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Seasonal prediction of European cereal prices: good forecasts using bad models?

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Author Info

  • Adusei Jumah

    (Institute for Advanced Studies and University of Vienna, Austria)

  • Robert M. Kunst

    (Institute for Advanced Studies and University of Vienna, Austria)

Abstract

Because of their natural adherence to the climate and pronounced seasonal cycles, prices of field crops constitute an interesting field for exploring seasonal time series models. We consider quarterly prices of two major cereals: barley and wheat. Using traditional in-sample fit and moving-window techniques, we investigate whether seasonality is deterministic or unit-root stochastic and whether seasonal cycles have converged over time. We find that seasonal cycles in the data are mainly deterministic and that evidence on common cycles across countries differs for the two commodities. Out-of-sample prediction experiments, however, yield a ranking with respect to accuracy that does not match the statistical in-sample evidence. Parametric bootstrap experiments establish that the observed mismatch is indeed an inherent and systematic feature. Copyright © 2008 John Wiley & Sons, Ltd.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 27 (2008)
Issue (Month): 5 ()
Pages: 391-406

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Handle: RePEc:jof:jforec:v:27:y:2008:i:5:p:391-406

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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Cited by:
  1. Jumah, Adusei & Kunst, Robert M., 2008. "Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging," Economics Series 231, Institute for Advanced Studies.
  2. Martin-Rodriguez, Gloria & Caceres-Hernandez, Jose Juan, 2012. "Forecasting weekly Canary tomato exports from annual surface data," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126364, International Association of Agricultural Economists.
  3. Isengildina-Massa, Olga & MacDonald, Stephen, 2009. "U.S. Cotton Prices and the World Cotton Market; Forecasting and Structural Change," Economic Research Report 55950, United States Department of Agriculture, Economic Research Service.

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