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A Comparison of USDA's Agricultural Export Forecasts with ARIMA-based Forecasts

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  • MacDonald, Stephen

Abstract

This study indicates that a number of USDA forecasts lack information that is readily available from monthly U.S. export data. This is determined by comparing the accuracy USDA’s FY2001-04 forecasts with forecasts based on trends for each commodity. ARIMA models utilizing the monthly data available at the time each USDA forecast was published were estimated. Out of 24 separate commodity forecasts examined, USDA forecasts were superior to ARIMA forecast in only 9 cases. ARIMA forecasts were superior in 11 cases, and there was no difference in 4 cases.

Suggested Citation

  • MacDonald, Stephen, 2005. "A Comparison of USDA's Agricultural Export Forecasts with ARIMA-based Forecasts," MPRA Paper 70912, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:70912
    as

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    File URL: https://mpra.ub.uni-muenchen.de/70912/1/MPRA_paper_70912.pdf
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    References listed on IDEAS

    as
    1. Vogel, Fred A. & Bange, Gerald A., 1999. "Understanding USDA Crop Forecasts," USDA Miscellaneous 320799, United States Department of Agriculture.
    2. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. MacDonald, Stephen & Ash, Mark & Cooke, Bryce, 2017. "The Evolution of Inefficiency in USDA’s Forecasts of U.S. and World Soybean Markets," MPRA Paper 87545, University Library of Munich, Germany.

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    More about this item

    Keywords

    forecasting; forecast evaluation; agricultural trade; ARIMA;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade

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