Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks

Jonathan Atsua Ikughur; Patience Onuche Agada; Alhaji Godwin

doi:doi:10.11648/j.ijsd.20200603.12

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Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks

Jonathan Atsua Ikughur, Patience Onuche Agada, Alhaji Godwin

Published in International Journal of Statistical Distributions and Applications (Volume 6, Issue 3)

Received: 14 April 2019 Accepted: 27 May 2020 Published: 10 September 2020

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Abstract

This study modeled the effect of Revenue, Expenditure, Foreign Direct Investment and Exchange rate on Nigerian Gross Domestic Product (obtained from CBN from 1961-2010) in the presence of heteroskedasticity on Nigeria’s macroeconomic variables using the Weighted Least Squares method. Furthermore, it investigated the changing structures in the data using Bai and Perron structural breaks approach. Results showed the existence of heteroskedasticity and the model with correction for heteroskedasticity shows that Revenue, Expenditure, Foreign Direct Investment provides a positive and significant effect on GDP while the Exchange rate negatively affect the GDP while the model with heteroskedasticity showed that Revenue, Expenditure, Foreign Direct Investment significantly affect GDP positively while Exchange rate has negative effect on the GDP. The model with correction for heteroskedasticity is by far more efficient than the model with heteroskedasticity as evidenced by the information as well as other adequacy criteria. Finally, the Bai-Perron Multiple Breakpoint Test identified five (5) breaks within this periods namely; 1973, 1980, 1987, 1994 and 2001 and this persistent break is not healthy for economic growth of Nigeria.

Published in	International Journal of Statistical Distributions and Applications (Volume 6, Issue 3)
DOI	10.11648/j.ijsd.20200603.12
Page(s)	47-56
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2020. Published by Science Publishing Group

Keywords

Model, Macroeconomic Variables, Heteroskedasticity, Structural Breaks

References

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APA Style

Jonathan Atsua Ikughur, Patience Onuche Agada, Alhaji Godwin. (2020). Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks. International Journal of Statistical Distributions and Applications, 6(3), 47-56. https://doi.org/10.11648/j.ijsd.20200603.12

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ACS Style

Jonathan Atsua Ikughur; Patience Onuche Agada; Alhaji Godwin. Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks. Int. J. Stat. Distrib. Appl. 2020, 6(3), 47-56. doi: 10.11648/j.ijsd.20200603.12

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AMA Style

Jonathan Atsua Ikughur, Patience Onuche Agada, Alhaji Godwin. Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks. Int J Stat Distrib Appl. 2020;6(3):47-56. doi: 10.11648/j.ijsd.20200603.12

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@article{10.11648/j.ijsd.20200603.12,
  author = {Jonathan Atsua Ikughur and Patience Onuche Agada and Alhaji Godwin},
  title = {Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks},
  journal = {International Journal of Statistical Distributions and Applications},
  volume = {6},
  number = {3},
  pages = {47-56},
  doi = {10.11648/j.ijsd.20200603.12},
  url = {https://doi.org/10.11648/j.ijsd.20200603.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijsd.20200603.12},
  abstract = {This study modeled the effect of Revenue, Expenditure, Foreign Direct Investment and Exchange rate on Nigerian Gross Domestic Product (obtained from CBN from 1961-2010) in the presence of heteroskedasticity on Nigeria’s macroeconomic variables using the Weighted Least Squares method. Furthermore, it investigated the changing structures in the data using Bai and Perron structural breaks approach. Results showed the existence of heteroskedasticity and the model with correction for heteroskedasticity shows that Revenue, Expenditure, Foreign Direct Investment provides a positive and significant effect on GDP while the Exchange rate negatively affect the GDP while the model with heteroskedasticity showed that Revenue, Expenditure, Foreign Direct Investment significantly affect GDP positively while Exchange rate has negative effect on the GDP. The model with correction for heteroskedasticity is by far more efficient than the model with heteroskedasticity as evidenced by the information as well as other adequacy criteria. Finally, the Bai-Perron Multiple Breakpoint Test identified five (5) breaks within this periods namely; 1973, 1980, 1987, 1994 and 2001 and this persistent break is not healthy for economic growth of Nigeria.},
 year = {2020}
}

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TY  - JOUR
T1  - Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks
AU  - Jonathan Atsua Ikughur
AU  - Patience Onuche Agada
AU  - Alhaji Godwin
Y1  - 2020/09/10
PY  - 2020
N1  - https://doi.org/10.11648/j.ijsd.20200603.12
DO  - 10.11648/j.ijsd.20200603.12
T2  - International Journal of Statistical Distributions and Applications
JF  - International Journal of Statistical Distributions and Applications
JO  - International Journal of Statistical Distributions and Applications
SP  - 47
EP  - 56
PB  - Science Publishing Group
SN  - 2472-3509
UR  - https://doi.org/10.11648/j.ijsd.20200603.12
AB  - This study modeled the effect of Revenue, Expenditure, Foreign Direct Investment and Exchange rate on Nigerian Gross Domestic Product (obtained from CBN from 1961-2010) in the presence of heteroskedasticity on Nigeria’s macroeconomic variables using the Weighted Least Squares method. Furthermore, it investigated the changing structures in the data using Bai and Perron structural breaks approach. Results showed the existence of heteroskedasticity and the model with correction for heteroskedasticity shows that Revenue, Expenditure, Foreign Direct Investment provides a positive and significant effect on GDP while the Exchange rate negatively affect the GDP while the model with heteroskedasticity showed that Revenue, Expenditure, Foreign Direct Investment significantly affect GDP positively while Exchange rate has negative effect on the GDP. The model with correction for heteroskedasticity is by far more efficient than the model with heteroskedasticity as evidenced by the information as well as other adequacy criteria. Finally, the Bai-Perron Multiple Breakpoint Test identified five (5) breaks within this periods namely; 1973, 1980, 1987, 1994 and 2001 and this persistent break is not healthy for economic growth of Nigeria.
VL  - 6
IS  - 3
ER  -

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Author Information

Jonathan Atsua Ikughur

Department of Mathematics/Statistics/Computer Science, College of Science, Federal University of Agriculture, Makurdi, Nigeria
Patience Onuche Agada

Department of Mathematics/Statistics/Computer Science, College of Science, Federal University of Agriculture, Makurdi, Nigeria
Alhaji Godwin

Monitoring and Evaluation Division, Planning, Research and Monitoring Department, National Health Insurance Scheme, Garki, Abuja, Nigeria

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APA Style

Jonathan Atsua Ikughur, Patience Onuche Agada, Alhaji Godwin. (2020). Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks. International Journal of Statistical Distributions and Applications, 6(3), 47-56. https://doi.org/10.11648/j.ijsd.20200603.12

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ACS Style

Jonathan Atsua Ikughur; Patience Onuche Agada; Alhaji Godwin. Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks. Int. J. Stat. Distrib. Appl. 2020, 6(3), 47-56. doi: 10.11648/j.ijsd.20200603.12

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AMA Style

Jonathan Atsua Ikughur, Patience Onuche Agada, Alhaji Godwin. Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks. Int J Stat Distrib Appl. 2020;6(3):47-56. doi: 10.11648/j.ijsd.20200603.12

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@article{10.11648/j.ijsd.20200603.12,
  author = {Jonathan Atsua Ikughur and Patience Onuche Agada and Alhaji Godwin},
  title = {Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks},
  journal = {International Journal of Statistical Distributions and Applications},
  volume = {6},
  number = {3},
  pages = {47-56},
  doi = {10.11648/j.ijsd.20200603.12},
  url = {https://doi.org/10.11648/j.ijsd.20200603.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijsd.20200603.12},
  abstract = {This study modeled the effect of Revenue, Expenditure, Foreign Direct Investment and Exchange rate on Nigerian Gross Domestic Product (obtained from CBN from 1961-2010) in the presence of heteroskedasticity on Nigeria’s macroeconomic variables using the Weighted Least Squares method. Furthermore, it investigated the changing structures in the data using Bai and Perron structural breaks approach. Results showed the existence of heteroskedasticity and the model with correction for heteroskedasticity shows that Revenue, Expenditure, Foreign Direct Investment provides a positive and significant effect on GDP while the Exchange rate negatively affect the GDP while the model with heteroskedasticity showed that Revenue, Expenditure, Foreign Direct Investment significantly affect GDP positively while Exchange rate has negative effect on the GDP. The model with correction for heteroskedasticity is by far more efficient than the model with heteroskedasticity as evidenced by the information as well as other adequacy criteria. Finally, the Bai-Perron Multiple Breakpoint Test identified five (5) breaks within this periods namely; 1973, 1980, 1987, 1994 and 2001 and this persistent break is not healthy for economic growth of Nigeria.},
 year = {2020}
}

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TY  - JOUR
T1  - Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks
AU  - Jonathan Atsua Ikughur
AU  - Patience Onuche Agada
AU  - Alhaji Godwin
Y1  - 2020/09/10
PY  - 2020
N1  - https://doi.org/10.11648/j.ijsd.20200603.12
DO  - 10.11648/j.ijsd.20200603.12
T2  - International Journal of Statistical Distributions and Applications
JF  - International Journal of Statistical Distributions and Applications
JO  - International Journal of Statistical Distributions and Applications
SP  - 47
EP  - 56
PB  - Science Publishing Group
SN  - 2472-3509
UR  - https://doi.org/10.11648/j.ijsd.20200603.12
AB  - This study modeled the effect of Revenue, Expenditure, Foreign Direct Investment and Exchange rate on Nigerian Gross Domestic Product (obtained from CBN from 1961-2010) in the presence of heteroskedasticity on Nigeria’s macroeconomic variables using the Weighted Least Squares method. Furthermore, it investigated the changing structures in the data using Bai and Perron structural breaks approach. Results showed the existence of heteroskedasticity and the model with correction for heteroskedasticity shows that Revenue, Expenditure, Foreign Direct Investment provides a positive and significant effect on GDP while the Exchange rate negatively affect the GDP while the model with heteroskedasticity showed that Revenue, Expenditure, Foreign Direct Investment significantly affect GDP positively while Exchange rate has negative effect on the GDP. The model with correction for heteroskedasticity is by far more efficient than the model with heteroskedasticity as evidenced by the information as well as other adequacy criteria. Finally, the Bai-Perron Multiple Breakpoint Test identified five (5) breaks within this periods namely; 1973, 1980, 1987, 1994 and 2001 and this persistent break is not healthy for economic growth of Nigeria.
VL  - 6
IS  - 3
ER  -

Copy | Download