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

Luis Gil-Alana, Olanrewaju L. Shittu and Olaoluwa Yaya

No 04/2011, NCID Working Papers from Navarra Center for International Development, University of Navarra

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.

Keywords: Inflation rate; long memory; mean shifts; money supply (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2011-05
References: Add references at CitEc
Citations: View citations in EconPapers (3)

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