Advanced Search
MyIDEAS: Login

Do Composite Procedures Really Improve the Accuracy of Outlook Forecasts?

Contents:

Author Info

  • Colino, Evelyn V.
  • Irwin, Scott H.
  • Garcia, Philip

Abstract

This paper investigates whether the accuracy of outlook hog price forecasts can be improved using composite forecasts in an out-of-sample context. Price forecasts from four wellrecognized outlook programs are combined with futures-based forecasts, ARIMA, and unrestricted Vector Autoregressive (VAR) models. Quarterly data are available from 1975.I through 2007.IV, which allow for a relatively long out-of-sample evaluation period after permitting model specification and appropriate composite-weight training periods. Results show that futures and numerous composite procedures outperform outlook forecasts. At intermediate horizons, OLS composite procedures perform rather well. The superiority of futures and composite forecasts decreases at longer horizons except for an equal-weighted approach. Importantly, with just few exceptions, nothing outperforms the equal-weight approach significantly in any program or horizon. Overall, findings favor the usage of equal-weighted composites, a result that is consistent with previous empirical findings and recent theoretical papers.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://purl.umn.edu/53052
Download Restriction: no

Bibliographic Info

Paper provided by NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2009 Conference, April 20-21, 2009, St. Louis, Missouri with number 53052.

as in new window
Length:
Date of creation: Apr 2009
Date of revision:
Handle: RePEc:ags:nccc09:53052

Contact details of provider:
Postal: 326 Mumford Hall, MC-710, 1301 West Gregory Drive, Urbana, Illinois, 61801
Phone: (217) 333-1810
Fax: (217) 333-5538
Email:
Web page: http://www.farmdoc.uiuc.edu/nccc134/
More information through EDIRC

Related research

Keywords: forecast combination; outlook; futures; time-series; out-of-sample; Agribusiness; Agricultural Finance; Financial Economics; Livestock Production/Industries; Marketing; Research Methods/ Statistical Methods;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, Elsevier.
  2. Todd E. Clark & Michael W. McCracken, 2006. "Averaging forecasts from VARs with uncertain instabilities," Research Working Paper RWP 06-12, Federal Reserve Bank of Kansas City.
  3. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
  4. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2008. "A Panel Data Approach to Economic Forecasting: The Bias-Corrected Average Forecast," Economics Working Papers (Ensaios Economicos da EPGE) 668, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  5. Ashley, Richard, 2003. "Statistically significant forecasting improvements: how much out-of-sample data is likely necessary?," International Journal of Forecasting, Elsevier, vol. 19(2), pages 229-239.
  6. Evelyn V. Colino & Scott H. Irwin, 2010. "Outlook vs. Futures: Three Decades of Evidence in Hog and Cattle Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 92(1), pages 1-15.
  7. Harvey, David & Leybourne, Stephen & Newbold, Paul, 1997. "Testing the equality of prediction mean squared errors," International Journal of Forecasting, Elsevier, vol. 13(2), pages 281-291, June.
  8. Allen, P. Geoffrey, 1994. "Economic forecasting in agriculture," International Journal of Forecasting, Elsevier, vol. 10(1), pages 81-135, June.
  9. Fang, Yue, 2003. "Forecasting combination and encompassing tests," International Journal of Forecasting, Elsevier, vol. 19(1), pages 87-94.
  10. Diebold, Francis X. & Pauly, Peter, 1990. "The use of prior information in forecast combination," International Journal of Forecasting, Elsevier, vol. 6(4), pages 503-508, December.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ags:nccc09:53052. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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