Dynamic econometric modeling for market analysis
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2013, Vol 4, Issue 1
Abstract
Structural-Time series models have not gained much ground in commodity market modeling despite the overwhelming popularity of time series approaches in forecasting and dynamic analyses. This study tries to adopt a structural model for the commodity market and estimates important econometric specifications. This paper contributes by applying developments in seasonal cointegration and structuraltime series analysis to the study of commodity markets. The conclusions may be summarized as follows. First, quarterly data in the commodity market have seasonal unit roots and also in a forecasting context, seasonally cointegrated VECMs perform uniformly better that their nonseasonal counterpart. Finally, DSEM with seasonal cointegration, however, perform better than VECMs at longer forecast horizons.
Authors and Affiliations
FarzadNejati| Marketing ManagementDepartment, Islamic Azad University,Omidiyeh branch, Omidiyeh, Iran,farzadenejati@yahoo.com, MonaheeZoheiri| Marketing ManagementDepartment, Islamic Azad University,Omidiyeh branch, Omidiyeh, Iran, RohollahNikmehr| Marketing ManagementDepartment, Islamic Azad University,Omidiyeh branch, Omidiyeh, Iran
Keywords
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