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Abstract. The recent economic conundrum arising from the fall in the international oil price has threatened the maintenance of price stability, a key function of the central bank, therefore the need to investigate predictors of inflationary measures arises. The model averaging method considers uncertainty as part of the model selection, and include information from all candidate models. We analysed a wide spectrum of inflation predictors and all possible models for Nigeria CPI inflation using the Bayesian Model Averaging and Weighted Average Least Squares. The study uses fifty-nine (59) predictor variables cutting across all sectors of the Nigerian economy and three (3) measures of inflation, namely; all items consumer price index, core consumer price index and food consumer price index. (to be continued in page 302) Full Abstract (ENGLISH) The recent economic conundrum arising from the fall in the international oil price has threatened the maintenance of price stability, a key function of the central bank, therefore the need to investigate predictors of inflationary measures arises. The model averaging method considers uncertainty as part of the model selection, and include information from all candidate models. We analysed a wide spectrum of inflation predictors and all the possible models for Nigeria CPI inflation using the Bayesian Model Averaging and Weighted Average Least Squares. The study uses fifty-nine (59) predictor variables cutting across all sectors of the Nigerian economy and three (3) measures of inflation, namely; all items consumer price index, core consumer price index and food consumer price index. The results from both model averaging techniques showed that maximum lending rate, world food price index and Bureau de change exchange rate are the significant drivers of inflationary measures among focus variables, while foreign assets, credit to private sectors, net credit to government and real effective exchange rate are the drivers of inflationary measures, for the auxiliary variables, strongly supporting the monetarist and open economy views on inflation. The structuralist view is reported to be relatively weaker because government expenditure is only significant at 10.0 per cent.Résumé (FRENCH) L'énigmeéconomique récente découlant de la chute des cours internationaux du pétrole a menacé le maintien de la stabilité des prix, des principales fonctions de la Banque centrale, la nécessité d'enquêter sur les prédicteurs de mesures inflationnistes se pose donc. Le modèle avec une moyenne de méthode considère l'incertitude dans le cadre de la sélection du modèle et inclure les informations de tous les modèles de candidat. Nous avons analysé un largeéventail d'indicateurs de l'inflation et tous les modèles possibles pour le Nigéria IPC en utilisant le modèle bayésien en moyenne et pondérée moyenne des moindres carrés. L'étude utilise des variables prédictives de cinquante-neuf 59 coupe tous les secteurs de l'économie nigériane et 3 trois mesures de l'inflation, a savoir ; tout indice prix consommat...

<p><em>The search for robust model to predict inflation within a QTM framework gave birth to P-star model which has attracted less attention of researchers and practitioners in Nigeria. This study applied the methodology to high frequency Nigerian data from 1995M1 to 2018M6 to determine the validity of the model for Nigeria using error correction model (ECM). The result supports the working of the model but with slight modification. The modification centres on the incorporation of foreign price gap, (open economy view of inflation), reserve money (Friedmanic/monetarist view), price per litre of petroleum motor spirit (PMS) and output gap (Structuralist view). With this modification, P-star model proved to be a viable inflation forecasting alternative model for Nigeria. Consequently, the Central Bank of Nigeria is advised to consider adopting this modified version of the model to forecast inflation for Nigeria at least as a complimentary model to be used side-by-side with the existing forecasting model of the Bank. This will no doubt enhance the efficacy of the monetary policy of the Bank as such policies will be predicated on sufficient information, particularly on the future path of inflation.</em></p>