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Forecasting Wholesale Price of Pigeon Pea Using Long Memory Time-Series Models

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  • Paul, R.K.

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  • Paul, R.K., 2014. "Forecasting Wholesale Price of Pigeon Pea Using Long Memory Time-Series Models," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 27(2).
    • Handle: RePEc:ags:aerrae:196661
    DOI: 10.22004/ag.econ.196661
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    References listed on IDEAS

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    1. Paul, Ranjit Kumar & Panwar, Sanjeev & Sarkar, Susheel Kumar & Kumar, Anil & Singh, K.N. & Farooqi, Samir & Choudhary, Vipin Kumar, 2013. "Modelling and Forecasting of Meat Exports from India," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 26(2).
    2. Billy P. Helms & Fred R. Kaen & Robert E. Rosenman, 1984. "Memory in commodity futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(4), pages 559-567, December.
    3. Victor Chow, K. & Denning, Karen C. & Ferris, Stephen & Noronha, Gregory, 1995. "Long-term and short-term price memory in the stock market," Economics Letters, Elsevier, vol. 49(3), pages 287-293, September.
    4. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    5. Hyun J. Jin & Darren L. Frechette, 2004. "Fractional Integration in Agricultural Futures Price Volatilities," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(2), pages 432-443.
    6. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(4), pages 549-582, August.
    7. Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August.
    8. Booth, G. Geoffrey & Kaen, Fred R. & Koveos, Peter E., 1982. "R/S analysis of foreign exchange rates under two international monetary regimes," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 407-415.
    9. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
    10. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    11. Clifford M. Hurvich & Rohit Deo & Julia Brodsky, 1998. "The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(1), pages 19-46, January.
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    Cited by:

    1. Ranjit Kumar Paul & Bishal Gurung & Sandipan Samanta, 2015. "Analyzing the Effect of Dual Long Memory Process in Forecasting Agricultural Prices in Different Markets of India," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 4(4), pages 235-249.

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