MODELLING OF MONTHLY NIGERIAN EXPORT COMMODITY PRICE INDICES BY SEASONAL BOX-JENKINS METHODS

Ette Harrison Etuk

Department of Mathematics/Computer Science

Rivers State University of Science and Technology, Port Harcourt, Nigeria

Email: ettetuk@yahoo.com                 

ABSTRACT

The time plot of a realisation ECPI of the series in Figure 1 reveals a slightly upward secular trend with no clear seasonal component. Seasonal (i.e. 12-monthly) differencing yields the series SDECPI which has a fairly horizontal trend and still no clear seasonality (see Figure 2). Augmented Dickey Fuller (ADF) unit root test adjudges both series ECPI and SDECPI as non-stationary. Non-seasonal differencing of SDECPI yields the series DSDECPI. Its time plot of Figure 3 reveals an overall horizontal trend and no clear regular seasonality. The ADF test shows that DSDECPI is seasonal. Its autocorrelation function in Figure 4 exhibits a significant negative spike at lag 12, an indication of 12-monthly seasonality and the presence of a seasonal moving average component of order one. Applying Surhatono’s (2011) modelling steps, the initial (0, 1, 1)x(0, 1, 1)₁₂ SARIMA fit is found to be adequate.