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Multiple horizons and information in USDA production forecasts

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Author Info

  • Dwight R. Sanders

    (Department of Agribusiness Economics, Southern Illinois University, Mailcode 4410, Carbondale, Illinois, 62901)

  • Mark R. Manfredo

    (Morrison School of Agribusiness and Resource Management, Arizona State University, 7001 E. Williams Field Rd., Wanner Hall, Mesa, AZ 85212)

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    Abstract

    United States Department of Agriculture (USDA) livestock production forecasts are evaluated for their information content across multiple forecast horizons using the direct test developed by Vuchelen and Gutierrez (2005). Forecasts are explicitly tested for rationality (unbiased and efficient) as well as for incremental information out to three-quarters ahead. The results suggest that although the forecasts are often not rational, they typically do provide the forecast user with unique information at each horizon. Turkey and milk production forecasts are found to provide the most consistent performance, while beef production forecasts provide little information beyond the two-quarter horizon. [C53, Q13] © 2008 Wiley Periodicals, Inc.

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    File URL: http://hdl.handle.net/10.1002/agr.20146
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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal Agribusiness.

    Volume (Year): 24 (2008)
    Issue (Month): 1 ()
    Pages: 55-66

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    Handle: RePEc:wly:agribz:v:24:y:2008:i:1:p:55-66

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    Web page: http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1520-6297

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    1. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
    2. Garcia, Philip & Irwin, Scott H. & Leuthold, Raymond M. & Yang, Li, 1997. "The value of public information in commodity futures markets," Journal of Economic Behavior & Organization, Elsevier, vol. 32(4), pages 559-570, April.
    3. Kastens, Terry L. & Schroeder, Ted C. & Plain, Ronald L., 1998. "Evaluation Of Extension And Usda Price And Production Forecasts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(01), July.
    4. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    5. Holden, K & Peel, D A, 1990. "On Testing for Unbiasedness and Efficiency of Forecasts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(2), pages 120-27, June.
    6. Vuchelen, Jef & Gutierrez, Maria-Isabel, 2005. "A direct test of the information content of the OECD growth forecasts," International Journal of Forecasting, Elsevier, vol. 21(1), pages 103-117.
    7. Sanders, Dwight R. & Manfredo, Mark R., 2002. "Usda Production Forecasts For Pork, Beef, And Broilers: An Evaluation," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 27(01), July.
    8. Bailey, DeeVon & Brorsen, B. Wade, 1998. "Trends In The Accuracy Of Usda Production Forecasts For Beef And Pork," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(02), December.
    9. Jacob A. Mincer & Victor Zarnowitz, 1969. "The Evaluation of Economic Forecasts," NBER Chapters, in: Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, pages 1-46 National Bureau of Economic Research, Inc.
    10. Sanders, Dwight R. & Manfredo, Mark R., 2004. "Predicting Pork Supplies: An Application of Multiple Forecast Encompassing," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(03), December.
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    Cited by:
    1. Schnake, Kristin N. & Karali, Berna & Dorfman, Jeffrey H., 2012. "The Informational Content of Distant-Delivery Futures Contracts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), August.

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