Modified Autoregressive Model of Stationarity and Non-Stationarity Test of Inflationationary Data in Nigeria

Abstract

This study examines the stationarity and non-stationarity properties of inflationary data in Nigeria using a modified autoregressive model. The analysis utilizes monthly data on selected macroeconomic variables, including Petroleum Motor Spirit (PMS) price, diesel price, kerosene price, gas price, and electricity bill, from 2000 to 2020. The Augmented Dickey-Fuller (ADF) test is employed to determine the stationarity of the data. The results indicate that only the price of gas is stationary under the autoregressive model, while the price of PMS is stationary under the modified autoregressive model. The study also finds that the selected macroeconomic variables are normally distributed under both models.