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An Improved Cointegration based Time Delay Neural Network Model for Price Forecasting

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Title An Improved Cointegration based Time Delay Neural Network Model for Price Forecasting
Not Available
 
Creator Pankaj Das
Girish Kumar Jha
Achal Lama
 
Subject Cointegration
ECM
TDNN
Hybrid model
ECT
Machine Learning
ANN
 
Description Not Available
Cointegration among the prices of different commodities plays a pivotal role in the price decision mechanism. In this study, we have attempted to
improve the existing time delay neural network (TDNN) by incorporating the error correction term (ECT) as an auxiliary information in the model.
The R package “ECTTDNN” has been developed for carrying out the analysis using the proposed model. The empirical study using monthly
wholesale price indices of fruit and crude oil for the period January 2005 to November 2020, clearly demonstrated the superiority in terms of
forecasting ability of the proposed hybrid model as compared to the usual TDNN model. This study adds to the rich literature of hybrid models and
can be used for other cointegrated agricultural price series
Not Available
 
Date 2022-05-23T09:50:02Z
2022-05-23T09:50:02Z
2022-05-10
 
Type Research Paper
 
Identifier Pankaj Das, Girish Kumar Jha and Achal Lama (2021). An Improved Cointegration based Time Delay Neural Network Model for Price Forecasting, Journal of the Indian Society of Agricultural Statistics, 75(3), 187–192
0019-6363
http://krishi.icar.gov.in/jspui/handle/123456789/72361
 
Language English
 
Relation Not Available;
 
Publisher Indian Society of Agricultural Statistics