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
Volume 6, Issue 3, September 2020, Pages: 47-56
Received: Apr. 14, 2019; Accepted: May 27, 2020; Published: Sep. 10, 2020
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Authors
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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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.
Keywords
Model, Macroeconomic Variables, Heteroskedasticity, Structural Breaks
To cite this article
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, International Journal of Statistical Distributions and Applications. Vol. 6, No. 3, 2020, pp. 47-56. doi: 10.11648/j.ijsd.20200603.12
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Copyright © 2020 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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