DOI: 10.36347/sjpms.2023.v10i02.002

Pages: 53-62

The research work on vector autoregressive model on economic indicators of gross domestic product, money supply and exchange rate in Nigeria was developed and adequately model. The study yields a stable vector autoregressive model with stationary process and the estimate of the model where significant. The empirical result yields a stable and sustainable economic model for the three economic variables in the study. The unit root test was achieved at order 1 and the inverse root of the polynomial lies within the unit circle. The iterative step of time series analysis, the computational algorithm of VAR with the model adequacy with respect to the plot of residual of the economic indicators was achieved. The inverse of the characteristics polynomial of the variables lies within the unit circle, the response impulse analysis are within the boundaries of estimation. The study also yields R-square that best describe the fit, with RMSE, MAE and MAPE of the three economic variables. The forecast evaluation analysis indicate an upward fluctuation in a long run, the study is now available for economic practitioners to be used for policy implementation.