Foreign Private Investment and Economic Growth in Nigeria: A Cointegrated VAR and Granger causality analysis

Authors

F. Z. Abdullahi, 1Department of Statistics Collage of Science and Technology. Waziri Umaru Federal Polytechnic Birnin Kebbi, NigeriaFollow
S. Ladan
Haruna R. Bakari

Keywords

Cointegration, VAR, Granger Causality, FPI, Economic Growth

Abstract

This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of the impact of Foreign Private Investment (FPI), Interest Rate (INR) and Inflation rate (IFR) on Growth Domestic Products (GDP) in Nigeria for the period January 1970 to December 2009. The Unit Root Test suggests that all the variables are integrated of order 1. The VAR model was appropriately identified using AIC information criteria and the VECM model has exactly one cointegration relation. The study further investigates the causal relationship using the Granger causality analysis of VECM which indicates a uni-directional causality relationship between GDP and FDI at 5% which is in line with other studies. The result of Granger causality analysis also shows that some of the variables are Ganger causal of one another; the null hypothesis of non-Granger causality is rejected at 5% level of significance for these variables.

Issue

2

Volume

2

First Page

15

Last Page

28

Recommended Citation

Abdullahi, F. Z.; Ladan, S.; and Bakari, Haruna R. (2011) "Foreign Private Investment and Economic Growth in Nigeria: A Cointegrated VAR and Granger causality analysis," CBN Journal of Applied Statistics (JAS): Vol. 2: No. 2, Article 5.
Available at: https://dc.cbn.gov.ng/jas/vol2/iss2/5