Parameter Comparisons on Multivariate Time Series Analysis; a Case Study of GDP Growth Rate in Nigeria

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International Journal of Research and Innovation in Applied Science (IJRIAS) | Volume VI, Issue III, March 2021|ISSN 2454-6194

Parameter Comparisons on Multivariate Time Series Analysis; a Case Study of GDP Growth Rate in Nigeria

Ekpenyong, Aniedi Moses, Ette Harrison Etuk
Department of Mathematics, Rivers State University, Port Harcourt, Nigeria
Corresponding Author

IJRISS Call for paper

Abstract :In this work, multivariate Time Series “vector Autoregressive Model” was applied to analyze the Gross Domestics Product (GDP) growth rate of five (5) sectors namely: Agriculture, Industries, Building/Construction, Wholesales/Retails, and Services. The data was collected from the National Bureau of Statistics, range quarterly from 1985 to 2017, a total of 33years. Real (R) software was adopted to analyze the model. The data were grouped into 10 pairs of 2 parameter variables, 10 combinations of 3 parameters variables, 5 combinations of 4 parameters variables, and the complete 5 parameter variables. In each group, the best model was selected and Lag’s using Akaike Information Criteria, in the group of 2 parameters variables the pairs of Building/Construction and Services was selected as the best model with the smallest of AIC (-11.8996) at lag (5). Building/ Construction, Wholesales/Retails, and Services pairs were selected, as the best model in the group of 3 parameters variables with an AIC value of (-17.0510). In the group of 4 parameters variables, the combination of Agriculture, Building/Construction, Wholesales/Retails, and Services was selected as the best model with an AIC value of (-22.0743) as the smallest at lag (5). In complete parameters variables, Agriculture, Industries, Building/Construction, Wholesales/Retails, and Services, the best lag was selected as lag (5) with the smallest AIC value of (-25.8996). In comparison, the best model of 2 parameters with an AIC value of (-11.973) at lag (5) was compared with that of the complete 5 parameters variables with an AIC value of (-25.8996), the results showed that the larger the parameters the better the model.

Keyword: Agriculture, Industries, Building/Construction, Wholesale/Retail, Services, GDP, and Parameter.

I. INTRODUCTION

Over the years, Nigeria’s economy has not been stable and, as a result, the country has faced some economic problems, threats, or shocks that have been internal and external for centuries. Internally, the outcome of expenditure and consumption trends, as well as insufficient public policy replacement and shifts in perceptions. The crises, as externally, may be the result of population growth, revolution or war, etc. Every country’s economic growth reflects its capacity to increase the production of services, and goods. It specifically describes an increase in a country’s Gross Domestic Product (GDP). Gross Domestic Product (GDP) is the market value of all services and goods produced in a country within one year. GDP growth rate is also referred to as an icon because it is a measure or an indicator of economic