Multiplicative Sarima Modelling Of Nigerian Monthly Crude Oil Domestic Production

摘要

A realization of monthly Nigerian crude oil domestic production, NODP, from January 2006 to August 2012, is analyzed. The time plot reveals a negative trend between 2006 and 2009 and a positive trend from 2009 to 2012. Twelve-month differencing yields a series, SDNODP, with an overall positive trend. Non-seasonal differencing of SDNODP yields a series, DSDNODP, with an overall horizontal trend. The correlogram of DSDNODP reveals a seasonality of period 12 months and the involvement of a seasonal moving average component of order one. The significant spikes of the autocorrelation function at lags 1 and 12 suggests an autocorrelaton structure of a (0, 1, 1)x(0, 1, 1)12 SARIMA model. This is hereby proposed, fitted and found to be adequate using a variety of arguments.