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A Multiplicative Seasonal Arima Model for Nigerian Unemployment Rates

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Abstract:

Time series analysis of Nigerian Unemployment Rates is done. The data used is monthly from 1948 to 2008. The time plot reveals a slightly positive trend with no clear seasonality. A multiplicative seasonal model is suggestive given seasonality that typically tends to increase with time. Seasonal differencing once produced a series with no trend nor discernible stationarity. A non-seasonal differencing of the seasonal differences yielded a series with no trend but with a correlogram revealing stationarity of order 12, a nonseasonal autoregressive component of order 3 and a seasonal moving average component of order 1. A multiplicative seasonal autoregressive integrated moving average (ARIMA) model, (3, 1, 0)x(0, 1, 1)12, is fitted to the series. It has been shown to be adequate.

Info:

Periodical:
The Bulletin of Society for Mathematical Services and Standards (Volume 3)
Pages:
46-53
DOI:
10.18052/www.scipress.com/BSMaSS.3.46
Citation:
E. H. Etuk "A Multiplicative Seasonal Arima Model for Nigerian Unemployment Rates", The Bulletin of Society for Mathematical Services and Standards, Vol. 3, pp. 46-53, 2012
Online since:
Sep 2012
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