Autoregressive distributed lag modeling for Malaysia Palm Oil Prices

Abang Mohammad Hudzaifah, Bin Abang Shakawi (2014) Autoregressive distributed lag modeling for Malaysia Palm Oil Prices. Masters thesis, Universiti Teknologi Malaysia.

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Abstract

Modelling food commodities prices has become the area of interest in financial time series. This study aims to model Malaysian average monthly prices of crude palm oil using dynamic regression approach. The sample period covers from January 2000 until December 2013. The model investigated is Autoregressive Distributed Lag (ARDL) model. The model uses multivariate analysis with monthly prices, productions, imports, exports and closing stocks of crude palm oil as the variables. The ARDL model is selected using Akaike Information Criteria (AIC) and Schwartz-Bayesian Criteria (SBC). The capabilities of this model in estimating the crude palm oil prices is compared to Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) model by using Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE). The process of modelling is done by using Eviews and Microfit statistical software. This study concluded that ARDL model is a better model in modelling the palm oil prices. The ARDL model selected by using AIC produce better estimation than the ARDL model selected by using SBC. Furthermore, there exist long-run relationship between crude palm oil prices and its determinants.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Modelling food commodities prices, crude palm oil, Autoregressive Distributed Lag (ARDL) model, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education, undergraduate, postgraduate,research, Universiti Malaysia Sarawak
Subjects: G Geography. Anthropology. Recreation > GE Environmental Sciences
Divisions: Academic Faculties, Institutes and Centres > Centre for Pre-University Studies
Depositing User: Karen Kornalius
Date Deposited: 25 Jun 2015 05:54
Last Modified: 10 Sep 2015 02:10
URI: http://ir.unimas.my/id/eprint/8049

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