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Composite Forecasting: some empirical results using BAE short-term forecasts

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  • Jolly, L.O.
  • Wong, Gordon

Abstract

The contention advanced in this paper is that forecast performance could be improved if short-term commodity forecasters were to consider formally the use of a variety of forecasting methods, rather than seeking to improve one selected method. Many researchers have demonstrated that a linear combination of forecasts can produce a composite superior to the individual component forecasts. Using a case study of two Bureau of Agricultural Economics' forecast series and alternative, time series model forecasts of the same series, four methods of deriving composite forecasts are applied on an ex ante basis and are thus evaluated as a means of improving the Bureau's forecast performance. Despite the fact that the authors could not, by combining the available forecasts, form a superior composite forecast, the application highlights the suitability of this approach for reviewing the performance of forecasting methods on a formal basis, and did prove useful in exposing weaknesses and strengths in BAE market information forecasts which otherwise would not have come to light.

Suggested Citation

  • Jolly, L.O. & Wong, Gordon, 1987. "Composite Forecasting: some empirical results using BAE short-term forecasts," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 55(01), pages 1-23, April.
    • Handle: RePEc:ags:remaae:12314
    DOI: 10.22004/ag.econ.12314
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    File URL: https://ageconsearch.umn.edu/record/12314/files/55010051.pdf
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    References listed on IDEAS

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    1. B.M.S. Lee & Anh Bui‐Lan, 1982. "Use Of Errors Of Prediction In Improving Forecast Accuracy: An Application To Wool In Australia," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 26(1), pages 49-62, April.
    2. Spyros Makridakis & Robert L. Winkler, 1983. "Averages of Forecasts: Some Empirical Results," Management Science, INFORMS, vol. 29(9), pages 987-996, September.
    3. John W. Freebairn, 1975. "Forecasting For Australian Agriculture," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 19(3), pages 154-174, December.
    4. Lee, B.M.S. & Bui-Lan, Anh, 1982. "Use Of Errors Of Prediction In Improving Forecast Accuracy: An Application To Wool In Australia," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 26(1), pages 1-14, April.
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    Cited by:

    1. Vere, David T. & Griffith, Garry R., 1990. "Comparative Forecast Accuracy In The New South Wales Prime Lamb Market," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 34(2), pages 1-15, August.
    2. J. M. Gil & L. M. Albisu, 1993. "Composite Forecasting Methods: An Application To Spanish Maize Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(2), pages 264-271, May.

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