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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Main Authors:	Lalang Buana, Ahmad Mahir Razali, Zainodin Haji Jubok
Format:	Article
Published:	Universiti Kebangsaan Malaysia 1997
Online Access:	http://journalarticle.ukm.my/3736/ http://journalarticle.ukm.my/3736/

id	ukm-3736
recordtype	eprints
spelling	ukm-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
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
description	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,
spellingShingle	Lalang Buana, Ahmad Mahir Razali , Zainodin Haji Jubok, Structural change of palm oil price data
author_facet	Lalang Buana, Ahmad Mahir Razali , Zainodin Haji Jubok,
author_sort	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://journalarticle.ukm.my/3736/
first_indexed	2023-09-18T19:39:37Z
last_indexed	2023-09-18T19:39:37Z
_version_	1777405502645338112

Structural change of palm oil price data

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