Forecasting Cattle Prices in the Presence of Structural Change
Recent empirical research and development in the cattle industry suggest several reasons to suspect structural change in economic relationships determining cattle prices. Standard forecasting models may ignore structural change and may produce biased and misleading forecasts. Vector autoregressive (VAR) models that allow parameters to vary with time are used to forecast quarterly cattle prices. The VAR procedures are flexible in that they allow the identification of structural change that begins at an a priori unknown point and occurs gradually. The results indicate that the lowest RMSE for out-of-sample forecasts of cattle prices is obtained using a gradually switching VAR model. However, differences between the gradually switching VAR model and a univeriate ARIMA model are not strongly significant. Impulse response functions indicate that adjustments of cattle prices to new information have become faster in recent years.
(This abstract was borrowed from another version of this item.)
Volume (Year): 24 (1992)
Issue (Month): 02 (December)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_AAE
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giancarlo Moschini & Karl D. Meilke, 1989.
"Modeling the Pattern of Structural Change in U.S. Meat Demand,"
American Journal of Agricultural Economics,
Agricultural and Applied Economics Association, vol. 71(2), pages 253-261.
- Moschini, GianCarlo & Meilke, Karl D., 1989. "Modeling the Pattern of Structural Change in U.S. Meat Demand," Staff General Research Papers Archive 11266, Iowa State University, Department of Economics.
- Pendell, Dustin L. & Schroeder, Ted C., 2004. "Spatial Market Integration In Regional Cattle Markets," 2004 Annual Meeting, June 30-July 2, 2004, Honolulu, Hawaii 36265, Western Agricultural Economics Association.
- Kling, John L & Bessler, David A, 1989. "Calibration-Based Predictive Distributions: An Application of Prequential Analysis to Interest Rates, Money, Prices, and Output," The Journal of Business, University of Chicago Press, vol. 62(4), pages 477-499, October.
- Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-1167, July.
- DeeVon Bailey & Monte C. Peterson & B. Wade Brorsen, 1991. "A Comparison of Video Cattle Auction and Regional Market Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(2), pages 465-475.
- Tsurumi, Hiroki & Wago, Hajime & Ilmakunnas, Pekka, 1986. "Gradual switching multivariate regression models with stochastic cross-equational constraints and an application to the Klem translog production model," Journal of Econometrics, Elsevier, vol. 31(3), pages 235-253, April.
- Bradshaw, Girard W. & Orden, David, 1990. "Granger Causality From The Exchange Rate To Agricultural Prices And Export Sales," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(01), July.
- Ronald A. Babula & David A. Bessler & Gerald E. Schluter, 1991. "Corn|broiler price transmissions and structural change since the 1950s," Agribusiness, John Wiley & Sons, Ltd., vol. 7(3), pages 269-284.
- Choi, Seungmook & Sosin, Kim, 1992. "Structural Change in the Demand for Money," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(2), pages 226-238, May.
- Chalfant, James A & Alston, Julian M, 1988. "Accounting for Changes in Tastes," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 391-410, April.
- David A. Bessler, 1984. "An Analysis of Dynamic Economic Relationships: An Application to the U.S. Hog Market," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 32(1), pages 109-124, March.
- David A. Bessler & Jon A. Brandt, 1982. "Causality Tests in Livestock Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(1), pages 140-144.
- Dixon, R J, 1983. "Industry Structure and the Speed of Price Adjustment," Journal of Industrial Economics, Wiley Blackwell, vol. 32(1), pages 25-37, September.
- David A. Bessler & John L. Kling, 1989. "The Forecast and Policy Analysis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(2), pages 503-506.
- Bedrossian, Arakel & Moschos, Demetrios, 1988. "Industrial Structure, Concentration and the Speed of Price Adjustment," Journal of Industrial Economics, Wiley Blackwell, vol. 36(4), pages 459-476, June. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:cup:jagaec:v:24:y:1992:i:02:p:11-22_01. See general 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: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.