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Simultaneous Forecasting Of Price Magnitude And Direction Using Two-Stage Ols-Probit

Author

Listed:
  • Cloman, Livia
  • Epperson, James E.
  • Fu, Tsu-Tan

Abstract

The ability to accurately forecast price hinges largely on an ability to reflect both dimensions of price, magnitude and direction, in a forecasting model. This paper demonstrates how price magnitude and direction can be captured in a simultaneous forecasting system. Empirical results reflect the importance of the simultaneous forecasting procedure.

Suggested Citation

  • Cloman, Livia & Epperson, James E. & Fu, Tsu-Tan, 1987. "Simultaneous Forecasting Of Price Magnitude And Direction Using Two-Stage Ols-Probit," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 270145, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea87:270145
    DOI: 10.22004/ag.econ.270145
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    References listed on IDEAS

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    1. Oliveira, Ronald A. & O'Connor, Carl W. & Smith, Gary W., 1979. "Short-Run Forecasting Models Of Beef Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 4(1), pages 1-12, July.
    2. Menkhaus, Dale J. & Adams, Richard M., 1981. "Forecasting Price Movements: An Application Of Discriminant Analysis," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 6(2), pages 1-10, December.
    3. Richard E. Just & Gordon C. Rausser, 1981. "Commodity Price Forecasting with Large-Scale Econometric Models and the Futures Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 63(2), pages 197-208.
    4. Amemiya, Takeshi, 1979. "The Estimation of a Simultaneous-Equation Tobit Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(1), pages 169-181, February.
    5. Dan M. Bechter & Jack L. Rutner, 1978. "Forecasting with statistical models and a case study of retail sales," Economic Review, Federal Reserve Bank of Kansas City, vol. 63(Mar), pages 3-11.
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