzuke; Dominic Obioma Ugoh

doi:doi:10.11648/j.ajtas.20211005.12

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Application of ARIMAX Model on Forecasting Nigeria’s GDP

Christogonus Ifeanyichukwu Ugoh, Chinwendu Alice Uzuke, Dominic Obioma Ugoh

Published in American Journal of Theoretical and Applied Statistics (Volume 10, Issue 5)

Received: 12 July 2021 Accepted: 21 July 2021 Published: 29 October 2021

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Abstract

This paper proposes an appropriate ARIMAX model that is used to forecast the Nigeria’s GDP. The data used for the study is sourced from the World Bank for a period of 1990-2019. The ARIMA model is fitted on the residuals using Box-Jenkins approach. The Bayesian Information Criterion (BIC) is adopted to assess the adequacy of the models. The raw data satisfy the assumption of multicollinearity when export is eliminated and the residual series is stationary after the first differencing. This study shows that import is a significant exogenous variable for the GDP dynamics. The ARIMA (0,1,1) with BIC value of 35.253 is considered the appropriate model to be combined with the exogenous variable. The results showed that the ARIMAX (0,1,1) is more ideal and adequate for forecasting Nigeria’s GDP based on the Theil’s U forecast accuracy measures.

Published in	American Journal of Theoretical and Applied Statistics (Volume 10, Issue 5)
DOI	10.11648/j.ajtas.20211005.12
Page(s)	216-225
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2024. Published by Science Publishing Group

Keywords

GDP, Regression, BIC, ARIMA, ARIMAX, Theil’s U Statistic

References

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APA Style

Christogonus Ifeanyichukwu Ugoh, Chinwendu Alice Uzuke, Dominic Obioma Ugoh. (2021). Application of ARIMAX Model on Forecasting Nigeria’s GDP. American Journal of Theoretical and Applied Statistics, 10(5), 216-225. https://doi.org/10.11648/j.ajtas.20211005.12

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ACS Style

Christogonus Ifeanyichukwu Ugoh; Chinwendu Alice Uzuke; Dominic Obioma Ugoh. Application of ARIMAX Model on Forecasting Nigeria’s GDP. Am. J. Theor. Appl. Stat. 2021, 10(5), 216-225. doi: 10.11648/j.ajtas.20211005.12

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AMA Style

Christogonus Ifeanyichukwu Ugoh, Chinwendu Alice Uzuke, Dominic Obioma Ugoh. Application of ARIMAX Model on Forecasting Nigeria’s GDP. Am J Theor Appl Stat. 2021;10(5):216-225. doi: 10.11648/j.ajtas.20211005.12

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@article{10.11648/j.ajtas.20211005.12,
  author = {Christogonus Ifeanyichukwu Ugoh and Chinwendu Alice Uzuke and Dominic Obioma Ugoh},
  title = {Application of ARIMAX Model on Forecasting Nigeria’s GDP},
  journal = {American Journal of Theoretical and Applied Statistics},
  volume = {10},
  number = {5},
  pages = {216-225},
  doi = {10.11648/j.ajtas.20211005.12},
  url = {https://doi.org/10.11648/j.ajtas.20211005.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtas.20211005.12},
  abstract = {This paper proposes an appropriate ARIMAX model that is used to forecast the Nigeria’s GDP. The data used for the study is sourced from the World Bank for a period of 1990-2019. The ARIMA model is fitted on the residuals using Box-Jenkins approach. The Bayesian Information Criterion (BIC) is adopted to assess the adequacy of the models. The raw data satisfy the assumption of multicollinearity when export is eliminated and the residual series is stationary after the first differencing. This study shows that import is a significant exogenous variable for the GDP dynamics. The ARIMA (0,1,1) with BIC value of 35.253 is considered the appropriate model to be combined with the exogenous variable. The results showed that the ARIMAX (0,1,1) is more ideal and adequate for forecasting Nigeria’s GDP based on the Theil’s U forecast accuracy measures.},
 year = {2021}
}

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TY  - JOUR
T1  - Application of ARIMAX Model on Forecasting Nigeria’s GDP
AU  - Christogonus Ifeanyichukwu Ugoh
AU  - Chinwendu Alice Uzuke
AU  - Dominic Obioma Ugoh
Y1  - 2021/10/29
PY  - 2021
N1  - https://doi.org/10.11648/j.ajtas.20211005.12
DO  - 10.11648/j.ajtas.20211005.12
T2  - American Journal of Theoretical and Applied Statistics
JF  - American Journal of Theoretical and Applied Statistics
JO  - American Journal of Theoretical and Applied Statistics
SP  - 216
EP  - 225
PB  - Science Publishing Group
SN  - 2326-9006
UR  - https://doi.org/10.11648/j.ajtas.20211005.12
AB  - This paper proposes an appropriate ARIMAX model that is used to forecast the Nigeria’s GDP. The data used for the study is sourced from the World Bank for a period of 1990-2019. The ARIMA model is fitted on the residuals using Box-Jenkins approach. The Bayesian Information Criterion (BIC) is adopted to assess the adequacy of the models. The raw data satisfy the assumption of multicollinearity when export is eliminated and the residual series is stationary after the first differencing. This study shows that import is a significant exogenous variable for the GDP dynamics. The ARIMA (0,1,1) with BIC value of 35.253 is considered the appropriate model to be combined with the exogenous variable. The results showed that the ARIMAX (0,1,1) is more ideal and adequate for forecasting Nigeria’s GDP based on the Theil’s U forecast accuracy measures.
VL  - 10
IS  - 5
ER  -

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Author Information

Christogonus Ifeanyichukwu Ugoh

Department of Statistics, Faculty of Physical Sciences, Nnamdi Azikiwe University, Awka, Nigeria
Chinwendu Alice Uzuke

Department of Statistics, Faculty of Physical Sciences, Nnamdi Azikiwe University, Awka, Nigeria
Dominic Obioma Ugoh

Department of Statistics, Faculty of Physical Sciences, Nnamdi Azikiwe University, Awka, Nigeria

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Plain Text BibTeX RIS

APA Style

Christogonus Ifeanyichukwu Ugoh, Chinwendu Alice Uzuke, Dominic Obioma Ugoh. (2021). Application of ARIMAX Model on Forecasting Nigeria’s GDP. American Journal of Theoretical and Applied Statistics, 10(5), 216-225. https://doi.org/10.11648/j.ajtas.20211005.12

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ACS Style

Christogonus Ifeanyichukwu Ugoh; Chinwendu Alice Uzuke; Dominic Obioma Ugoh. Application of ARIMAX Model on Forecasting Nigeria’s GDP. Am. J. Theor. Appl. Stat. 2021, 10(5), 216-225. doi: 10.11648/j.ajtas.20211005.12

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AMA Style

Christogonus Ifeanyichukwu Ugoh, Chinwendu Alice Uzuke, Dominic Obioma Ugoh. Application of ARIMAX Model on Forecasting Nigeria’s GDP. Am J Theor Appl Stat. 2021;10(5):216-225. doi: 10.11648/j.ajtas.20211005.12

Copy | Download

@article{10.11648/j.ajtas.20211005.12,
  author = {Christogonus Ifeanyichukwu Ugoh and Chinwendu Alice Uzuke and Dominic Obioma Ugoh},
  title = {Application of ARIMAX Model on Forecasting Nigeria’s GDP},
  journal = {American Journal of Theoretical and Applied Statistics},
  volume = {10},
  number = {5},
  pages = {216-225},
  doi = {10.11648/j.ajtas.20211005.12},
  url = {https://doi.org/10.11648/j.ajtas.20211005.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtas.20211005.12},
  abstract = {This paper proposes an appropriate ARIMAX model that is used to forecast the Nigeria’s GDP. The data used for the study is sourced from the World Bank for a period of 1990-2019. The ARIMA model is fitted on the residuals using Box-Jenkins approach. The Bayesian Information Criterion (BIC) is adopted to assess the adequacy of the models. The raw data satisfy the assumption of multicollinearity when export is eliminated and the residual series is stationary after the first differencing. This study shows that import is a significant exogenous variable for the GDP dynamics. The ARIMA (0,1,1) with BIC value of 35.253 is considered the appropriate model to be combined with the exogenous variable. The results showed that the ARIMAX (0,1,1) is more ideal and adequate for forecasting Nigeria’s GDP based on the Theil’s U forecast accuracy measures.},
 year = {2021}
}

Copy | Download

TY  - JOUR
T1  - Application of ARIMAX Model on Forecasting Nigeria’s GDP
AU  - Christogonus Ifeanyichukwu Ugoh
AU  - Chinwendu Alice Uzuke
AU  - Dominic Obioma Ugoh
Y1  - 2021/10/29
PY  - 2021
N1  - https://doi.org/10.11648/j.ajtas.20211005.12
DO  - 10.11648/j.ajtas.20211005.12
T2  - American Journal of Theoretical and Applied Statistics
JF  - American Journal of Theoretical and Applied Statistics
JO  - American Journal of Theoretical and Applied Statistics
SP  - 216
EP  - 225
PB  - Science Publishing Group
SN  - 2326-9006
UR  - https://doi.org/10.11648/j.ajtas.20211005.12
AB  - This paper proposes an appropriate ARIMAX model that is used to forecast the Nigeria’s GDP. The data used for the study is sourced from the World Bank for a period of 1990-2019. The ARIMA model is fitted on the residuals using Box-Jenkins approach. The Bayesian Information Criterion (BIC) is adopted to assess the adequacy of the models. The raw data satisfy the assumption of multicollinearity when export is eliminated and the residual series is stationary after the first differencing. This study shows that import is a significant exogenous variable for the GDP dynamics. The ARIMA (0,1,1) with BIC value of 35.253 is considered the appropriate model to be combined with the exogenous variable. The results showed that the ARIMAX (0,1,1) is more ideal and adequate for forecasting Nigeria’s GDP based on the Theil’s U forecast accuracy measures.
VL  - 10
IS  - 5
ER  -

Copy | Download