Forecasting Monthly Inflation Rate in Nigeria Using Causal and Invertible Autoregressive Moving Average Models
1 Department of Statistics, Obafemi Awolowo University, Ile Ife, Nigeria
* Corresponding author: kagunloye@oauife.edu.ng
* Corresponding author: kagunloye@oauife.edu.ng
Abstract
This paper evaluates causal and invertible ARMA models for forecasting Nigeria’s inflation rate. After testing stationarity and fitting candidates, the ARMA(1, 4)
model emerged as optimal. It satisfies causality, invertibility, and outperforms alternatives across loss functions.
Keywords
Causality
Invertibility
Forecasting
Loss Function & Unit Root Test
How to Cite
Agunloye, O. K., & Alamu, K. A. (2025). Forecasting Monthly Inflation Rate in Nigeria Using Causal and Invertible Autoregressive Moving Average Models. Nigerian Journal of Mathematics and Applications, 35(1), 82-90. https://doi.org/10.67897/njma.2025.4ciazhok
O. K. Agunloye, and K. A. Alamu, "Forecasting Monthly Inflation Rate in Nigeria Using Causal and Invertible Autoregressive Moving Average Models," Nigerian Journal of Mathematics and Applications, vol. 35, no. 1, pp. 82-90, June 2025. doi: 10.67897/njma.2025.4ciazhok
