Iranian Journal of Agricultural Economics and Development Research

Iranian Journal of Agricultural Economics and Development Research

Predicting Export prices of the Iranian Pistachio Based on Commercial Cycles: Application of Structural Time Series Model

Document Type : Research Paper

Authors
Habibollah Salami 1
Hassan Mafi 2
1 Professor,Department of Agricultural Economics, Faculty of Agricultural Economics and Development, University of Tehran, Karaj, Iran
2 PhD. Student, Department of Agricultural Economics, Faculty of Economics and Development, University of Tehran, Karaj, Iran
10.22059/ijaedr.2018.241414.668485
Abstract
The purpose of this study is to develop a prediction model for Iran's pistachio export prices in the world market. The initial analysis of pistachio price series over 987-2016 period confirmes the existence of cycles, seasonal effects and structural break in the series. Accordingly, developing a model having the potential to account for all these componenets of the price fluctuations is required. Given that, the Unobserved-components Model (UCM), is characterized with such potential was specified as a good choice for modelling pistachio price series and predicting its future values.   Results of performing different specification tests within the Unobserved-components Model confirmes the existence of random cycle components, the trend with deterministic constant level and seasonal random effects. Based on the specified model, a price of 8/9 dollar per kg is predicted for the Iranian pistachio in 2022 year. in addition, result indicates that a large fluction in the pistachio export price is not expected in the next 5 years.
Keywords
structural time series model
Price Prediction
Pistachio
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Iranian Journal of Agricultural Economics and Development Research
Volume 49, Issue 4
Autumn 2018
Pages 559-571