Rationality of U.S. Department of Agriculture Livestock Price Forecasts: A Unified Approach
This research presents a systematic and unified approach to evaluating forecast rationality that considers the potential of nonstationarity in forecasts and realized values. The approach is applied to one-quarter ahead U.S. Department of Agriculture livestock price forecasts from 1982 through 2004....
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| Published in | Journal of agricultural and applied economics Vol. 39; no. 1; pp. 75 - 85 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
New York, USA
Cambridge University Press
01.04.2007
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| Subjects | |
| Online Access | Get full text |
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| Abstract | This research presents a systematic and unified approach to evaluating forecast rationality that considers the potential of nonstationarity in forecasts and realized values. The approach is applied to one-quarter ahead U.S. Department of Agriculture livestock price forecasts from 1982 through 2004. Results show that forecasts and realized prices are integrated of the same order, and those that are nonstationary are cointegrated. However, the stationary price forecasts for hogs, turkeys, eggs, and milk are biased and improperly scaled, and forecast errors tend to be repeated. Similarly, nonstationary forecasts for cattle and broilers are also biased and irrational in the long run, but short-run dynamics are rational. |
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| AbstractList | This research presents a systematic and unified approach to evaluating forecast rationality that considers the potential of nonstationarity in forecasts and realized values. The approach is applied to one-quarter ahead U.S. Department of Agriculture livestock price forecasts from 1982 through 2004. Results show that forecasts and realized prices are integrated of the same order, and those that are nonstationary are cointegrated. However, the stationary price forecasts for hogs, turkeys, eggs, and milk are biased and improperly scaled, and forecast errors tend to be repeated. Similarly, nonstationary forecasts for cattle and broilers are also biased and irrational in the long run, but short-run dynamics are rational. |
| Author | Sanders, Dwight R. Manfredo, Mark R. |
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| Copyright | Copyright © Southern Agricultural Economics Association 2007 Copyright Southern Agricultural Economics Association Apr 2007 |
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| Keywords | C53 Q13 rationality livestock prices forecast evaluation |
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| References | Kastens (S1074070800022768_ref010) 1998; 23 S1074070800022768_ref020 S1074070800022768_ref023 (S1074070800022768_ref019) 1993 S1074070800022768_ref012 S1074070800022768_ref001 S1074070800022768_ref013 S1074070800022768_ref002 S1074070800022768_ref021 S1074070800022768_ref022 S1074070800022768_ref011 S1074070800022768_ref005 S1074070800022768_ref016 S1074070800022768_ref017 S1074070800022768_ref003 S1074070800022768_ref015 S1074070800022768_ref009 Granger (S1074070800022768_ref007) 1986 S1074070800022768_ref008 Dequan (S1074070800022768_ref004) 2004 Pindyck (S1074070800022768_ref014) 1998 Enders (S1074070800022768_ref006) 1995 Sanders (S1074070800022768_ref018) 2003; 28 |
| References_xml | – volume-title: Applied Econometric Time Series year: 1995 ident: S1074070800022768_ref006 contributor: fullname: Enders – ident: S1074070800022768_ref022 doi: 10.1016/S0261-5606(00)00031-0 – volume: 28 start-page: 316 year: 2003 ident: S1074070800022768_ref018 article-title: USDA Livestock Price Forecasts: A Comprehensive Evaluation. publication-title: Journal of Agricultural and Resource Economics contributor: fullname: Sanders – ident: S1074070800022768_ref011 doi: 10.1016/0304-4076(92)90104-Y – ident: S1074070800022768_ref005 doi: 10.1017/S0081305200025152 – ident: S1074070800022768_ref001 doi: 10.1086/296655 – ident: S1074070800022768_ref013 doi: 10.1111/1467-9353.00032 – volume-title: Forecasting Economic Time Series year: 1986 ident: S1074070800022768_ref007 contributor: fullname: Granger – ident: S1074070800022768_ref002 doi: 10.2307/2527284 – ident: S1074070800022768_ref023 doi: 10.1002/(SICI)1096-9934(199908)19:5<603::AID-FUT6>3.0.CO;2-U – ident: S1074070800022768_ref020 doi: 10.1016/S0261-5606(01)00042-0 – volume-title: Efficiency of Forest Commodity Futures year: 2004 ident: S1074070800022768_ref004 contributor: fullname: Dequan – ident: S1074070800022768_ref012 doi: 10.1080/00036840110102761 – ident: S1074070800022768_ref017 doi: 10.1016/S0164-0704(02)00041-1 – ident: S1074070800022768_ref008 doi: 10.1016/S0165-1765(98)00244-4 – ident: S1074070800022768_ref016 doi: 10.1080/096031001300138681 – ident: S1074070800022768_ref003 doi: 10.1016/S0261-5606(98)00009-6 – ident: S1074070800022768_ref021 doi: 10.1002/(SICI)1520-6297(199803/04)14:2<107::AID-AGR3>3.0.CO;2-6 – volume-title: Econometric Models and Economic Forecasts year: 1998 ident: S1074070800022768_ref014 contributor: fullname: Pindyck – volume-title: User's Reference Manual Version 7.0. year: 1993 ident: S1074070800022768_ref019 – volume: 23 start-page: 244 year: 1998 ident: S1074070800022768_ref010 article-title: Evaluation of Extension and USDA Price and Production Forecasts. publication-title: Journal of Agricultural and Resource Economics contributor: fullname: Kastens – ident: S1074070800022768_ref009 – ident: S1074070800022768_ref015 doi: 10.1002/(SICI)1099-131X(200001)19:1<53::AID-FOR736>3.0.CO;2-J |
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| SubjectTerms | agricultural forecasts Agriculture broiler chickens C53 cattle Commodities econometric models Efficiency eggs Elasticity forecast evaluation forecasting errors Forward exchange Futures market Hypotheses Hypothesis testing Livestock livestock prices livestock production milk Prices Q13 Rationality swine Time series turkeys USDA |
| Title | Rationality of U.S. Department of Agriculture Livestock Price Forecasts: A Unified Approach |
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