TIME SERIES ANALYSIS OF LEMON CONSUMER PRICES USING THE BOX-JENKINS APPROACH

ŞAHİNLİ M. A.

JOURNAL OF ENVIRONMENTAL PROTECTION AND ECOLOGY, cilt.21, sa.6, ss.2443-2449, 2020 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 21 Sayı: 6
  • Basım Tarihi: 2020
  • Dergi Adı: JOURNAL OF ENVIRONMENTAL PROTECTION AND ECOLOGY
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, CAB Abstracts, Geobase, Veterinary Science Database
  • Sayfa Sayıları: ss.2443-2449
  • Anahtar Kelimeler: time series, ARIMA models, Box-Jenkins model, forecasting, lemon consumer prices
  • Ankara Üniversitesi Adresli: Evet

Özet

Consumer prices are important macroeconomic indicators and the producers/buyers want to follow trustworthy and unbiased indicators in the economy. The main objective of this paper is to analyse the applicability of the Box-Jenkins approach to monthly time series of lemon consumer prices acquired from the Turkish Statistical Institute database from January 1st 2005 to June 30th 2019. The analysis revealed that ARIMA (1,1,0) explained the data best based on the Ljung-Box statistics and their p-values, and small marginal change. The null hypothesis stating that there is no residual autocorrelation is not rejected. According to the test results, however, the null hypothesis of Jarque-Bera (JB) test is rejected. Thus, the null hypothesis reveals that there are a few outlying observations and the error process is heteroskedasticity.