Structural change of palm oil price data
The changes on the vegetables oil trading environment might change the foundation of palm oil pricing and induce a structural change to the price model. Failing to take it account the structural change in a data series might lead to misspecification of the actual model. This study, however, showed t...
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Universiti Kebangsaan Malaysia
1997
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my-ukm.journal.37362012-03-16T08:13:25Z http://journalarticle.ukm.my/3736/ Structural change of palm oil price data Lalang Buana, Ahmad Mahir Razali , Zainodin Haji Jubok, The changes on the vegetables oil trading environment might change the foundation of palm oil pricing and induce a structural change to the price model. Failing to take it account the structural change in a data series might lead to misspecification of the actual model. This study, however, showed that structural change was not present in the monthly, January 1983 to July 1995, palm oil price, but it was present on the unconditional variance. The underlying model of this series was ARIMA (3, 1, 0) with ARCH (1). The critical change of the unconditional variance took place in April 1989. Universiti Kebangsaan Malaysia 1997-03 Article PeerReviewed Lalang Buana, and Ahmad Mahir Razali , and Zainodin Haji Jubok, (1997) Structural change of palm oil price data. Sains Malaysiana, 26 (1). pp. 125-132. ISSN 0126-6039 http://www.ukm.my/jsm/english_journals/vol26num1_1997/vol26num1_97page125-132.html |
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The changes on the vegetables oil trading environment might change the foundation of palm oil pricing and induce a structural change to the price model. Failing to take it account the structural change in a data series might lead to misspecification of the actual model. This study, however, showed that structural change was not present in the monthly, January 1983 to July 1995, palm oil price, but it was present on the unconditional variance. The underlying model of this series was ARIMA (3, 1, 0) with ARCH (1). The critical change of the unconditional variance took place in April 1989. |
| format |
Article |
| author |
Lalang Buana, Ahmad Mahir Razali , Zainodin Haji Jubok, |
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Lalang Buana, Ahmad Mahir Razali , Zainodin Haji Jubok, Structural change of palm oil price data |
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Lalang Buana, Ahmad Mahir Razali , Zainodin Haji Jubok, |
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Lalang Buana, |
| title |
Structural change of palm oil price data |
| title_short |
Structural change of palm oil price data |
| title_full |
Structural change of palm oil price data |
| title_fullStr |
Structural change of palm oil price data |
| title_full_unstemmed |
Structural change of palm oil price data |
| title_sort |
structural change of palm oil price data |
| publisher |
Universiti Kebangsaan Malaysia |
| publishDate |
1997 |
| url |
http://journalarticle.ukm.my/3736/ http://www.ukm.my/jsm/english_journals/vol26num1_1997/vol26num1_97page125-132.html |
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1643735831392813056 |
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13.211869 |