Analysis of Structural Breaks and Long-Run Dynamics in Nigeria’s Consumer Price Index Using Advanced Time Series Methods

Nigeria's inflation dynamics are characterised by multiple structural breaks induced by policy changes, exchange rate devaluations, and commodity price shocks that conventional time series models treating the series as parameter-stable cannot adequately capture. This study analyses structural breaks and long-run dynamics in Nigeria's Consumer Price Index from January 2000 to December 2023 using advanced time series methods. Monthly headline CPI data from the National Bureau of Statistics were used. The Bai-Perron multiple structural break test, Zivot-Andrews unit root test with single break, and Lee-Strazicich LM unit root test with two breaks were applied. ARIMA modelling with structural break dummies estimated the post-break inflation dynamics. Threshold autoregressive models assessed non-linear mean reversion. Bai-Perron testing identified four statistically significant structural breaks: June 2016, May 2020, April 2022, and June 2023, corresponding to exchange rate unification, COVID shock, fuel subsidy debate, and subsidy removal respectively. Zivot-Andrews confirmed unit root rejection at the 2016 break (t = -5.42, p < 0.05). Post-break inflation persistence increased significantly after 2022, with the largest ARIMA AR coefficient rising from 0.72 to 0.91. The threshold autoregressive model confirmed asymmetric mean reversion, with high-inflation regimes showing significantly lower reversion speed. The study provides methodologically rigorous break-adjusted inflation dynamics analysis relevant to CBN monetary policy design and inflationary expectation management. Keywords: structural breaks, consumer price index, Bai-Perron, inflation dynamics, Nigeria