The study multivariate transfer function modelling of major economic indicators in Nigeria from the period of 1981 to 2015 stands out to analyse the micro time series variables of quarterly data via the multivariate transfer function. The data was sourced from Central Bank of Nigeria for gross domestic product, currency in circulation, money supply, external reserve and exchange rate. The study adopted the multivariate transfer function model through a stochastic dynamic filter to generate the output series which was evident as the inverse of characteristic polynomial of the series lies within the circle. The approach using the transfer function to model these indicators depends on the inter
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