Empirical Confidence Intervals for WASDE Forecasts of Corn, Soybean and Wheat Prices
AbstractThis study suggests that confidence intervals for WASDE forecasts of corn, soybean, and wheat prices may be improved if they are estimated using an empirical approach. Empirical confidence intervals are calculated following Williams and Goodman's (1971) method and use historical forecast errors to estimate forecast error distributions which is then used to predict confidence limits for future forecast errors. Three procedures for empirical distribution estimation are compared: 1) histogram, 2) changing distribution, 3) fixed distribution. The results suggest that the fixed distribution approach using logistic distribution provided accurate confidence intervals for WASDE corn, soybean, and wheat price forecasts.
Download InfoIf 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.
Bibliographic InfoPaper provided by NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2006 Conference, April 17-18, 2006, St. Louis, Missouri with number 18995.
Date of creation: 2006
Date of revision:
Contact details of provider:
Web page: http://www.agebb.missouri.edu/ncrext/ncr134/
Crop Production/Industries; Demand and Price Analysis;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral 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 references are entirely missing, you can add them using this form.