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Forecasting Organic Food Prices: Emerging Methods for Testing and Evaluating Conditional Predictive Ability

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  • Gubanova, Tatiana
  • Lohr, Luanne
  • Park, Timothy A.

Abstract

Organic farmers, wholesalers, and retailers need price forecasts to improve their decision-making practices. This paper presents a methodology and protocol to select the best performing method from several time and frequency domain candidates. Weekly farmgate prices for organic fresh produce are used. Forecasting methods are evaluated on the basis of an aggregate accuracy measure and several out-of-sample predictive ability tests. A seasonal autoregressive method is recommended for all planning horizons. The role of better price forecasts for the agents who deal in less common organic produce is highlighted. A confirmation for the claim that the organic produce industry needs better farmgate price forecasts to grow is provided.

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File URL: http://purl.umn.edu/19045
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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 19045.

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Date of creation: 2005
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Handle: RePEc:ags:ncrfiv:19045

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

Related research

Keywords: Demand and Price Analysis;

References

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  1. Timothy A. Park & Luanne Lohr, 1996. "Supply and Demand Factors for Organic Produce," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(3), pages 647-655.
  2. Giacomini, Raffaella & White, Halbert, 2003. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series qt5jk0j5jh, Department of Economics, UC San Diego.
  3. Tomek, William G. & Myers, Robert J., 1993. "Empirical Analysis Of Agricultural Commodity Prices: A Viewpoint," Working Papers 6847, Cornell University, Department of Applied Economics and Management.
  4. Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
  5. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  6. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," The Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July.
  7. repec:att:wimass:9417 is not listed on IDEAS
  8. Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA.
  9. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
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