Exponential Smoothing State Space Innovation Model for Forecasting Export Commodity Price Index in Nigeria

Abstract

Commodity price forecasts play an important role in terms of guidance to economic agents and policymakers in developing countries. This paper focuses on the development of exponential smoothing state space (ETS) innovation models for forecasting monthly export price indexes of four different commodities in Nigeria for the period 2000-2021. The data are secondary and collected from the Central Bank of Nigeria (CBN) Statistical Bulletin. After examining the possible models using the computed information criteria, the results showed that the exponential smoothing state space model (M, Ad, N), (M, N, M), (M, N, M), and (M, N, N) are suitable for forecasting Commodity 1, Commodity 2, Commodity 3, and Commodity 4 respectively.