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

Document Type : Research Paper

Authors

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

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


  1. Azizi, J. & Yazdani, S. (2006). Investigation of export pistachio in Iran: challenges and approaches. Economic Research, 74, 217-247. (In Farsi).
  2. Biria, S. & Jebel Ameli, F. (2006). Factors affecting the export of pistachios, saffron, dates in the basket of non-oil exports of Iran (1380-1999). Agricultural Economics and Development, 14 (54), 85-102. (In Farsi).
  3. Commandeur, J. F. & Koopman, S. J. (2007). An introduction to state space time series analysis. New York: Oxford University Press Inc., US.
  4. Farjzadeh, Z. & Bakhshudeh, M. (2011). Investigating the structure of the global pistachio market with emphasis on Iran's market power. Journal of Agricultural Economics and Development, 73, 145-145. (In Farsi).
  5. Fomby, T. (2008). The unobservable components model1, SAS HELP file under the keyword “Proc UCM”. 
  6. Harvey, A. C. & Shephard, N. (1993). Structural time series models” In: Maddala GS. Rao, CR. And Vinod. HD. (Eds). Handbook of statistics, Vol. 11 (pp. 261-302). North Holland, Amsterdam: Elsevier Science Publishers.
  7. Harvey, A. C. (1989). Forecasting, structural time series model and the kalman filte. Cambridge: Cambridge University Press, UK.
  8. Harvey, A.C. (1997). Trends, cycles and autoregressions. Economic Journal, 107(440), 192-201.
  9. Hosseini, S. S. & Durandish, A. (2006). Iran pistachio price transfer model in the world market. Iranian Journal of Agricultural Science, 2-37, 145-153. (In Farsi).
  10. Hosseinipour, M. R. & Chizari, A. H. (2002). The effect of foreign exchange and trading policies on the structure of the global pistachiomarket in Iran. Quarterly Journal of Economic Research, 5 & 6, 86-76. (In Farsi).
  11. Hunt, L. C., Judge, G. & Ninomiya, Y. (2003). Underlying trends and seasonality in UK energy demand: A Sectoral Analysis. Energy Economics, 25, 93–118.
  12. Jalles, J. T. (2009). Structural time series model and kalman filter. Amconcise review. “FEUNL working paper series wp 541.
  13. Jofreh, M. & Farajollahi, G. (2009). An analysis of factors affecting pistachio export in Iran. Economic Sciences, 2 (6), 67-82. (In Farsi).
  14. Mahmoudzadeh, M. & Zibaei, M. (2004). Investigating the factors affecting Iran's pistachio export: A cointegration analysis. Agricultural Economics and Development, 12 (46), 137-158. (In Farsi).
  15. Mehrabi Boshrabadi, h. (2002). Investigating factors affecting Iran's share of the global pistachio market. Journal of Agricultural Economics and Development, 39, 102-85. (In Farsi).
  16. Ministry of Agriculture Jihad. (2010-2015). Agriculture statistics, third volume. Retrieved July 10, 2017, http://agri-jahad.ir.
  17. Mortazavi, S. A., Zamani, A., Nouri, M. & Hayman, N. (2011). Investigating the effect of exchange rate fluctuations on Iranian pistachio exports. Economics and Agricultural Development (Agricultural Sciences and Technology) 25 (3), 347-354. (In Farsi).
  18. Najafi, B. & Abdollahi Ezzatabadi, M. (2000). Effective factors on pistachio price fluctuations and its problems. Journal of Agricultural Economics and Development, 29, 29-7. (In Farsi).
  19. Najafi, B. & Tarazkar, M. D. (2006). Predicting the exports of Iran's pistachio: application of artificial neural networks. Commercial Letter, 10 (39), 191-214. (In Farsi).
  20. Statistical Center of Iran. (2016). The price of sales of products and the cost of agricultural services in rural areas of the country, collected and published by the Statistical Center of Iran (SCI). Retrieved July 10, 2017, from https://www.amar.org.ir.
  21. The Islamic Republic of Iran Customs Administration. (1987-2016). Export data. Retrieved May 1, 2017, from http://www.irica.gov.ir.