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
Views 2644      Downloads 174
Nyabwanga Robert Nyamao, Kisii University, School of Pure and Applied Sciences, Department of Statistics and Actuarial Science, Kisii, Kenya
Article Tools
Follow on us
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.
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
Akaike, H. (1974). A New Look at the Statistical Model Identification. IEEE Transactions on Automatic Control 19 (6): 716-723.
Akofio-Sowah (2009) Akofio-Sowah, N, (2009).Is there a link between Exchange Rate pass-through and the monetary regime: Evidence from Sub-Saharan Africa and Latin America. International Atlantic Economic Society. Available: http://www.springerlink.com
Box, G. E. P and Jenkins, G.M., (1976). “Time series analysis: Forecasting and control,” Holden-Day, San Francisco.
Buckman A. and Mintah A. (2013). An Autoregressive Integrated Moving Average (ARIMA) Model For Ghana’s Inflation (1985 – 2011).Mathematical Theory and Modeling Vol.3, No.3, 2013. www.iiste.org
Dickey, D.A. & Fuller, W.A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057-1072.
Fisher, S., Sahay, R.&Vegh, C. (2002). “Modern Hyper-and High Inflation” .Journal of Economic Literature,. 40, 837-80
Fritzer, F., Gabriel, M. and Johann, S. (2002). "Forecasting Austrian HICP and its Components using VAR and ARIMA Models," Working Papers 73, Oesterreichische National bank (Austrian Central Bank).
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. & Shin, Y. (1992): Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root. Journal of Econometrics 54, 159–178.
Mishkin, F. (2008).Exchange Rate Pass-through and Monetary Policy
Otu, A., Osuji, G., Opara, J., Mbachu, H. and Iheagwara A. (2014). Application of Sarima Models in Modelling and Forecasting Nigeria’s Inflation Rates. American Journal of Applied Mathematics and Statistics, 2014, Vol. 2, No. 1, 16-28
Rotich, H., Kathanje, M &Maana, I. (2007). A monetary policy reaction function for Kenya. Paper Presented During the 13th Annual African Econometric SocietyConference in Pretoria, South Africa from 9th to 11th July 2008.
Stokes, G. (2009). FA news on line South Africa’s premier financial and advisory news and information portal.
Webster, D. (2000). Webster's New Universal Unabridged Dictionary. Barnes & Noble Books, New York
Science Publishing Group
1 Rockefeller Plaza,
10th and 11th Floors,
New York, NY 10020
Tel: (001)347-983-5186