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System Theoretic Time-Series Forecasts of Weekly Live Cattle Prices

Author

Listed:
  • Kenneth A. Foster
  • Arthur M. Havenner
  • Allan M. Walburger

Abstract

Multivariate time-series forecasts of weekly live cattle prices in six different geographic markets are developed using a procedure based on the principles of linear systems theory. These forecasts were found to be informative and superior to those obtained from an alternative model. Following the approach developed for stock prices by Cerchi and Havenner, arbitrage portfolios were constructed from the model parameters. A simulation exercise based on 208 weekly observations withheld from model specification and estimation suggests that these arbitrage activities would have been profitable in practice.

Suggested Citation

  • Kenneth A. Foster & Arthur M. Havenner & Allan M. Walburger, 1995. "System Theoretic Time-Series Forecasts of Weekly Live Cattle Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 77(4), pages 1012-1023.
    • Handle: RePEc:oup:ajagec:v:77:y:1995:i:4:p:1012-1023.
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    File URL: http://hdl.handle.net/10.2307/1243824
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    Citations

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    Cited by:

    1. Walburger, Allan M. & Foster, Kenneth A., 1997. "Assessing The Relationship Between Market Factors And Regional Price Dynamics In U.S. Cattle Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 22(1), pages 1-12, July.
    2. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Wetzstein, Brian & Florax, Raymond & Foster, Kenneth & Binkley, James, 2021. "Transportation costs: Mississippi River barge rates," Journal of Commodity Markets, Elsevier, vol. 21(C).
    4. Wilson, Norbert L.W. & Sumner, Daniel A. & Havenner, Arthur M., 1997. "Time Series Analysis of a Policy-Created Asset: The Case of the California Dairy Quota," 1997 Annual Meeting, July 13-16, 1997, Reno\ Sparks, Nevada 35926, Western Agricultural Economics Association.
    5. Gonzalo Camba-Mendez & George Kapetanios, 2005. "Statistical Tests of the Rank of a Matrix and Their Applications in Econometric Modelling," Working Papers 541, Queen Mary University of London, School of Economics and Finance.
    6. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," Working Papers 127145, Cornell University, Department of Applied Economics and Management.
    7. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    8. Stockton, Matthew C. & Van Tassell, Larry W., 2007. "The Cattle Price Cycle: An Exploration in Simulation," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37564, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.

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