Start Submission Become a Reviewer

Reading: State space versus SARIMA modeling of the Nigeria’s crude oil export

Download

A- A+
dyslexia friendly

Articles

State space versus SARIMA modeling of the Nigeria’s crude oil export

Author:

Omorogbe Joseph Asemota

University of Abuja, NG
About Omorogbe Joseph
Department of Statistics
X close

Abstract

This paper analyzes the Nigeria’s crude oil export series using monthly data from January 1999 to December 2014. We employed the state space local level model with stochastic and deterministic seasonal to model the dynamic features in the Nigeria crude oil export. Our results clearly indicate that the local level model with deterministic seasonal is the most parsimonious model between the two state space models considered in this study. Also, a parsimonious SARIMA model is also fitted to the data. We compare the forecasting performance of the two parsimonious models and evaluate their forecasts using ex-post indicators such as mean absolute percentage error (MAPE), root mean square percentage error (RMSPE) and the Theil’s U statistic. The forecast analysis and evaluation results indicate that the state space local level model with deterministic seasonal outperforms the Box-Jenkins model in shorter and medium – range forecasting horizons. Howbeit, the forecast of the SARIMA model improves in the longer horizon. The Theil’s U statistic also indicates that the state space local level model with deterministic seasonal and SARIMA model outperform the naïve model at most of the forecasting horizons. In conclusion, we recommend that the state space model with deterministic seasonal component should be used in shorter and medium range forecasting horizons of the Nigeria’s monthly crude oil export. Howbeit, for longer forecasting horizon, ten months and above, the seasonal ARIMA model should be considered.
How to Cite: Asemota, O.J., (2016). State space versus SARIMA modeling of the Nigeria’s crude oil export. Sri Lankan Journal of Applied Statistics. 17(2), pp.87–108. DOI: http://doi.org/10.4038/sljastats.v17i2.7872
Published on 09 Nov 2016.
Peer Reviewed

Downloads

  • PDF (EN)

    comments powered by Disqus