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Time series modelling and forecasting of Sarawak black pepper price

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Author Info

  • Liew, Venus Khim-Sen
  • Shitan, Mahendran
  • Hussain, Huzaimi

Abstract

Pepper is an important agriculture commodity especially for the state of Sarawak. It is important to forecast its price, as this could help the policy makers in coming up with production and marketing plan to improve the Sarawak’s economy as well as the farmers’welfare. In this paper, we take up time series modelling and forecasting of the Sarawak black pepper price. Our empirical results show that Autoregressive Moving Average (ARMA) time series models fit the price series well and they have correctly predicted the future trend of the price series within the sample period of study. Amongst a group of 25 fitted models, ARMA (1, 0) model is selected based on post-sample forecast criteria.

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File URL: http://mpra.ub.uni-muenchen.de/791/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 791.

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Date of creation: 2000
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Handle: RePEc:pra:mprapa:791

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Related research

Keywords: Time series; pepper (Piper nigrum L.); Autoregressive Moving Average model; forecasting; forecast accuracy;

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Cited by:
  1. Ahmad Zubaidi Baharumshah & Liew Khim Sen, 2003. "The Predictability of ASEAN-5 Exchange Rates," International Finance 0307004, EconWPA.

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