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A Test of Forecast Consistency Using USDA Livestock Price Forecasts

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  • Sanders, Dwight R.
  • Manfredo, Mark R.
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    Abstract

    In traditional tests of forecast rationality, price forecasts are usually differenced to obtain stationarity. However, this data transformation may ignore important long-run information contained in forecasted price levels. Here, the concept of forecast consistency is paired with rationality concepts used in the market efficiency literature to develop a sequential testing procedure for forecast consistency and rationality. USDA quarterly livestock price forecasts do not demonstrate long-run consistency.

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    File URL: http://purl.umn.edu/19042
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    Bibliographic Info

    Paper provided by NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2005 Conference, April 18-19, 2005, St. Louis, Missouri with number 19042.

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    Date of creation: 2005
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    Handle: RePEc:ags:ncrfiv:19042

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    Web page: http://www.agebb.missouri.edu/ncrext/ncr134/

    Related research

    Keywords: Demand and Price Analysis;

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    1. Sanders, Dwight R. & Manfredo, Mark R., 2003. "USDA Livestock Price Forecasts: A Comprehensive Evaluation," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(02), August.
    2. Cheung, Y. -W. & Chinn, M. D., 1998. "Integration, cointegration and the forecast consistency of structural exchange rate models," Journal of International Money and Finance, Elsevier, vol. 17(5), pages 813-830, October.
    3. Andrew M. McKenzie & Bingrong Jiang & Harjanto Djunaidi & Linwood A. Hoffman & Eric J. Wailes, 2002. "Unbiasedness and Market Efficiency Tests of the U.S. Rice Futures Market," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 24(2), pages 474-493.
    4. Elam, Emmett W. & Holder, Shelby H., 1985. "An Evaluation Of The Rice Outlook And Situation Price Forecasts," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 17(02), December.
    5. Bailey, DeeVon & Brorsen, B. Wade, 1998. "Trends In The Accuracy Of Usda Production Forecasts For Beef And Pork," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(02), December.
    6. Wang, Peijie & Jones, Trefor, 2002. "Testing for efficiency and rationality in foreign exchange markets--a review of the literature and research on foreign exchange market efficiency and rationality with comments," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 223-239, April.
    7. Andrew McKenzie & Matthew Holt, 2002. "Market efficiency in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
    8. He, Dequan & Holt, Matthew T., 2004. "Efficiency Of Forest Commodity Futures Markets," 2004 Annual meeting, August 1-4, Denver, CO 20344, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    9. Aggarwal, Raj & Mohanty, Sunil & Song, Frank, 1995. "Are Survey Forecasts of Macroeconomic Variables Rational?," The Journal of Business, University of Chicago Press, vol. 68(1), pages 99-119, January.
    10. Hai, Weike & Mark, Nelson C & Wu, Yangru, 1997. "Understanding Spot and Forward Exchange Rate Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 715-34, Nov.-Dec..
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