Time series modelling and forecasting of Sarawak black pepper price

Liew, Venus Khim-Sen and Shitan, Mahnendran and Huzaimi, Hussain (2006) Time series modelling and forecasting of Sarawak black pepper price. Munich Personal RePEc Archive. pp. 1-17. ISSN 2285-6803

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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.

Item Type: Article
Uncontrolled Keywords: Time series, pepper (Piper nigrum L.), Autoregressive Moving Average model, forecasting, forecast accuracy, research, Universiti Malaysia Sarawak, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education
Subjects: H Social Sciences > HB Economic Theory
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ab Rahim
Date Deposited: 20 Nov 2017 08:15
Last Modified: 20 Nov 2017 08:15
URI: http://ir.unimas.my/id/eprint/18644

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