Possibilities of Utilization of Univariate Time Series Analysis in Prices Modelling

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F16%3A71350" target="_blank" >RIV/60460709:41110/16:71350 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Possibilities of Utilization of Univariate Time Series Analysis in Prices Modelling

Popis výsledku v původním jazyce

The paper deals with an examination of possibilities of utilization of univariate time series analysis for description and forecasting of agri-food prices. The analysis is based on monthly time series of farm-gate price, wholesale price and consumer price in 9 agri-food chains in the Czech Republic; 22 time series were examined in period January 2000 – June 2015. Based on Box-Jenkins methodology an appropriate ARIMA models were estimated. Then, the future development of individual time series was forecasted for prognostic horizon of 6 periods and evaluated based on MAPE values. The analysis proved non-stationarity of almost all time series and suitability of ARIMA model utilization in agri-food prices modelling. The suitability of ARIMA models for prognostic purposes was proven in almost all analyzed time series; however, some time series should be forecasted rather using other time series model. Generally, ARIMA model might be considered as an appropriate tool for agri-food prices modelling and fore

Název v anglickém jazyce

Possibilities of Utilization of Univariate Time Series Analysis in Prices Modelling

Popis výsledku anglicky

The paper deals with an examination of possibilities of utilization of univariate time series analysis for description and forecasting of agri-food prices. The analysis is based on monthly time series of farm-gate price, wholesale price and consumer price in 9 agri-food chains in the Czech Republic; 22 time series were examined in period January 2000 – June 2015. Based on Box-Jenkins methodology an appropriate ARIMA models were estimated. Then, the future development of individual time series was forecasted for prognostic horizon of 6 periods and evaluated based on MAPE values. The analysis proved non-stationarity of almost all time series and suitability of ARIMA model utilization in agri-food prices modelling. The suitability of ARIMA models for prognostic purposes was proven in almost all analyzed time series; however, some time series should be forecasted rather using other time series model. Generally, ARIMA model might be considered as an appropriate tool for agri-food prices modelling and fore

Druh

D - Stať ve sborníku

CEP obor

GA - Zemědělská ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

AGRARIAN PERSPECTIVES XXV. - PROCEEDINGS

ISBN

978-80-213-2670-5

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

319-326

Název nakladatele

CULS

Místo vydání

Prague

Místo konání akce

Prague

Datum konání akce

14. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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