A Multiplicative Autoregressive Integrated Moving Average Model for Kenya’s Inflation (2000:1 – 2013:12)
Science Journal of Applied Mathematics and Statistics
Volume 2, Issue 6, December 2014, Pages: 122-129
Received: Dec. 14, 2014; Accepted: Dec. 23, 2014; Published: Dec. 31, 2014
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Author
Nyabwanga Robert Nyamao, Kisii University, School of Pure and Applied Sciences, Department of Statistics and Actuarial Science, Kisii, Kenya
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Abstract
Using monthly inflation data from January 2000 to December 2013, we find that SARIMA (1,1,1)(1,0,1)12 can represent the data behavior of inflation rate in Kenya well. Based on the selected model, we forecast seven (12) months inflation rates of Kenya outside the sample period (i.e. from January 2014 to December 2014). The observed inflation rates from January to November which were published by Kenya Bureau of Statistics fall within the 95% confidence interval obtained from the designed model. However, the confidence intervals were wider an indication of high volatility of Kenya’s inflation rates.
Keywords
Inflation, Forecasting, Box-Jenkins Approach, Multiplicative ARIMA Model, Unit Root Test, ADF Test, Ljung-Box Test
To cite this article
Nyabwanga Robert Nyamao, A Multiplicative Autoregressive Integrated Moving Average Model for Kenya’s Inflation (2000:1 – 2013:12), Science Journal of Applied Mathematics and Statistics. Vol. 2, No. 6, 2014, pp. 122-129. doi: 10.11648/j.sjams.20140206.14
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