IDEAS home Printed from https://ideas.repec.org/p/ags/aaea07/9889.html
   My bibliography  Save this paper

Forecast Performance of Futures Price Models for Corn, Soybeans, and Wheat

Author

Listed:
  • Hoffman, Linwood A.
  • Irwin, Scott H.
  • Toasa, Jose

Abstract

A futures price forecasting model is presented which uses monthly futures prices, cash prices received, basis values (cash prices less futures), and marketing weights to forecast the season-average farm price for U.S. corn, soybeans, and wheat. Accuracy of model forecasts are examined using standard measures, such as mean absolute error (MAE), mean absolute percentage error (MAPE), and root mean squared percentage error (RMSPE). Tests for statistical differences between the futures model forecast and price projections from World Agricultural Supply and Demand Estimates (WASDE), are conducted using the modified Diebold-Mariano test statistic. Forecast encompassing tests are conducted to determine whether the futures model forecasts would benefit by combining them with WASDE forecasts.

Suggested Citation

  • Hoffman, Linwood A. & Irwin, Scott H. & Toasa, Jose, 2007. "Forecast Performance of Futures Price Models for Corn, Soybeans, and Wheat," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon 9889, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea07:9889
    DOI: 10.22004/ag.econ.9889
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/9889/files/sp07ho03.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.9889?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jian Hu & Sanjay Mehrotra, 2012. "Robust and Stochastically Weighted Multiobjective Optimization Models and Reformulations," Operations Research, INFORMS, vol. 60(4), pages 936-953, August.
    2. Etienne, Xiaoli L. & Farhangdoost, Sara & Hoffman, Linwood A. & Adam, Brian D., 2023. "Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model," Journal of Commodity Markets, Elsevier, vol. 30(C).

    More about this item

    Keywords

    Marketing;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aaea07:9889. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aaeaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.