An Improved Cointegration based Time Delay Neural Network Model for Price Forecasting
KRISHI: Publication and Data Inventory Repository
View Archive InfoField | Value | |
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
|
|