The homogeneity restriction and forecasting performance of VAR-type demand systems: an empirical examination of US meat consumption
This paper compares the forecast performance of vector‐autoregression‐type (VAR) demand systems with and without imposing the homogeneity restriction in the cointegration space. US meat consumption (beef, poultry and pork) data are studied. One up to four‐steps‐ahead forecasts are generated from bot...
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Published in | Journal of forecasting Vol. 21; no. 3; pp. 193 - 206 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Chichester, UK
John Wiley & Sons, Ltd
01.04.2002
Wiley Periodicals Inc |
Subjects | |
Online Access | Get full text |
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Summary: | This paper compares the forecast performance of vector‐autoregression‐type (VAR) demand systems with and without imposing the homogeneity restriction in the cointegration space. US meat consumption (beef, poultry and pork) data are studied. One up to four‐steps‐ahead forecasts are generated from both the theoretically restricted and unrestricted models. A modified Diebold–Mariano test of the equality of mean squared forecast errors (MSFE) and a forecast encompassing test are applied in forecast evaluation. Our findings suggest that the imposition of the homogeneity restriction tends to improve the forecast accuracy when the restriction is not rejected. The evidence is mixed when the restriction is rejected. Copyright © 2002 John Wiley & Sons, Ltd. |
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Bibliography: | istex:EA1124574E92290798ADE61EF50228DE05398304 ArticleID:FOR820 ark:/67375/WNG-H0WQM98S-Z ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
ISSN: | 0277-6693 1099-131X |
DOI: | 10.1002/for.820 |