Modelling Volume of Chicken Production in the Philippines using ARIMA and Holt-Winters Multiplicative Exponential Smoothing

ASAAD, Al-Ahmadgaid B. October 13, 2012 Data Description

The data was taken from the website of Philippines Bureau of Agricultural Statistics. It is quarterly, from 1980 rst quarter to 2012 second quarter. The data is available on the last page, and was downloaded from the link below. http://countrystat.bas.gov.ph/?cont=10& pageid=1&ma=B20PNVLP
C O N TA C T: email: alstated@gmail.com blog: alstat.blogspot.com data: Volume of Chicken Production

Introduction
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Chicken production are the most progressive animal enterprises in the Philippines today. The poultry industry in fact began as the backyard enterprise but has shifted to the formation of very large integrated contract farming operations. The growth of poultry industry in the Philippines has been impressive but its problems include inefcient management and the prevalence of many destructive poultry diseases and parasites cannot be ignored. The chicken is the most exploited species of poultry, which is utilized for food production in the whole world. Scientic researchers have been done on this species for past centuries and it is still the focus of the present and future experimentation. In the Philippines chicken rank rst, while ducks rank second in economic importance as source of meat and eggs.
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Posted by EPa in Livestocks, retrieved October 4, 2012, from

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http://www.mixph.com/2009/09/broilerpoultry-production-guide.html

In 2009, total volume of chicken production was estimated at 1,300.90 thousand metric tons. This was 1.53 percent higher than last years output of 1,281.32 thousand metric tons. Lower growth in the annual chicken production was attributed to typhoons and oods that affected the broiler industry during the 4th quarter.
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Chicken Industry Performance Report Jan-Dec 2009. Bureau of Agricultural Statistics

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Total volume of chicken production in 2010 was estimated at 1,353.13 thousand metric tons. It increased by 4.02 percent from last years output of 1,300.90 thousand metric tons. The increment was due to the rehabilitation of commercial broiler farms that were affected by the typhoons and oods in 2009. Compared with the previous years level,

Chicken Industry Performance Report Jan-Dec 2010. Bureau of Agricultural Statistics

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modelling volume of chicken production in the philippines using arima and holt-winters multiplicative exponential smoothing 2

the highest output gain of 6.47 percent was registered during the 4th quarter while the lowest growth of 1.81 percent was reported during the 1st quarter. Total volume of chicken production in 2011 was estimated at 1,414.29 thousand metric tons. It increased by 4.52 percent from last years produce of 1,353.13 thousand metric tons. The increment was due to the expansion of commercial broiler farms and high number of broilers dressed. Compared with the previous years levels, the highest output gain of 381.03 thousand metric tons was registered during the 4th quarter while the lowest level of 340.77 thousand metric tons was reported during the 1st quarter. The total volume of chicken production for the 1st half of 2012 was estimated at 721.96 thousand metric tons. This was 5.34 percent higher than last years output of 685.36 thousand metric tons. Production in the 1st and 2nd quarters posted output gains of 7.38 percent and 3.28 percent, respectively.
4 Chicken Industry Performance Report Jan-Dec 2011. Bureau of Agricultural Statistics
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Software
R 2.15.1 will be used for modelling and for generating graphical illustrations.

Procedure in Modelling
Below are the steps that we are going to perform: 1. Historical Plot Correlogram (ACF and PACF) ADF Test - Stationary or Non-Stationary? If non-stationary, apply differencing. After differencing perform the historical plot, correlogram, and ADF test again, until it becomes stationary. 2. Seasonal Data - Seasonal Differencing 3. Modelling Stationary data. What are the several prospect of models - AIC or BIC - residuals generated, show its correlogram, historical plot and test for serial correlations.

modelling volume of chicken production in the philippines using arima and holt-winters multiplicative exponential smoothing 3

Modelling
Historical Plot The historical plot of the volume of chicken production is shown below.

plot(ChickenProd, main = "", xlab = "Time", ylab = "Thousand Metric Tons", col = "red")
Figure 1: Volume of the chicken production in the Philippines.

Thousand Metric Tons

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It has a positive trend in the production of the chicken and has a seasonality. Hence, it is nonstationary in both mean and variance. Correlogram Autocorrelation Function The autocorrelation function plot decays slowly, this imply that it has a trend. Moreover, the spikes of the lags repeats every four lags, this indicate that the data has seasonality.

acf(ChickenProd, main = "", col = "red", lwd = 5)

Figure 2: Autocorrelation function plot of the volume of the chicken production in the Philippines.

ACF 0.2 0 0.2

0.6

1.0

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modelling volume of chicken production in the philippines using arima and holt-winters multiplicative exponential smoothing 4

Thus, this suggest that we need to apply differencing in our data. Partial Autocorrelation Function The PACF has signicant spikes on the rst ve lags, except for lag 2. With that, the PACF cuts off at lag 1, hence this could be an AR.

pacf(ChickenProd, main = "", col = "red", lwd = 5)

Figure 3: Partial Autocorrelation function plot of the volume of the chicken production in the Philippines.

Partial ACF

0.6

0.2

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Augmented Dicky-Fuller Test To test the stationarity of the chicken production series, Augmented Dicky-Fuller test will be used.

library(tseries) adf.test(ChickenProd) Augmented Dickey-Fuller Test data: ChickenProd Dickey-Fuller = -2.2881, Lag order = 5, p-value = 0.4568 alternative hypothesis: stationary
From the output, the p-value is greater than the level of signicance 0.05, implies that the null hypothesis is not rejected. Thus, the series is nonstationary. To start with differencing, it is better to list the characteristics of the original series. And below describe the chicken production series: 1. Positive Trend - Nonconstancy in mean 2. With Seasonality 3. Nonconstancy in variance

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From the list, transformation is applied rst since the variance of the series is not constant, then seasonal differencing will be used because of the seasonality characteristics of the series.

Transformation
The appropriate transformation to be used is logarithmic, this is to stabilize the variance.

LogChickenProd <- log(ChikenProd)

Plotting the transformed series,

plot(LogChickenProd, main = "", xlab = "Time", ylab = "Log of Thousand Metric Tons", col = "red")

Log of Thousand Metric Tons

Figure 4: Logarithmic Transformation of Volume of Chicken Production in the Philippines

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Clearly in the plot, the variance is now constant, though the recent sequence of observations are not uctuating than the previous one, this is expected since these are from the original series.

Differencing
To difference in R the diff function is used. In seasonal differencing the aim is to deseasonalize the data and to obtain a non-trending series. Below is a sample differentiation of 4 quarters for 5 years.

Series <- rep(c(1,2,3,4),5) Series [1] 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4 1 2 3 4

The output 1 2 3 4 1 2 3 4 is a quarterly series, with seasonality. Now, it is expected that after applying seasonal differencing, the series

modelling volume of chicken production in the philippines using arima and holt-winters multiplicative exponential smoothing 6

should now have zero values, indicating that the data is now stationary and do not have a trend. Thus,

Diff <- diff(Series, lag = 4, differences = 1) Diff [1] 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

Lets apply this to the transformed chicken production,

Diff1LogCP <- diff(LogChickenProd, lag = 4, differences = 1) plot(Diff1LogCP, main = "", xlab = "Time", ylab = "Thousand Metric Tons", col = "red")

Thousand Metric Tons

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Figure 5: Seasonal difference of the transformed chicken production series

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The plot now is stationary, since it has no trend. To conrm this lets apply Augmented Dickey-Fuller test again, but before running this function in R, make sure to call the package tseries rst.

adf.test(Diff1LogCP) Augmented Dickey-Fuller Test data: Diff1LogCP Dickey-Fuller = -3.5241, Lag order = 4, p-value = 0.04301 alternative hypothesis: stationary
Observed that the p-value now is less than the level of signicance, 0.05. This clearly indicate that the series is stationary since the null hypothesis is rejected.

modelling volume of chicken production in the philippines using arima and holt-winters multiplicative exponential smoothing 7 Is rst differencing enough? Checking that in R using the ndiffs function, which generates number of differences required for a stationary series basing from the ADF test, Phillips-Perron (PP) test, and KPSS test. That is,

library(forecast) ndiffs(ChickenProd, alpha=0.05, test=c("kpss","adf","pp")) [1] 1

Thus, rst differencing is enough for a stationary series.

Correlogram of Differenced Series

Autocorrelation Function

acf(Diff1LogCP, main = "", col = "red", lwd = 5)

Figure 6: Autocorrelation Function Plot of the differenced of transformed chicken production

ACF 0.2 0 0.2

0.6

1.0

2 Lag

The autocorrelation function plot seems to have a combination of damped exponential and damped sine in decaying. Partial Autocorrelation Function The partial autocorrelation function plot shown in Figure 7, cuts off at lag 1. Thus, the series is an AR term, but since the ACF didnt decay exponentially instead it shows a combination of damped exponential and sine, then ARMA could also be considered. And since seasonal differencing was applied, then the model is SARIMA. But at this point we will ignore the seasonal component, since there is no signicant spikes at the rst two seasonal lags (lag 4, 8).

pacf(Diff1LogCP, main = "", col = "red", lwd = 5)

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Partial ACF

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Figure 7: Partial Autocorrelation Function Plot fo the differenced of transformed chicken production

2 Lag

The tentative model for the series is ARIMA(1, 0, 0)(0, 1, 0)4 , indicates an AR(1) and a rst seasonal difference for quarterly chicken production data. Furthermore, Figure 8 shows the plot of the residual of the model.

SARIMA010 <- Arima(ChickenProd, order = c(1,0,0), seasonal = list(order = c(0,1,0), periods = 4)) plot(SARIMA010[["residuals"]], main = "", col = "red")
Figure 8: Plot of residuals ARIMA(1, 0, 0)(0, 1, 0)4 model

SARIMA010 Residuals

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And the ACF and PACF plot of the residuals of the ARIMA(1, 0, 0)(0, 1, 0)4 is shown in Figure 9 and 10, respectively.

acf(SARIMA010[["residuals"]], main = "", col = "red", lwd = 5) pacf(SARIMA010[["residuals"]], main = "", col = "red", lwd = 5)
It is observed that in the ACF plot of the residuals, the fourth spikes is signicant this imply that we should add a seasonal MA(1) in the

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Figure 9: Autocorrelation Plot of the residuals of ARIMA(1, 0, 0)(0, 1, 0)4 model

ACF

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Figure 10: Partial Autocorrelation Function plot of the residuals of ARIMA(1, 0, 0)(0, 1, 0)4 model

Partial ACF

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model, in addition the twelfth lag has a signicant spike in the PACF plot of the residuals, indicating a seasonal AR(3). However, it is not clear whether it is a seasonal AR(3) or seasonal MA(1) is best, so we will try both. The AIC (Akaike Information Criterion) of the model ARIMA(1, 0, 0)(3, 1, 0)4 is,

SARIMA310 <- Arima(ChickenProd, order = c(1,0,0), seasonal = list(order = c(3,1,0), periods = 4)) AIC(SARIMA310) [1] 1028.959
And the AIC of the model ARIMA(1, 0, 0)(0, 1, 1)4 is,

SARIMA011 <- Arima(ChickenProd, order = c(1,0,0), seasonal = list(order = c(0,1,1), periods = 4)) AIC(SARIMA011)

modelling volume of chicken production in the philippines using arima and holt-winters multiplicative exponential smoothing 10

[1] 1029.509
Hence, we will prefer the rst one since it has the smaller AIC, even though the difference is very small. Thus, the tentative model for now is ARIMA(1, 0, 0)(3, 1, 0)4 , and we are going to consider also other prospect models below: ARIMA(1, 0, 1)(0, 1, 1)4 ARIMA(1, 0, 1)(1, 1, 1)4 ARIMA(1, 0, 1)(1, 1, 2)4

Diagnostic
To choose for the best model, diagnostic is performed. The main aim here is to have a sequence of serially uncorrelated residuals with mean zero and a constant variance, or simply a white noise residuals. Below are the test to perform: 1. Shapiro-Wilk and Jarque-Bera Test (Normality Test) 2. Ljung-Box Test or Portmanteau Test (Serial Correlation)

SARIMAa <- Arima(ChickenProd, order = c(1,0,0), seasonal = list(order = c(3,1,0), periods = 4)) SARIMAb <- Arima(ChickenProd, order = c(1,0,1), seasonal = list(order = c(0,1,1), periods = 4)) SARIMAc <- Arima(ChickenProd, order = c(1,0,1), seasonal = list(order = c(1,1,1), periods = 4)) SARIMAd <- Arima(ChickenProd, order = c(1,0,1), seasonal = list(order = c(1,1,2), periods = 4))
The codes above are candidate models programmed in R. Shapiro-Wilk Test for Candidate Models ARIMA(1, 0, 1)(3, 1, 0)4

shapiro.test(SARIMAa[["residuals"]])

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Shapiro-Wilk normality test data: SARIMAa[["residuals"]] W = 0.8839, p-value = 1.179e-08

ARIMA(1, 0, 1)(0, 1, 1)4

shapiro.test(SARIMAb[["residuals"]]) Shapiro-Wilk normality test data: SARIMAb[["residuals"]] W = 0.9557, p-value = 0.0003188

ARIMA(1, 0, 1)(1, 1, 1)4

shapiro.test(SARIMAc[["residuals"]]) Shapiro-Wilk normality test data: SARIMAc[["residuals"]] W = 0.9564, p-value = 0.0003625

ARIMA(1, 0, 1)(1, 1, 2)4

shapiro.test(SARIMAd[["residuals"]]) Shapiro-Wilk normality test data: SARIMAd[["residuals"]] W = 0.9694, p-value = 0.004934

Thus everything is not normal, since their p-values are all rejected. And due to that, lets consider another test for normality which test the null hypothesis that the sample come from a normal population. Wikipedia sated the Jarque-Bera null hypothesis, The null hypothesis is a joint hypothesis of both the skewness and excess kurtosis being 0, since samples from a normal distribution have an expected skewness of 0 and an expected excess kurtosis of 0.

Jarque-Bera test for Candidate Models ARIMA(1, 0, 1)(3, 1, 0)4

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library(tseries) jarque.bera.test(SARIMAa[["residuals"]]) Jarque Bera Test data: SARIMAa[["residuals"]] X-squared = 332.2687, df = 2, p-value < 2.2e-16
ARIMA(1, 0, 1)(0, 1, 1)4

jarque.bera.test(SARIMAb[["residuals"]]) Jarque Bera Test data: SARIMAb[["residuals"]] X-squared = 68.2636, df = 2, p-value = 1.554e-15
ARIMA(1, 0, 1)(1, 1, 1)4

jarque.bera.test(SARIMAc[["residuals"]]) Jarque Bera Test data: SARIMAc[["residuals"]] X-squared = 62.8962, df = 2, p-value = 2.198e-14
ARIMA(1, 0, 1)(1, 1, 2)4

jarque.bera.test(SARIMAd[["residuals"]]) Jarque Bera Test data: SARIMAd[["residuals"]] X-squared = 32.0849, df = 2, p-value = 1.079e-07
All residual models are not normally distributed since the p-value is less than the level of signicance 0.05. The only option left now (in practice) is to choose for a model residual that is near to normality, and that is by looking at the statistics value of Jarque-Bera test, the Chi-Square value. Of the four candidate models, only model ARIMA(1, 0, 1)(1, 1, 2)4 has the smaller value of Chi-Square, means a little closer to normality compared to the other models.

modelling volume of chicken production in the philippines using arima and holt-winters multiplicative exponential smoothing 13

Due to that we are going to let models ARIMA(1, 0, 1)(0, 1, 1)4 , and ARIMA(1, 0, 1)(1, 1, 1)4 be least priority in choosing for our best model, and we are going to eliminate model ARIMA(1, 0, 1)(3, 1, 0)4 , because it has the largest chi-square value. Ljung - Box Test (Portmanteau Test) We will going to use this test for the autocorrelation of the residuals of the models. H0 : The residuals are independently distributed. ARIMA(1, 0, 1)(0, 1, 1)4

Box.test(SARIMAb[["residuals"]], lag = 8, fitdf = 0, type = "Lj") Box-Ljung test data: SARIMAb[["residuals"]] X-squared = 6.9501, df = 8, p-value = 0.542
ARIMA(1, 0, 1)(1, 1, 1)4

Box.test(SARIMAc[["residuals"]], lag = 8, fitdf = 0, type = "Lj") Box-Ljung test data: SARIMAc[["residuals"]] X-squared = 2.3381, df = 8, p-value = 0.9689
ARIMA(1, 0, 1)(1, 1, 2)4

Box.test(SARIMAd[["residuals"]], lag = 8, fitdf = 0, type = "Lj") Box-Ljung test data: SARIMAd[["residuals"]] X-squared = 5.6741, df = 8, p-value = 0.6837
Thus, all the models pass the Ljung-Box test, that is the residuals are independently distributed. Akaike Information Criterion In this section, we are going to choose the model that has the smaller

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Akaike Information Criterion value. ARIMA(1, 0, 1)(0, 1, 1)4

AIC(SARIMAb) [1] 1027.808

ARIMA(1, 0, 1)(1, 1, 1)4

AIC(SARIMAc) [1] 1019.576

ARIMA(1, 0, 1)(1, 1, 2)4

AIC(SARIMAd) [1] 1019.929

The fact that ARIMA(1, 0, 1)(1, 1, 1)4 model has the smaller AIC, we still cant leave our choice for ARIMA(1, 0, 1)(1, 1, 2)4 since it has 0.353 difference to the smaller AIC. Considering this values, we will still choose for ARIMA(1, 0, 1)(1, 1, 2)4 since it is closer (a little) to normality and its AIC is almost equal to AIC of ARIMA(1, 0, 1)(1, 1, 1)4 . Thus, the chosen model for the series of chicken production is ARIMA(1, 0, 1)(1, 1, 2)4 . The properties of our best model is,

SARIMAd Series: ChickenProd ARIMA(1,0,1)(1,1,2)[4] Coefficients: ar1 ma1 sar1 sma1 sma2 -0.3984 0.9085 -0.5806 0.9184 0.4574 s.e. 0.1033 0.0489 0.1440 0.1506 0.1007 sigma^2 estimated as 171.4: log likelihood=-503.96 AIC=1019.93 AICc=1020.63 BIC=1036.95
R returns the signicant coefcients for our model, thus the constant is not signicant since it is not included in the coefcients output.

modelling volume of chicken production in the philippines using arima and holt-winters multiplicative exponential smoothing 15

Observe versus Fitted Heres the plot of the observe and tted values, the red line refers to the observe and the blue line refers to the tted values.

ts.plot(ChickenProd,(ChickenProd SARIMAd[["residuals"]]), col = c("red", "blue"), ylab = "Chicken Productions")

Figure 11: Plot of the observe versus the tted values using the chosen model ARIMA(1, 0, 1)(1, 1, 2)4

Chicken Productions

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Thus, our model is good enough for forecasting, since the tted values are closer to the observe values.

Forecasting
At this point we are going to forecast ve periods ahead using our ARIMA(1, 0, 1)(1, 1, 2)4 model.

plot(forecast(SARIMAa, n.ahead = 5), main = "", xlab = "Time", ylab = "Chicken Production", col = "red")
Figure 12: Five periods of forecast using ARIMA(1, 0, 1)(1, 1, 2)4

Chicken Production

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2015

modelling volume of chicken production in the philippines using arima and holt-winters multiplicative exponential smoothing 16

The forecast got the pattern of the recent volume of chicken production. This imply that the volume of chicken production will not uctuate extensively, instead it will have a constant seasonality but with a little trend.

Exponential Smoothing
In this section we are going to apply exponential smoothing for the data. Since the data is nonstationary and has seasonality which is somewhat increasing as the trend increases. Then, we can make use of Holt-Winters Multiplicative exponential smoothing. And to perform that in R is simply,

ExpoSmooth <- HoltWinters(ChickenProd, seasonal = "multiplicative") ExpoSmooth Holt-Winters exponential smoothing with trend and multiplicative seasonal component. Call: HoltWinters(x = ChickenProd, seasonal = "multiplicative") Smoothing parameters: alpha: 0.1767084 beta : 0 gamma: 1 Coefficients: [,1] a 429.2872063 b 2.6485000 s1 0.8333937 s2 0.9037385 s3 0.8661993 s4 0.8198241
And the plot of the tted versus the observe of Figure 13 is obtained by

plot(ExpoSmooth, main = "")

In the plot, the black line refers to the observe and the tted values is the series coloured with red.

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Observed / Fitted

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Figure 13: The Holt-Winters tted values versus the Observe values,

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Thus, the model of our exponential smoothing is Holt-Winters Multiplicative, yt+k = ( + k)t+k Where the values of the coefcient are = 0.1767084, : 0, and = 1. We obtain a good model for exponential smoothing, since the tted is closer to the observe values.

Forecasting
The forecast from our model, can be obtain by

plot(forecast(ExpoSmooth, n.ahead = 5), main = "", xlab = "Time", ylab = "Chicken Production", col = "red")

Chicken Production

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Figure 14: Forecast of our Holt-Winters Additive model

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The forecast is almost similar to what we obtain in our seasonal ARIMA model, the only thing is that the forecast of our exponential smoothing model tends to go with the trend.

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The Data
Data Information

Year 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Quarter 1 84.97 94.98 97.90 99.53 96.91 86.21 91.35 92.86 106.11 115.00 133.42 146.96 163.13 172.07 189.54 183.85 215.11 245.23 259.10 246.14 263.53 281.11 290.84 303.74 311.56 332.54 316.12 300.09 312.54 326.18 332.09 344.60 370.02

Quarter 2 73.30 81.93 84.45 85.86 83.60 74.37 79.74 80.11 90.87 101.05 111.54 115.43 132.03 132.29 145.39 158.08 174.09 187.15 194.09 190.29 199.82 210.76 219.85 229.17 226.47 228.14 230.29 289.55 307.37 319.45 328.21 340.77 351.94

Quarter 3 99.10 110.77 114.19 116.08 113.02 100.54 107.43 108.29 120.36 128.15 136.29 133.13 147.97 155.37 160.03 177.47 204.09 200.00 190.92 193.44 212.49 238.27 261.60 269.16 283.33 265.00 272.92 292.09 310.98 314.72 330.25 347.90

Quarter 4 112.39 125.64 129.51 131.65 128.18 114.08 121.41 122.84 137.74 154.68 178.40 182.36 208.86 219.03 214.50 228.45 258.52 297.30 275.34 299.29 321.98 368.66 401.46 386.68 410.43 389.99 386.62 329.89 350.46 340.55 362.58 381.03

Latest update: 2012-08-22 09:00 Source: Bureau of Agricultural Statistics Contact: Nenita T. Yanson Bureau of Agricultural Statistics 1184 Ben-Lor Bldg., Quezon Avenue Quezon City Tel: +633321543 Fax: +633321543 Email: poultry@bas.gov.ph Unit: thousand metric tons Matrix: B20PNVLP

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References
PUBLISHED

[1] Wei, W. W.S. (2006). Time Series Analysis: Univariate and Multivariate Methods. United States of America. Addison-Wesley.

UNPUBLISHED [2] http://a-little-book-of-r-for-time-series.readthedocs.org/ en/latest/src/timeseries.html#forecasts-using-exponentialsmoothing [3] http://bas.gov.ph/?ids=publications_view&id=51