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Accuracy and Asymmetry of Corn, Soybean and Wheat Interval Forecasts

Author

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  • Isengildina-Massa, Olga
  • Sharp, Julia L.
  • Zhang, Jing
  • Campbell, Wallace A.

Abstract

This study evaluates the accuracy of USDA interval forecasts for corn, soybean, and wheat prices using Christoffersen’s (1998) tests for unconditional coverage, independence and conditional coverage adjusted for asymmetries in tail probabilities. The findings of this study demonstrate that due to uneven distribution of forecast misses around the interval, calibration of soybean price forecasts in several cases was rejected by basic coverage tests (suitable for symmetric intervals) but not rejected by the tests adjusted for asymmetry. Thus these forecasts were asymmetric but accurate. Symmetry was not a limiting assumption for corn and wheat interval forecast accuracy.

Suggested Citation

  • Isengildina-Massa, Olga & Sharp, Julia L. & Zhang, Jing & Campbell, Wallace A., 2010. "Accuracy and Asymmetry of Corn, Soybean and Wheat Interval Forecasts," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61731, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea10:61731
    DOI: 10.22004/ag.econ.61731
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    Crop Production/Industries;

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