Assessing the Predictive Might of Vector Autoregressive and Autoregressive Distributed Lag Models: Evidence from Nigeria

Biu E. O., Christopher, A. O., & Jennifer, E. O. (2021). Commodity Terms of Trade and Their Effects on Money Supply in Nigeria. International Journal of Research and Innovation in Applied Science. Blanchard, O. J. and Gali, J. (2007). The Macroeconomic Effects of Oil Price Shocks Why the 2000’s So Different from the 1970’s. NIBER Working paper 13368. Chatfield, C. (2004) The Analysis of Time Series: An Introduction. 6th Edition, Chapman and Hall, London. Dickey, DA., Fuller, WA. (1981). “Likelihood ratio statistics for autoregressive time series with a unit root”. Econometrica, 49(4), 1057-1072. Ejukwa, J. O., Tuaneh, G. L. & Onu, H. O. (2023) Autoregressive Distributed Lag Error Correction Modeling of Some Macroeconomic Indices in Nigeria. FNAS Journal of Scientific Innovations, 5(1), 142-157. Ejukwa, J. O. and Essi, I.D. (2025). Time Varying Covariance in Major Energy Portfolios. FNAS Journal of Scientific Innovations, 6(4), 31-44. Jarque, C. M. and Bera, A. K. (1980). Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals. Economics Letters, 6, 255-259. Kerlinger, F.N. (1986). Foundations of Behavioral Research- 3rd Edition, Holt, Rinehart and Winston, New York. Onyechege, D. C., Nor, N. M., & Omer, A. S. F. (2022). The Indirect Effect of Corona virus Disease (COVID-19) Pandemic on Economic Growth in Malaysia: Evidence from The ARDL Approach. International Journal of Economics & Management, 16. Ozili, P. K. (2021). Covid-19 Pandemic and Economic Crisis: The Nigerian Experience and Structural Causes. Journal of Economic and Administrative Sciences, 37(4), 401-418. Pesaran, M. H., Shin, Y. & Smith, R.J. (2001). Bounds Testing Approaches to the Analysis of Level of Relationship. Journal of Applied Econometrics, 16 (3), 289–326. Shrestha, M. B. & Bhatt, G. R.(2018). Selecting Appropriate Methodological Framework for Time Series Analysis. Journal of Finance and Data Science, 4(2), 71-87. Stock, J.H., and Watson, M.W. (2004). Forecasting output and inflation: The role of asset prices. Journal of Economic Literature, 42(3), 788-829. https://doi.org/10.1257/0022051o42172325 Suharsono, A., Aziza, A., and Pramesti, W. (2017). Comparison of Vector Autoregressive and Vector Error Correction Models for Index of ASEAN Stock Price. International Conference and Workshop on Mathematical Analysis and its Applications, ICWOMAA 2017 Article 020032(AIP Conference Proceedings; vol. 1913) American Institute of Physics Inc. https://doi.org/10.1063//5016666 Takyi, P. O., Dramani, J. B., Akosah, N. K. & Aawaar, G. (2023). Economic Activity's Response to the COVID-19 Pandemic in Developing Countries. Scientific African, 20, e01642. Tamunotonye, R., Victor-Edema, U. A., & Ejukwa, J. O. (2025). Modelling the Interconnection and Lag Effects in Crude Oil Price Benchmarks. FNAS Journal of Scientific Innovations. 6(4), 76 - 91. https://doi.org/10.63561/fnas-jsi.v6i4.970. Taylor, J.B. (2000). Low Inflation, Pass-Through, and the Pricing Power of Firms. European Economic Review, 44, 1389-1408. https://doi.org/10.1016/s0014-2921(00)00037-4 Uyanto, S. S. (2022). An extensive comparison of 50 univariate goodness-of-fit tests for normality. Austrian Journal of Statistics, 51(3), 45-97.