African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 3976

Full Length Research Paper

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

Luis A. Gil-Alana1*, Olanrewaju I. Shittu2, OlaOluwa S. Yaya2
1Faculty of Economics, University of Navarra, Pamplona, Spain. 2University of Ibadan, Oyo State, Nigeria.
Email: [email protected]

  •  Accepted: 01 August 2011
  •  Published: 25 January 2012

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.

 

Key words: Inflation rate, long memory, structural breaks, mean shifts, money supply.

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