SEASONAL BOX-JENKINS MODELLING OF NIGERIAN MONTHLY CRUDE OIL EXPORTS

Ette Harrison Etuk

Department of Mathematics/Computer Science,

Rivers State University of Science and Technology, Nigeria

Email: ettetuk@yahoo.com

ABSTRACT

The time plot of the original series NCOE reveals a negative secular trend between 2006 and 2009 after which the trend tends to be increasing up to 2011. Seasonality is not so evident. A twelve-month (i.e. seasonal) differencing was done to yield the series SDNCOE with a generally positive trend and not so regular seasonality. Further nonseasonal differencing yielded a series DSDNCOE with no trend. Its correlogram reveals a seasonality of order 12, a seasonal moving average component of order 1 and an autocorrelation structure of a (0, 1, 1)x(0, 1, 1)₁₂ model. Therefore the model was proposed and fitted to the series. Diagnostic checking results show that the model is adequate.

Keywords: Seasonal Models, Box-Jenkins methodology, Crude Oil Exports, Nigeria.