Impacts of Permanent and Transitory Shocks on Optimal Length of Moving Average to Predict Wheat Basis
AbstractA new stochastic process is introduced where permanent changes occur following a Poisson jump process and temporary changes occur following a normal distribution. The model is estimated using hard wheat basis data and is used to explain why the optimal length of moving average to forecast basis varies over time. The estimated probability of jumps is large and thus the optimal length of moving average is small.
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Bibliographic InfoPaper provided by Agricultural and Applied Economics Association in its series 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington with number 125001.
Date of creation: 2012
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basis; jump-diffusion process; Monte Carlo simulation; Research and Development/Tech Change/Emerging Technologies; Research Methods/ Statistical Methods;
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