Abstract: As observed in Nigeria presently, both the Gross Domestic Product (GDP) and unemployment rates are increasing simultaneously. This occurrence however, invalidates the existence of Okun’s Law in Nigeria. In the same vein, Nigerians output could as well be more capital intensive to labour intensive. This research work sets out to finding the reason for the violation of Okun’s Law in Nigeria. Using Weighted Grouped Logit Distributed lag model (WGLDL) with quarterly series from 1991 to 2012. Present quarter and last-two quarter unemployment rates are negatively related with the present quarter Real Gross Domestic Product of Nigeria. The immediate past quarter unemployment rate is positively related with the present quarter Real Gross Domestic Product by approximately 16 units rise in RGDP for a unit rise in the immediate past quarter unemployment rate. This is a result of behavioural habits of employees; when people are retrenched from their jobs last quarter, the efficiency, effectiveness, and output/productivity of the remaining workers increase indefinitely as the means to retain their jobs in the midst of the fear and job insecurity that have enveloped them. This they do on the axiom that the less or least effective and efficient workers were retrenched last quarter. Consequently, a positive relationship. Empirically, the probabilities that the national output will fall for every raise per quarter unemployment rates diminishes and tends to zero. Simply put, the failure that unemployment will result to reductions in the national output is almost certain (tends to one). In the same light, change in probability also tends to zero as unemployment rates in Nigeria increases. This therefore suggests, holding every other thing constant, increase in unemployment rates in Nigeria will probably not affect or reduce our National output.