ARIMA model and forecasting with three types of pulse prices in Bangladesh

A case study

Md Zakir Hossain, Quazi Abdus Samad, Md Zulficar Ali

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

Purpose - The purpose of this paper is to generate three types of forecasts, namely, historical, ex-post and ex-ante, using the world famous Box-Jenkins time series models for motor, mash and mung prices in Bangladesh. Design/methodology/approach - The models on the basis of which these forecasts have been computed were selected by six important information criteria such as Akaike's Information Criterion (AIC), Schwarz's Bayesian Information Criterion (BIC), Theil's R2, Theil's R2, SE(σ) and Mean Absolute Percent Errors (MAPEs). In order to examine the forecasting performance of the selected models, three types of forecast errors were estimated, i.e. root mean square percent errors (RMSPEs), mean percent forecast errors (MPFEs) and Theil's inequality coefficients (TICs). Findings - The estimates suggest that in most cases the forecasting performances of the models in question are quite satisfactory. Originality/value - The models developed in this paper can be used for policy purposes as far as price forecasts of the commodities are concerned.

Original languageEnglish
Pages (from-to)344-353
Number of pages10
JournalInternational Journal of Social Economics
Volume33
Issue number4
DOIs
Publication statusPublished - 2006

Fingerprint

Bangladesh
performance
time series
commodity
ARIMA models
methodology
Values
Forecasting performance
Forecast error

Keywords

  • Agriculture
  • Bangladesh
  • Box Jenkins
  • Forecasting
  • Information modelling
  • Prices

ASJC Scopus subject areas

  • Economics and Econometrics
  • Social Sciences(all)

Cite this

ARIMA model and forecasting with three types of pulse prices in Bangladesh : A case study. / Hossain, Md Zakir; Samad, Quazi Abdus; Ali, Md Zulficar.

In: International Journal of Social Economics, Vol. 33, No. 4, 2006, p. 344-353.

Research output: Contribution to journalArticle

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