اثر قیمت انرژی بر قیمت غلات با استفاده از الگوهای رگرسیونی با داده‌های مختلط (روش ARDL تعمیم‌یافته مبتنی بر OLS)

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری گروه اقتصاد کشاورزی، دانشگاه آزاد اسلامی واحد علوم و تحقیقات تهران، ایران

2 دانشیار گروه اقتصاد کشاورزی، دانشگاه آزاد اسلامی واحد علوم و تحقیقات تهران، ایران

چکیده

رابطه بین قیمت انرژی و کالاهای کشاورزی از عوامل مهم و تأثیرگذار در افزایش قیمت مواد غذایی است. از طـرفی وجود داده­ها در تواترهای مختلف همواره مشکل مهمی فــرا روی محققان مطـالعات سری زمانی می­باشد؛ زیرا محقق با استفاده از روش میانگی­گیری ناگزیر به از دست دادن بعضی اطلاعات ارزشمند در تواترهای بالاتر می­باشد. به منظور رفع این معضل مدل‌های رگرسیونیMIDAS  به عنوان یک روش جایگزین در سال‌های اخیر موردتوجه قرار گرفته‌اند. بر این اساس مطالعه حاضر بر آن است تا با به‌کارگیری روش ARDL تعمیم‌یافته الگوی  MIDASبه پیش‌بینی قیمت غلات با استفاده از قیمت انرژی و همچنین متغیرهای کلان اقتصادی ازجمله نرخ ارز رسمی، نرخ تورم و نرخ بهره با تواترهای مختلف در دوره زمانی 1387-1361 بپردازد. آماره­های دقت پیش­بینی نشان می­دهند که الگوی MIDAS در مقایسه با روش میانگین­گیری دقت پیش‌بینی قیمت غلات را بهبود بخشیده است.

کلیدواژه‌ها

عنوان مقاله [English]

Effect of Energy Price on Cereal Price Using Mixed Data Sampling Regression Models (Generalized OLS-based ARDL Approach)

نویسندگان [English]

  • fatmeh sayadi 1
  • reza Moghaddasi 2
چکیده [English]

The relationship between energy and agricultural products prices is an important and influential factor on food price surge. On the other hand, data availability in different frequencies is a dilemma facing time series econometricians, because by averaging of the data some valuable information in high frequency data will be lost. MIDAS regression models have recently been developed as an alternative dealing with mixed frequency data problem. This study applies generalized ARDL approach to estimate MIDAS regression for prediction of cereal prices using quarterly data on exchange rate and annual data on energy prices, interest rate, and inflation for the period 1982-2008. Prediction accuracy Statistics show that MIDAS model provides more accurate prediction of cereal price compared to simple averaging method.

کلیدواژه‌ها [English]

  • MIDAS Model
  • Prediction
  • Cereal Price
  • Energy Price

مراجع

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